Low-Variance and Zero-Variance Baselines for Extensive-Form Games

Jul 12, 2020

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Extensive-form games (EFGs) are a common model of multi-agent interactions with imperfect information. State-of-the-art algorithms for solving these games typically perform full walks of the game tree that can prove prohibitively slow in large games. Alternatively, sampling-based methods such as Monte Carlo Counterfactual Regret Minimization walk one or more trajectories through the tree, touching only a fraction of the nodes on each iteration, at the expense of requiring more iterations to converge due to the variance of sampled values. In this paper, we extend recent work that uses baseline estimates to reduce this variance. We introduce a framework of baseline-corrected values in EFGs that generalizes the previous work. Within our framework, we propose new baseline functions that result in significantly reduced variance compared to existing techniques. We show that one particular choice of such a function — predictive baseline — is provably optimal under certain sampling schemes. This allows for efficient computation of zero-variance value estimates even along sampled trajectories.

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The International Conference on Machine Learning (ICML) is the premier gathering of professionals dedicated to the advancement of the branch of artificial intelligence known as machine learning. ICML is globally renowned for presenting and publishing cutting-edge research on all aspects of machine learning used in closely related areas like artificial intelligence, statistics and data science, as well as important application areas such as machine vision, computational biology, speech recognition, and robotics. ICML is one of the fastest growing artificial intelligence conferences in the world. Participants at ICML span a wide range of backgrounds, from academic and industrial researchers, to entrepreneurs and engineers, to graduate students and postdocs.

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