Learning cooperative policies for multi-agent systems is often challenged by partial observability and a lack of coordination. In some settings, the structure of a problem allows a distributed solution with limited communication. Here, we consider a scenario where no communication is available, and instead we learn local policies for all agents that collectively mimic the solution to a centralized multi-agent static optimization problem. Our main contribution is an information theoretic framework based on rate distortion theory which facilitates analysis of how well the resulting fully decentralized policies are able to reconstruct the optimal solution. Moreover, this framework provides a natural extension that addresses which nodes an agent should communicate with to improve the performance of its individual policy.

We consider a model of game-theoretic learning based on online mirror descent (OMD) with asynchronous and delayed feedback information. Instead of focusing on specific games, we consider a broad class of continuous games defined by the general equilibrium stability notion, which we call λ-variational stability. Our first contribution is that, in this class of games, the actual sequence of play induced by OMD-based learning converges to Nash equilibria provided that the feedback delays faced by the players are synchronous and bounded. Subsequently, to tackle fully decentralized, asynchronous environments with (possibly) unbounded delays between actions and feedback, we propose a variant of OMD which we call delayed mirror descent (DMD), and which relies on the repeated leveraging of past information. With this modification, the algorithm converges to Nash equilibria with no feedback synchronicity assumptions and even when the delays grow superlinearly relative to the horizon of play.

We study a general adversarial online learning problem, in which we are given a decision set X in a reflexive Banach space X and a sequence of reward vectors in the dual space of X. At each iteration, we choose an action from X, based on the observed sequence of previous rewards. Our goal is to minimize regret. Using results from infinite dimensional convex analysis, we generalize the method of Dual Averaging to our setting and obtain upper bounds on the worst-case regret that generalize many previous results. Under the assumption of uniformly continuous rewards, we obtain explicit regret bounds in a setting where the decision set is the set of probability distributions on a compact metric space S. Importantly, we make no convexity assumptions on either S or the reward functions. We also prove a general lower bound on the worst-case regret for any online algorithm. We then apply these results to the problem of learning in repeated two-player zero-sum games on compact metric spaces. In doing so, we first prove that if both players play a Hannan-consistent strategy, then with probability 1 the empirical distributions of play weakly converge to the set of Nash equilibria of the game. We then show that, under mild assumptions, Dual Averaging on the (infinite-dimensional) space of probability distributions indeed achieves Hannan-consistency.

Learning cooperative policies for multi-agent systems is often challenged by partial observability and a lack of coordination. In some settings, the structure of a problem allows a distributed solution with limited communication. Here, we consider a scenario where no communication is available, and instead we learn local policies for all agents that collectively mimic the solution to a centralized multi-agent static optimization problem. Our main contribution is an information theoretic framework based on rate distortion theory which facilitates analysis of how well the resulting fully decentralized policies are able to reconstruct the optimal solution. Moreover, this framework provides a natural extension that addresses which nodes an agent should communicate with to improve the performance of its individual policy.

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