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Register a new userBandit Linear Optimization for Sequential Decision Making and Extensive-Form Games
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Added by
Gabriele Farina
Publication date
2021
fields
Informatics Engineering
and research's language is
English
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Tree-form sequential decision making (TFSDM) extends classical one-shot decision making by modeling tree-form interactions between an agent and a potentially adversarial environment. It captures the online decision-making problems that each player faces in an extensive-form game, as well as Markov decision processes and partially-observable Markov decision processes where the agent conditions on observed history. Over the past decade, there has been considerable effort into designing online optimization methods for TFSDM. Virtually all of that work has been in the full-feedback setting, where the agent has access to counterfactuals, that is, information on what would have happened had the agent chosen a different action at any decision node. Little is known about the bandit setting, where that assumption is reversed (no counterfactual information is available), despite this latter setting being well understood for almost 20 years in one-shot decision making. In this paper, we give the first algorithm for the bandit linear optimization problem for TFSDM that offers both (i) linear-time iterations (in the size of the decision tree) and (ii) $O(sqrt{T})$ cumulative regret in expectation compared to any fixed strategy, at all times $T$. This is made possible by new results that we derive, which may have independent uses as well: 1) geometry of the dilated entropy regularizer, 2) autocorrelation matrix of the natural sampling scheme for sequence-form strategies, 3) construction of an unbiased estimator for linear losses for sequence-form strategies, and 4) a refined regret analysis for mirror descent when using the dilated entropy regularizer.
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Regret minimization has proved to be a versatile tool for tree-form sequential decision making and extensive-form games. In large two-player zero-sum imperfect-information games, modern extensions of counterfactual regret minimization (CFR) are currently the practical state of the art for computing a Nash equilibrium. Most regret-minimization algorithms for tree-form sequential decision making, including CFR, require (i) an exact model of the players decision nodes, observation nodes, and how they are linked, and (ii) full knowledge, at all times t, about the payoffs -- even in parts of the decision space that are not encountered at time t. Recently, there has been growing interest towards relaxing some of those restrictions and making regret minimization applicable to settings for which reinforcement learning methods have traditionally been used -- for example, those in which only black-box access to the environment is available. We give the first, to our knowledge, regret-minimization algorithm that guarantees sublinear regret with high probability even when requirement (i) -- and thus also (ii) -- is dropped. We formalize an online learning setting in which the strategy space is not known to the agent and gets revealed incrementally whenever the agent encounters new decision points. We give an efficient algorithm that achieves $O(T^{3/4})$ regret with high probability for that setting, even when the agent faces an adversarial environment. Our experiments show it significantly outperforms the prior algorithms for the problem, which do not have such guarantees. It can be used in any application for which regret minimization is useful: approximating Nash equilibrium or quantal response equilibrium, approximating coarse correlated equilibrium in multi-player games, learning a best response, learning safe opponent exploitation, and online play against an unknown opponent/environment.
Extensive-form games constitute the standard representation scheme for games with a temporal component. But do all extensive-form games correspond to protocols that we can implement in the real world? We often rule out games with imperfect recall, which prescribe that an agent forget something that she knew before. In this paper, we show that even some games with perfect recall can be problematic to implement. Specifically, we show that if the agents have a sense of time passing (say, access to a clock), then some extensive-form games can no longer be implemented; no matter how we attempt to time the game, some information will leak to the agents that they are not supposed to have. We say such a game is not exactly timeable. We provide easy-to-check necessary and sufficient conditions for a game to be exactly timeable. Most of the technical depth of the paper concerns how to approximately time games, which we show can always be done, though it may require large amounts of time. Specifically, we show that for some games the time required to approximately implement the game grows as a power tower of height proportional to the number of players and with a parameter that measures the precision of the approximation at the top of the power tower. In practice, that makes the games untimeable. Besides the conceptual contribution to game theory, we believe our methodology can have applications to preventing information leakage in security protocols.
Hindsight rationality is an approach to playing general-sum games that prescribes no-regret learning dynamics for individual agents with respect to a set of deviations, and further describes jointly rational behavior among multiple agents with mediated equilibria. To develop hindsight rational learning in sequential decision-making settings, we formalize behavioral deviations as a general class of deviations that respect the structure of extensive-form games. Integrating the idea of time selection into counterfactual regret minimization (CFR), we introduce the extensive-form regret minimization (EFR) algorithm that achieves hindsight rationality for any given set of behavioral deviations with computation that scales closely with the complexity of the set. We identify behavioral deviation subsets, the partial sequence deviation types, that subsume previously studied types and lead to efficient EFR instances in games with moderate lengths. In addition, we present a thorough empirical analysis of EFR instantiated with different deviation types in benchmark games, where we find that stronger types typically induce better performance.
We introduce a unified probabilistic framework for solving sequential decision making problems ranging from Bayesian optimisation to contextual bandits and reinforcement learning. This is accomplished by a probabilistic model-based approach that explains observed data while capturing predictive uncertainty during the decision making process. Crucially, this probabilistic model is chosen to be a Meta-Learning system that allows learning from a distribution of related problems, allowing data efficient adaptation to a target task. As a suitable instantiation of this framework, we explore the use of Neural processes due to statistical and computational desiderata. We apply our framework to a broad range of problem domains, such as control problems, recommender systems and adversarial attacks on RL agents, demonstrating an efficient and general black-box learning approach.
Counterfactual Regret Minimization (CFR) is an efficient no-regret learning algorithm for decision problems modeled as extensive games. CFRs regret bounds depend on the requirement of perfect recall: players always remember information that was revealed to them and the order in which it was revealed. In games without perfect recall, however, CFRs guarantees do not apply. In this paper, we present the first regret bound for CFR when applied to a general class of games with imperfect recall. In addition, we show that CFR applied to any abstraction belonging to our general class results in a regret bound not just for the abstract game, but for the full game as well. We verify our theory and show how imperfect recall can be used to trade a small increase in regret for a significant reduction in memory in three domains: die-roll poker, phantom tic-tac-toe, and Bluff.
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