A Law of Iterated Logarithm for Multi-Agent Reinforcement Learning

In Multi-Agent Reinforcement Learning (MARL), multiple agents interact with a common environment, as also with each other, for solving a shared problem in sequential decision-making. It has wide-ranging applications in gaming, robotics, finance, communication, etc. In this work, we derive a novel law of iterated logarithm for a family of distributed nonlinear stochastic approximation schemes that is useful in MARL. In particular, our result describes the convergence rate on almost every sample path where the algorithm converges. This result is the first of its kind in the distributed setup and provides deeper insights than the existing ones, which only discuss convergence rates in the expected or the CLT sense.