Sampling Equilibria: Fast No-Regret Learning in Structured Games

Learning and equilibrium computation in games are fundamental problems across computer science and economics, with applications ranging from politics to machine learning. Much of the work in this area revolves around a simple algorithm termed randomized weighted majority (RWM), also known as “Hedge” or “Multiplicative Weights Update,” which is well known to achieve statistically optimal rates in adversarial settings (Littlestone and Warmuth '94, Freund and Schapire '99). Unfortunately, RWM comes with an inherent computational barrier: it requires maintaining and sampling from a distribution over all possible actions. In typical settings of interest the action space is exponentially large, seemingly rendering RWM useless in practice. In this work, we refute this notion for a broad variety of structured games, showing it is possible to efficiently (approximately) sample the action space in RWM in polylogarithmic time. This gives the first efficient no-regret algorithms for problems such as the (discrete) Colonel Blotto game, matroid congestion, matroid security, and basic dueling games. As an immediate corollary, we give a polylogarithmic time meta-algorithm to compute approximate Nash Equilibria for these games that is exponentially faster than prior methods in several important settings. Further, our algorithm is the first to efficiently compute equilibria for more involved variants of these games with general sums, more than two players, and, for Colonel Blotto, multiple resource types. Our results also greatly generalize earlier work on efficient RWM-based techniques for exponential strategy sets from (Cesa-Bianchi and Lugosi '09).