No-regret learning in games with noisy feedback: Faster rates and adaptivity via learning rate separationDownload PDF

Published: 31 Oct 2022, 18:00, Last Modified: 11 Jan 2023, 11:51NeurIPS 2022 AcceptReaders: Everyone
Keywords: Learning in game, Regret, Noise, Optimism, Adaptivity, Nash equilibrium
TL;DR: We devise algorithms that enjoy constant regret for learning in games with noisy feedback
Abstract: We examine the problem of regret minimization when the learner is involved in a continuous game with other optimizing agents: in this case, if all players follow a no-regret algorithm, it is possible to achieve significantly lower regret relative to fully adversarial environments. We study this problem in the context of variationally stable games (a class of continuous games which includes all convex-concave and monotone games), and when the players only have access to noisy estimates of their individual payoff gradients. If the noise is additive, the game-theoretic and purely adversarial settings enjoy similar regret guarantees; however, if the noise is \emph{multiplicative}, we show that the learners can, in fact, achieve \emph{constant} regret. We achieve this faster rate via an optimistic gradient scheme with \emph{learning rate separation} \textendash\ that is, the method's extrapolation and update steps are tuned to different schedules, depending on the noise profile. Subsequently, to eliminate the need for delicate hyperparameter tuning, we propose a fully adaptive method that smoothly interpolates between worst- and best-case regret guarantees.
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