Finite Regret and Cycles with Fixed Step-Size via Alternating Gradient Descent-Ascent
James P Bailey, Gauthier Gidel, Georgios Piliouras
Subject areas: Economics, game theory, and incentives, Online learning
Presented in: Session 3B, Session 3D
[Zoom link for poster in Session 3B], [Zoom link for poster in Session 3D]
Abstract:
Gradient descent is arguably one of the most popular online optimization methods with a wide array of applications. However, the standard implementation where agents simultaneously update their strategies yields several undesirable properties; strategies diverge away from equilibrium and regret grows over time. In this paper, we eliminate these negative properties by considering a different implementation to obtain $O\left( \nicefrac{1}{T}\right)$ time-average regret via arbitrary fixed step-size. We obtain this surprising property by having agents take turns when updating their strategies. In this setting, we show that an agent that uses gradient descent with any linear loss function obtains bounded regret -- regardless of how their opponent updates their strategies. Furthermore, we show that in adversarial settings that agents' strategies are bounded and cycle when both are using the alternating gradient descent algorithm.