Ryan D&#039;Orazio

Solving Hidden Monotone Variational Inequalities with Surrogate Losses

Junhyung Lyle Kim

Deep learning has proven to be effective in a wide variety of loss minimization problems. However, many applications of interest, like minim… (see more)izing projected Bellman error and min-max optimization, cannot be modelled as minimizing a scalar loss function but instead correspond to solving a variational inequality (VI) problem. This difference in setting has caused many practical challenges as naive gradient-based approaches from supervised learning tend to diverge and cycle in the VI case. In this work, we propose a principled surrogate-based approach compatible with deep learning to solve VIs. We show that our surrogate-based approach has three main benefits: (1) under assumptions that are realistic in practice (when hidden monotone structure is present, interpolation, and sufficient optimization of the surrogates), it guarantees convergence, (2) it provides a unifying perspective of existing methods, and (3) is amenable to existing deep learning optimizers like ADAM. Experimentally, we demonstrate our surrogate-based approach is effective in min-max optimization and minimizing projected Bellman error. Furthermore, in the deep reinforcement learning case, we propose a novel variant of TD(0) which is more compute and sample efficient.

2024-11-07

ArXiv (preprint)

arxiv.org

Stochastic Mirror Descent: Convergence Analysis and Adaptive Variants via the Mirror Stochastic Polyak Stepsize

Ryan D'Orazio

Issam Hadj Laradji

We investigate the convergence of stochastic mirror descent (SMD) under interpolation in relatively smooth and smooth convex optimization. I… (see more)n relatively smooth convex optimization we provide new convergence guarantees for SMD with a constant stepsize. For smooth convex optimization we propose a new adaptive stepsize scheme --- the mirror stochastic Polyak stepsize (mSPS). Notably, our convergence results in both settings do not make bounded gradient assumptions or bounded variance assumptions, and we show convergence to a neighborhood that vanishes under interpolation. Consequently, these results correspond to the first convergence guarantees under interpolation for the exponentiated gradient algorithm for fixed or adaptive stepsizes. mSPS generalizes the recently proposed stochastic Polyak stepsize (SPS) (Loizou et al. 2021) to mirror descent and remains both practical and efficient for modern machine learning applications while inheriting the benefits of mirror descent. We complement our results with experiments across various supervised learning tasks and different instances of SMD, demonstrating the effectiveness of mSPS.

2023-11-08

TMLR (accepted)

A Unified Approach to Reinforcement Learning, Quantal Response Equilibria, and Two-Player Zero-Sum Games

Samuel Sokota

Ryan D'Orazio

J Zico Kolter

Marc Lanctot

Noam Brown

Christian Kroer

This work studies an algorithm, which we call magnetic mirror descent, that is inspired by mirror descent and the non-Euclidean proximal gra… (see more)dient algorithm. Our contribution is demonstrating the virtues of magnetic mirror descent as both an equilibrium solver and as an approach to reinforcement learning in two-player zero-sum games. These virtues include: 1) Being the first quantal response equilibria solver to achieve linear convergence for extensive-form games with first order feedback; 2) Being the first standard reinforcement learning algorithm to achieve empirically competitive results with CFR in tabular settings; 3) Achieving favorable performance in 3x3 Dark Hex and Phantom Tic-Tac-Toe as a self-play deep reinforcement learning algorithm.

2023-02-01

ICLR.cc/2023/Conference (poster)

A Unified Approach to Reinforcement Learning, Quantal Response Equilibria, and Two-Player Zero-Sum Games

Samuel Sokota

Ryan D'Orazio

J Zico Kolter

Marc Lanctot

Noam Brown

Christian Kroer

2023-02-01

ICLR.cc/2023/Conference (poster)

A Unified Approach to Reinforcement Learning, Quantal Response Equilibria, and Two-Player Zero-Sum Games

Samuel Sokota

Ryan D’orazio

J. Z. Kolter

Marc Lanctot

Noam Brown

Christian Kroer

This work studies an algorithm, which we call magnetic mirror descent, that is inspired by mirror descent and the non-Euclidean proximal gra… (see more)dient algorithm. Our contribution is demonstrating the virtues of magnetic mirror descent as both an equilibrium solver and as an approach to reinforcement learning in two-player zero-sum games. These virtues include: 1) Being the first quantal response equilibria solver to achieve linear convergence for extensive-form games with first order feedback; 2) Being the first standard reinforcement learning algorithm to achieve empirically competitive results with CFR in tabular settings; 3) Achieving favorable performance in 3x3 Dark Hex and Phantom Tic-Tac-Toe as a self-play deep reinforcement learning algorithm.

2022-06-12

ArXiv (preprint)