arXiv research

New strategy achieves optimal regret without communication or collisions in multi-player bandit.

Algorithm optimizes multi-player learning with noisy rewards without direct communication.

New algorithm tackles multi-player bandit problems with limited access to arms.

This work models GHG offset credit markets to find optimal strategies for market participants.

A new algorithm RESYNC for defenders against malicious attackers in multi-player bandits.

A multi-player bandit system resists adversarial attacks with near-optimal regret.

We study a multiplayer stochastic multi-armed bandit problem in which players cannot communicate, and if two or more players pull the same arm, a collision occurs and the involved players receive zero reward. We consider the challenging heterogeneous setting, in which different arms may have different means for differe…

In recent years, constrained optimization has become increasingly relevant to the machine learning community, with applications including Neyman-Pearson classification, robust optimization, and fair machine learning. A natural approach to constrained optimization is to optimize the Lagrangian, but this is not guarantee…

Optimal trading strategies identified in electricity markets with a major player.

No communication allows optimal instance-dependent regret guarantees in multi-player bandits.

The paper addresses the Multiplayer Multi-Armed Bandit (MMAB) problem, where $M$ decision makers or players collaborate to maximize their cumulative reward. When several players select the same arm, a collision occurs and no reward is collected on this arm. Players involved in a collision are informed about this collis…

Two non-communicating players minimize regret in a multi-armed bandit game.

We consider a fully decentralized multi-player stochastic multi-armed bandit setting where the players cannot communicate with each other and can observe only their own actions and rewards. The environment may appear differently to different players, $\textit{i.e.}$, the reward distributions for a given arm are heterog…

Study optimal portfolios for many players in a market model with random coefficients.

We consider the non-stochastic version of the (cooperative) multi-player multi-armed bandit problem. The model assumes no communication at all between the players, and furthermore when two (or more) players select the same action this results in a maximal loss. We prove the first $\sqrt{T}$-type regret guarantee for th…

Optimal algorithm for two-player zero-sum games with linear parameterization.

Study $N$-player and mean-field games in Itô-diffusion markets with competitive or homophilous interactions.

Study optimal reward schemes for inducing desired player performance in risky contests.

Classifiers can be trained with data-dependent constraints to satisfy fairness goals, reduce churn, achieve a targeted false positive rate, or other policy goals. We study the generalization performance for such constrained optimization problems, in terms of how well the constraints are satisfied at evaluation time, gi…

New algorithm for multi-player bandits with selfish players, achieving logarithmic regret.

New algorithm finds near-optimal policies efficiently in zero-sum games.

Study on market entry timing in stock liquidation with trading constraints.

Computing Nash equilibrium (NE) of multi-player games has witnessed renewed interest due to recent advances in generative adversarial networks. However, computing equilibrium efficiently is challenging. To this end, we introduce the Gradient-based Nikaido-Isoda (GNI) function which serves: (i) as a merit function, vani…

A geometric approach to differential game theory is illustrated. The parallel pursuit is considered as a two-player zero-sum differential game. The optimal strategies of each player is designed based on Riemann-Finsler geometry. Our approach incorporates a closed loop optimal control and the presentation is familiar wi…

New algorithm converges to equilibrium in nonconvex-nonconcave optimization problems without dimension dependence.

New algorithm for multi-player bandits with collision-dependent rewards.

MpFL models clients as strategic players to reach equilibrium with less communication.

Study long-term asset liquidation behavior with external flows.

New algorithm for multi-player bandits without needing lower bounds or scaling inversely.

We consider a two-person trading game in continuous time whereby each player chooses a constant rebalancing rule $b$ that he must adhere to over $[0,t]$. If $V_t(b)$ denotes the final wealth of the rebalancing rule $b$, then Player 1 (the `numerator player') picks $b$ so as to maximize $\mathbb{E}[V_t(b)/V_t(c)]$, whil…

We study the problem of learning classifiers robust to universal adversarial perturbations. While prior work approaches this problem via robust optimization, adversarial training, or input transformation, we instead phrase it as a two-player zero-sum game. In this new formulation, both players simultaneously play the s…

New algorithm for decentralized matching markets without prior preference rankings.

Study explores optimal strategies in games with multiple players and mean-field interactions.

A model for human-machine decision-making with private info and opacity.

A method learns to solve multilevel combinatorial problems with two players.

In this article we consider a game theoretic approach to the Risk-Sensitive Benchmarked Asset Management problem (RSBAM) of Davis and Lleo \cite{DL}. In particular, we consider a stochastic differential game between two players, namely, the investor who has a power utility while the second player represents the market …

We study the convergence of Nash equilibria in a game of optimal stopping. If the associated mean field game has a unique equilibrium, any sequence of $n$-player equilibria converges to it as $n\to\infty$. However, both the finite and infinite player versions of the game often admit multiple equilibria. We show that me…

A game theory study on optimal hiding and searching strategies in discrete locations.

In this paper, we apply the idea of fictitious play to design deep neural networks (DNNs), and develop deep learning theory and algorithms for computing the Nash equilibrium of asymmetric $N$-player non-zero-sum stochastic differential games, for which we refer as \emph{deep fictitious play}, a multi-stage learning pro…

A new algorithm reduces regret in multi-player bandits without collision info.

Our work extends Coase's theorem to settings with uncertainty, showing how to maximize social welfare through property rights and learning.

Optimistic Hedge achieves optimal regret bounds in two-player zero-sum games.

Understanding player behavior is fundamental in game data science. Video games evolve as players interact with the game, so being able to foresee player experience would help to ensure a successful game development. In particular, game developers need to evaluate beforehand the impact of in-game events. Simulation opti…

Matching Markets meet Cumulative Prospect Theory: Towards Optimal and Adversarially Robust Learning

Consider a two-player zero-sum stochastic game where the transition function can be embedded in a given feature space. We propose a two-player Q-learning algorithm for approximating the Nash equilibrium strategy via sampling. The algorithm is shown to find an $ε$-optimal strategy using sample size linear to the number …

We consider the problem of learning in single-player and multiplayer multiarmed bandit models. Bandit problems are classes of online learning problems that capture exploration versus exploitation tradeoffs. In a multiarmed bandit model, players can pick among many arms, and each play of an arm generates an i.i.d. rewar…

We study stochastic multi-armed bandits with many players. The players do not know the number of players, cannot communicate with each other and if multiple players select a common arm they collide and none of them receive any reward. We consider the static scenario, where the number of players remains fixed, and the d…

We develop a model to study the role of rationality in economics and biology. The model's agents differ continuously in their ability to make rational choices. The agents' objective is to ensure their individual survival over time or, equivalently, to maximize profits. In equilibrium, however, rational agents who maxim…