## Posterior sampling for multi-agent reinforcement learning: solving extensive games with imperfect information

25 Sept 2019, 19:16 (modified: 11 Mar 2020, 07:33)ICLR 2020 Conference Blind SubmissionReaders: Everyone
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Abstract: Posterior sampling for reinforcement learning (PSRL) is a useful framework for making decisions in an unknown environment. PSRL maintains a posterior distribution of the environment and then makes planning on the environment sampled from the posterior distribution. Though PSRL works well on single-agent reinforcement learning problems, how to apply PSRL to multi-agent reinforcement learning problems is relatively unexplored. In this work, we extend PSRL to two-player zero-sum extensive-games with imperfect information (TEGI), which is a class of multi-agent systems. More specifically, we combine PSRL with counterfactual regret minimization (CFR), which is the leading algorithm for TEGI with a known environment. Our main contribution is a novel design of interaction strategies. With our interaction strategies, our algorithm provably converges to the Nash Equilibrium at a rate of $O(\sqrt{\log T/T})$. Empirical results show that our algorithm works well.
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