Decentralized Optimistic Hyperpolicy Mirror Descent: Provably No-Regret Learning in Markov Games

We study decentralized policy learning in Markov games where we control a single agent to play with nonstationary and possibly adversarial opponents. Our goal is to develop a no-regret online learning algorithm that (i) takes actions based on the local information observed by the agent and (ii) is able to find the best policy in hindsight. For such a problem, the nonstationary state transitions due to the varying opponent pose a significant challenge. In light of a recent hardness result , we focus on the setting where the opponent's previous policies are revealed to the agent for decision making. With such an information structure, we propose a new algorithm, Decentralized Optimistic hypeRpolicy mIrror deScent (DORIS), which achieves $\sqrt{K}$-regret in the context of general function approximation, where $K$ is the number of episodes. Moreover, when all the agents adopt DORIS, we prove that their mixture policy constitutes an approximate coarse correlated equilibrium. In particular, DORIS maintains a hyperpolicy which is a distribution over the policy space. The hyperpolicy is updated via mirror descent, where the update direction is obtained by an optimistic variant of least-squares policy evaluation. Furthermore, to illustrate the power of our method, we apply DORIS to constrained and vector-valued MDPs, which can be formulated as zero-sum Markov games with a fictitious opponent.