arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 1901.04882cs.GTcs.MAmath.OC
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具有风险偏好的马尔可夫博弈模型及其强化学习

Model and Reinforcement Learning for Markov Games with Risk Preferences

Wenjie Huang, Pham Viet Hai, William B. Haskell

摘要:

我们提出了一个新的非合作马尔可夫博弈模型,考虑了风险意识的球员之间的相互作用。这个模型的特点是时间一致的动态“风险”从随机状态转换(固有的游戏)和随机混合策略(由于所有其他球员)。一个适当的风险意识的均衡的概念,提出了这样的平衡的存在性证明在平稳策略的应用角谷不动点定理。我们进一步提出了一个基于模拟的Q学习型算法的风险意识的均衡计算。该算法适用于一种特殊形式的极小极大风险度量,这种风险度量可以自然地写成鞍点随机优化问题,并且覆盖了许多广泛研究的风险度量。最后,在一些较弱的条件下,证明了该算法几乎必然收敛于平衡点。通过一个两人排队博弈的数值实验,验证了模型和算法的性质,并证明了它们在现实竞争决策中的价值和适用性。

英文摘要:

We motivate and propose a new model for non-cooperative Markov game which considers the interactions of risk-aware players. This model characterizes the time-consistent dynamic "risk" from both stochastic state transitions (inherent to the game) and randomized mixed strategies (due to all other players). An appropriate risk-aware equilibrium concept is proposed and the existence of such equilibria is demonstrated in stationary strategies by an application of Kakutani's fixed point theorem. We further propose a simulation-based Q-learning type algorithm for risk-aware equilibrium computation. This algorithm works with a special form of minimax risk measures which can naturally be written as saddle-point stochastic optimization problems, and covers many widely investigated risk measures. Finally, the almost sure convergence of this simulation-based algorithm to an equilibrium is demonstrated under some mild conditions. Our numerical experiments on a two player queuing game validate the properties of our model and algorithm, and demonstrate their worth and applicability in real life competitive decision-making.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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