[J18] - Mixed-strategy learning with continuous action sets

S. Perkins, P. Mertikopoulos, and D. S. Leslie. IEEE Transactions on Automatic Control, vol. 62, no. 1, pp. 379-384, January 2017.

Abstract

Motivated by the recent applications of game-theoretic learning techniques to the design of distributed control systems, we study a class of control problems that can be formulated as potential games with continuous action sets, and we propose an actor-critic reinforcement learning algorithm that provably converges to equilibrium in this class of problems. The method employed is to analyse the learning process under study through a mean-field dynamical system that evolves in an infinite-dimensional function space (the space of probability distributions over the players’ continuous controls). To do so, we extend the theory of finite-dimensional two-timescale stochastic approximation to an infinite-dimensional, Banach space setting, and we prove that the continuous dynamics of the process converge to equilibrium in the case of potential games. These results combine to give a provably-convergent learning algorithm in which players do not need to keep track of the controls selected by the other agents.

arXiv link: https://arxiv.org/abs/1412.0543

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