Finite-Time Last-Iterate Convergence for Multi-Agent Learning in Games

Part of Proceedings of the International Conference on Machine Learning 1 pre-proceedings (ICML 2020)

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Authors

Darren Lin, Zhengyuan Zhou, Panayotis Mertikopoulos, Michael Jordan

Abstract

In this paper, we consider multi-agent learning via online gradient descent in a class of games called $\lambda$-cocoercive games, a fairly broad class of games that admits many Nash equilibria and that properly includes unconstrained strongly monotone games. We characterize the finite-time last-iterate convergence rate for joint OGD learning on $\lambda$-cocoercive games; further, building on this result, we develop a fully adaptive OGD learning algorithm that does not require any knowledge of problem parameter (e.g. cocoercive constant $\lambda$) and show, via a novel double-stopping time technique, that this adaptive algorithm achieves same finite-time last-iterate convergence rate as non-adaptive counterpart. Subsequently, we extend OGD learning to the noisy gradient feedback case and establish last-iterate convergence results--first qualitative almost sure convergence, then quantitative finite-time convergence rates-- all under non-decreasing step-sizes. To our knowledge, we provide the first set of results that fill in several gaps of the existing multi-agent online learning literature, where three aspects--finite-time convergence rates, non-decreasing step-sizes, and fully adaptive algorithms have been unexplored before.