Forward Looking Best-Response Multiplicative Weights Update Methods for Bilinear Zero-sum Games

Abstract: Our work focuses on extra gradient learning algorithms for finding Nash equilibria in bilinear zero-sum games. The proposed method, which can be formally considered as a variant of Optimistic Mirror Descent \cite{DBLP:conf/iclr/MertikopoulosLZ19}, uses a large learning rate for the intermediate gradient step which essentially leads to computing (approximate) best response strategies against the profile of the previous iteration. Although counter-intuitive at first sight due to the irrationally large, for an iterative algorithm, intermediate learning step, we prove that the method guarantees last-iterate convergence to an equilibrium. Particularly, we show that the algorithm reaches first an $\eta^{1/\rho}$-approximate Nash equilibrium, with $\rho > 1$, by decreasing the Kullback-Leibler divergence of each iterate by at least $\Omega(\eta^{1+\frac{1}{\rho}})$, for sufficiently small learning rate, $\eta$, until the method becomes a contracting map, and converges to the exact equilibrium. Furthermore, we perform experimental comparisons with the optimistic variant of the multiplicative weights update method, by \cite{Daskalakis2019LastIterateCZ} and show that our algorithm has significant practical potential since it offers substantial gains in terms of accelerated convergence.