From External to Swap Regret 2.0: An Efficient Reduction and Oblivious Adversary for Large Action Spaces
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arXiv
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| Hauptverfasser: | , , , |
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| Format: | Preprint |
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2023
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| _version_ | 1866910841387876352 |
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| author | Dagan, Yuval Daskalakis, Constantinos Fishelson, Maxwell Golowich, Noah |
| author_facet | Dagan, Yuval Daskalakis, Constantinos Fishelson, Maxwell Golowich, Noah |
| contents | We provide a novel reduction from swap-regret minimization to external-regret minimization, which improves upon the classical reductions of Blum-Mansour [BM07] and Stolz-Lugosi [SL05] in that it does not require finiteness of the space of actions. We show that, whenever there exists a no-external-regret algorithm for some hypothesis class, there must also exist a no-swap-regret algorithm for that same class. For the problem of learning with expert advice, our result implies that it is possible to guarantee that the swap regret is bounded by ε after $\log(N)^{O(1/ε)}$ rounds and with $O(N)$ per iteration complexity, where $N$ is the number of experts, while the classical reductions of Blum-Mansour and Stolz-Lugosi require $O(N/ε^2)$ rounds and at least $Ω(N^2)$ per iteration complexity. Our result comes with an associated lower bound, which -- in contrast to that in [BM07] -- holds for oblivious and $\ell_1$-constrained adversaries and learners that can employ distributions over experts, showing that the number of rounds must be $\tildeΩ(N/ε^2)$ or exponential in $1/ε$.
Our reduction implies that, if no-regret learning is possible in some game, then this game must have approximate correlated equilibria, of arbitrarily good approximation. This strengthens the folklore implication of no-regret learning that approximate coarse correlated equilibria exist. Importantly, it provides a sufficient condition for the existence of correlated equilibrium which vastly extends the requirement that the action set is finite, thus answering a question left open by [DG22; Ass+23]. Moreover, it answers several outstanding questions about equilibrium computation and learning in games. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2310_19786 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | From External to Swap Regret 2.0: An Efficient Reduction and Oblivious Adversary for Large Action Spaces Dagan, Yuval Daskalakis, Constantinos Fishelson, Maxwell Golowich, Noah Machine Learning Artificial Intelligence Computer Science and Game Theory We provide a novel reduction from swap-regret minimization to external-regret minimization, which improves upon the classical reductions of Blum-Mansour [BM07] and Stolz-Lugosi [SL05] in that it does not require finiteness of the space of actions. We show that, whenever there exists a no-external-regret algorithm for some hypothesis class, there must also exist a no-swap-regret algorithm for that same class. For the problem of learning with expert advice, our result implies that it is possible to guarantee that the swap regret is bounded by ε after $\log(N)^{O(1/ε)}$ rounds and with $O(N)$ per iteration complexity, where $N$ is the number of experts, while the classical reductions of Blum-Mansour and Stolz-Lugosi require $O(N/ε^2)$ rounds and at least $Ω(N^2)$ per iteration complexity. Our result comes with an associated lower bound, which -- in contrast to that in [BM07] -- holds for oblivious and $\ell_1$-constrained adversaries and learners that can employ distributions over experts, showing that the number of rounds must be $\tildeΩ(N/ε^2)$ or exponential in $1/ε$. Our reduction implies that, if no-regret learning is possible in some game, then this game must have approximate correlated equilibria, of arbitrarily good approximation. This strengthens the folklore implication of no-regret learning that approximate coarse correlated equilibria exist. Importantly, it provides a sufficient condition for the existence of correlated equilibrium which vastly extends the requirement that the action set is finite, thus answering a question left open by [DG22; Ass+23]. Moreover, it answers several outstanding questions about equilibrium computation and learning in games. |
| title | From External to Swap Regret 2.0: An Efficient Reduction and Oblivious Adversary for Large Action Spaces |
| topic | Machine Learning Artificial Intelligence Computer Science and Game Theory |
| url | https://arxiv.org/abs/2310.19786 |