Regularization for Strategy Exploration in Empirical Game-Theoretic Analysis

Yongzhao Wang, Michael P. Wellman

Keywords: Multi-agent Learning, empirical game-theoretic analysis, policy space response oracle

Abstract: In iterative approaches to empirical game-theoretic analysis (EGTA), the strategy space is expanded incrementally based on analysis of intermediate game models. A common approach to strategy exploration, represented by the double oracle algorithm, is to add strategies that best-respond to a current equilibrium. This approach may suffer from overfitting and other limitations, leading the developers of the policy-space response oracle (PSRO) framework for iterative EGTA to generalize the target of best response, employing what they term meta-strategy solvers (MSSs). Noting that many MSSs can be viewed as perturbed or approximated versions of Nash equilibrium, we adopt an explicit regularization perspective to the specification and analysis of MSSs. We propose a novel MSS called regularized replicator dynamics (RRD), which simply truncates the process based on a regret criterion. We show that the regularization approach exhibits desired properties for strategy exploration and RRD outperforms existing MSSs in various games. We extend our study to three-player games, for which the payoff matrix is cubic in the number of strategies and so exhaustively evaluating profiles may not be feasible. We propose a profile search method that can identify solutions from incomplete models, and combine this with iterative model construction using a regularized MSS. Finally, we suggest an explanation for the effectiveness of regularization demonstrated in our experiments.

One-sentence Summary: A regularization approach to double oracle method that speeds up game learning.