Efficient Learning in Polyhedral Games via Best-Response Oracles

Abstract We study online learning and equilibrium computation in games with polyhedral decision sets, a property shared by normal-form games (NFGs) and extensive-form games (EFGs), when the learning agent is restricted to utilizing a best-response oracle. We show how to achieve constant regret in zero-sum games and O(T^0.25) regret in general-sum games while using only O(log t) best-response queries at a given iteration t, thus improving over the best prior result, which required O(T) queries per iteration. Moreover, our framework yields the first last-iterate convergence guarantees for self-play with best-response oracles in zero-sum games. This convergence occurs at a linear rate, though with a condition-number dependence. We go on to show a O(T^(-0.5)) best-iterate convergence rate without such a dependence. Our results build on linear-rate convergence results for variants of the Frank-Wolfe (FW) algorithm for strongly convex and smooth minimization problems over polyhedral domains. These FW results depend on a condition number of the polytope, known as facial distance. In order to enable application to settings such as EFGs, we show two broad new results: 1) the facial distance for polytopes in standard form is at least γ/k where γ is the minimum value of a nonzero coordinate of a vertex of the polytope and k≤n is the number of tight inequality constraints in the optimal face, and 2) the facial distance for polytopes of the form Ax=b, Cx≤d, x≥0 where x∈R^n, C≥0 is a nonzero integral matrix, and d≥0, is at least 1/(c√n), where c is the infinity norm of C. This yields the first such results for several problems such as sequence-form polytopes, flow polytopes, and matching polytopes.