Efficient Regret Minimization in Non-Convex Games
Elad Hazan · Karan Singh · Cyril Zhang
2017 Poster
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Abstract
We consider regret minimization in repeated games with non-convex loss functions. Minimizing the standard notion of regret is computationally intractable. Thus, we define a natural notion of regret which permits efficient optimization and generalizes offline guarantees for convergence to an approximate local optimum. We give gradient-based methods that achieve optimal regret, which in turn guarantee convergence to equilibrium in this framework.
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