Model-Free Algorithm with Improved Sample Efficiency for Zero-Sum Markov
  Games
Songtao Feng Ming Yin Yu-Xiang Wang Jing Yang Yingbin Liang
The problem of two-player zero-sum Markov games has recently attracted
increasing interests in theoretical studies of multi-agent reinforcement
learning (RL). In particular, for finite-horizon episodic Markov decision
processes (MDPs), it has been shown that model-based algorithms can find an
$\epsilon$-optimal Nash Equilibrium (NE) with the sample complexity of
$O(H^3SAB/\epsilon^2)$, which is optimal in the dependence of the horizon $H$
and the number of states $S$ (where $A$ and $B$ denote the number of actions of
the two players, respectively). However, none of the existing model-free
algorithms can achieve such an optimality. In this work, we propose a
model-free stage-based Q-learning algorithm and show that it achieves the same
sample complexity as the best model-based algorithm, and hence for the first
time demonstrate that model-free algorithms can enjoy the same optimality in
the $H$ dependence as model-based algorithms. The main improvement of the
dependency on $H$ arises by leveraging the popular variance reduction technique
based on the reference-advantage decomposition previously used only for
single-agent RL. However, such a technique relies on a critical monotonicity
property of the value function, which does not hold in Markov games due to the
update of the policy via the coarse correlated equilibrium (CCE) oracle. Thus,
to extend such a technique to Markov games, our algorithm features a key novel
design of updating the reference value functions as the pair of optimistic and
pessimistic value functions whose value difference is the smallest in the
history in order to achieve the desired improvement in the sample efficiency.