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Pessimistic Minimax Value Iteration: Provably Efficient Equilibrium Learning from Offline Datasets
Han Zhong · Wei Xiong · Jiyuan Tan · Liwei Wang · Tong Zhang · Zhaoran Wang · Zhuoran Yang

Thu Jul 21 08:55 AM -- 09:00 AM (PDT) @ Room 310

We study episodic two-player zero-sum Markov games (MGs) in the offline setting, where the goal is to find an approximate Nash equilibrium (NE) policy pair based on a dataset collected a priori. When the dataset does not have uniform coverage over all policy pairs, finding an approximate NE involves challenges in three aspects: (i) distributional shift between the behavior policy and the optimal policy, (ii) function approximation to handle large state space, and (iii) minimax optimization for equilibrium solving. We propose a pessimism-based algorithm, dubbed as pessimistic minimax value iteration (PMVI), which overcomes the distributional shift by constructing pessimistic estimates of the value functions for both players and outputs a policy pair by solving a correlated coarse equilibrium based on the two value functions. Furthermore, we establish a data-dependent upper bound on the suboptimality which recovers a sublinear rate without the assumption on uniform coverage of the dataset. We also prove an information-theoretical lower bound, which shows our upper bound is nearly minimax optimal, which suggests that the data-dependent term is intrinsic. Our theoretical results also highlight a notion of ``relative uncertainty'', which characterizes the necessary and sufficient condition for achieving sample efficiency in offline MGs. To the best of our knowledge, we provide the first nearly minimax optimal result for offline MGs with function approximation.

Author Information

Han Zhong (Peking University)
Wei Xiong (The Hong Kong University of Science and Technology)
Jiyuan Tan (Fudan University)
Liwei Wang (Peking University)
Tong Zhang (HKUST)
Tong Zhang

Tong Zhang is a professor of Computer Science and Mathematics at the Hong Kong University of Science and Technology. His research interests are machine learning, big data and their applications. He obtained a BA in Mathematics and Computer Science from Cornell University, and a PhD in Computer Science from Stanford University. Before joining HKUST, Tong Zhang was a professor at Rutgers University, and worked previously at IBM, Yahoo as research scientists, Baidu as the director of Big Data Lab, and Tencent as the founding director of AI Lab. Tong Zhang was an ASA fellow and IMS fellow, and has served as the chair or area-chair in major machine learning conferences such as NIPS, ICML, and COLT, and has served as associate editors in top machine learning journals such as PAMI, JMLR, and Machine Learning Journal.

Zhaoran Wang (Northwestern University)
Zhuoran Yang (Yale University)

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