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1. Simple Uncoupled No-Regret Learning Dynamics for Extensive-Form Correlated Equilibrium

   Farina, G. ; Celli, A. ; Marchesi, A. ; Gatti, N. ( January 2021 , ArXivorg)

   null (Ed.)

   The existence of simple uncoupled no-regret learning dynamics that converge to correlated equilibria in normal-form games is a celebrated result in the theory of multi-agent systems. Specifically, it has been known for more than 20 years that when all players seek to minimize their internal regret in a repeated normal-form game, the empirical frequency of play converges to a normal-form correlated equilibrium. Extensive-form games generalize normal-form games by modeling both sequential and simultaneous moves, as well as imperfect information. Because of the sequential nature and presence of private information in the game, correlation in extensive-form games possesses significantly different properties than its counterpart in normal-form games, many of which are still open research directions. Extensive-form correlated equilibrium (EFCE) has been proposed as the natural extensive-form counterpart to the classical notion of correlated equilibrium in normal-form games. Compared to the latter, the constraints that define the set of EFCEs are significantly more complex, as the correlation device must keep into account the evolution of beliefs of each player as they make observations throughout the game. Due to that significant added complexity, the existence of uncoupled learning dynamics leading to an EFCE has remained a challenging open research question for a long time. In this article, we settle that question by giving the first uncoupled no-regret dynamics that converge to the set of EFCEs in n-player general-sum extensive-form games with perfect recall. We show that each iterate can be computed in time polynomial in the size of the game tree, and that, when all players play repeatedly according to our learning dynamics, the empirical frequency of play is proven to be a O(T^-0.5)-approximate EFCE with high probability after T game repetitions, and an EFCE almost surely in the limit. 

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2. Last-Iterate Convergence: Zero-Sum Games and Constrained Min-Max Optimization

   Daskalakis, Constantinos ; Panageas, Ioannis ( January 2019 , Innovations in Theoretical Computer Science)

   Motivated by applications in Game Theory, Optimization, and Generative Adversarial Networks, recent work of Daskalakis et al~\cite{DISZ17} and follow-up work of Liang and Stokes~\cite{LiangS18} have established that a variant of the widely used Gradient Descent/Ascent procedure, called "Optimistic Gradient Descent/Ascent (OGDA)", exhibits last-iterate convergence to saddle points in {\em unconstrained} convex-concave min-max optimization problems. We show that the same holds true in the more general problem of {\em constrained} min-max optimization under a variant of the no-regret Multiplicative-Weights-Update method called "Optimistic Multiplicative-Weights Update (OMWU)". This answers an open question of Syrgkanis et al~\cite{SALS15}. The proof of our result requires fundamentally different techniques from those that exist in no-regret learning literature and the aforementioned papers. We show that OMWU monotonically improves the Kullback-Leibler divergence of the current iterate to the (appropriately normalized) min-max solution until it enters a neighborhood of the solution. Inside that neighborhood we show that OMWU becomes a contracting map converging to the exact solution. We believe that our techniques will be useful in the analysis of the last iterate of other learning algorithms. 

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3. Last-Iterate Convergence: Zero-Sum Games and Constrained Min-Max Optimization

   Daskalakis, C ; Panageas, Ioannis ( January 2019 , 10th Innovations in Theoretical Computer Science (ITCS) conference, ITCS 2019)

   null (Ed.)

   Motivated by applications in Game Theory, Optimization, and Generative Adversarial Networks, recent work of Daskalakis et al \cite{DISZ17} and follow-up work of Liang and Stokes \cite{LiangS18} have established that a variant of the widely used Gradient Descent/Ascent procedure, called "Optimistic Gradient Descent/Ascent (OGDA)", exhibits last-iterate convergence to saddle points in {\em unconstrained} convex-concave min-max optimization problems. We show that the same holds true in the more general problem of {\em constrained} min-max optimization under a variant of the no-regret Multiplicative-Weights-Update method called "Optimistic Multiplicative-Weights Update (OMWU)". This answers an open question of Syrgkanis et al \cite{SALS15}. The proof of our result requires fundamentally different techniques from those that exist in no-regret learning literature and the aforementioned papers. We show that OMWU monotonically improves the Kullback-Leibler divergence of the current iterate to the (appropriately normalized) min-max solution until it enters a neighborhood of the solution. Inside that neighborhood we show that OMWU is locally (asymptotically) stable converging to the exact solution. We believe that our techniques will be useful in the analysis of the last iterate of other learning algorithms. 

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4. A Unified Analysis of First-Order Methods for Smooth Games via Integral Quadratic Constraints

   Zhang, Guodong ; Bao, Xuchan ; Lessard, Laurent ; Grosse, Roger ( January 2021 , Journal of machine learning research)

   The theory of integral quadratic constraints (IQCs) allows the certification of exponential convergence of interconnected systems containing nonlinear or uncertain elements. In this work, we adapt the IQC theory to study first-order methods for smooth and strongly-monotone games and show how to design tailored quadratic constraints to get tight upper bounds of convergence rates. Using this framework, we recover the existing bound for the gradient method~(GD), derive sharper bounds for the proximal point method~(PPM) and optimistic gradient method~(OG), and provide for the first time a global convergence rate for the negative momentum method~(NM) with an iteration complexity O(κ1.5), which matches its known lower bound. In addition, for time-varying systems, we prove that the gradient method with optimal step size achieves the fastest provable worst-case convergence rate with quadratic Lyapunov functions. Finally, we further extend our analysis to stochastic games and study the impact of multiplicative noise on different algorithms. We show that it is impossible for an algorithm with one step of memory to achieve acceleration if it only queries the gradient once per batch (in contrast with the stochastic strongly-convex optimization setting, where such acceleration has been demonstrated). However, we exhibit an algorithm which achieves acceleration with two gradient queries per batch. 

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5. On the Last Iterate Convergence of Momentum Methods

   Li, Xiaoyu ; Liu, Mingrui ; Orabona, Francesco ( January 2022 , Proceedings of Machine Learning Research)

   SGD with Momentum (SGDM) is a widely used family of algorithms for large-scale optimization of machine learning problems. Yet, when optimizing generic convex functions, no advantage is known for any SGDM algorithm over plain SGD. Moreover, even the most recent results require changes to the SGDM algorithms, like averaging of the iterates and a projection onto a bounded domain, which are rarely used in practice. In this paper, we focus on the convergence rate of the last iterate of SGDM. For the first time, we prove that for any constant momentum factor, there exists a Lipschitz and convex function for which the last iterate of SGDM suffers from a suboptimal convergence rate of $\Omega(\frac{\ln T}{\sqrt{T}})$ after $T$ iterations. Based on this fact, we study a class of (both adaptive and non-adaptive) Follow-The-Regularized-Leader-based SGDM algorithms with \emph{increasing momentum} and \emph{shrinking updates}. For these algorithms, we show that the last iterate has optimal convergence $O(\frac{1}{\sqrt{T}})$ for unconstrained convex stochastic optimization problems without projections onto bounded domains nor knowledge of $T$. Further, we show a variety of results for FTRL-based SGDM when used with adaptive stepsizes. Empirical results are shown as well. 

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