Distributionally robust games: F-divergence and learning

Dario Bauso, Jian Gao, Hamidou Tembine

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

In this paper we introduce the novel framework of distributionally robust games. These are multi-player games where each player models the state of nature using a worst-case distribution, also called adversarial distribution. Thus each player's payoff depends on the other players' decisions and on the decision of a virtual player (nature) who selects an adversarial distribution of scenarios. This paper provides three main contributions. Firstly, the distributionally robust game is formulated using the statistical notions of f-divergence between two distributions, here represented by the adversarial distribution, and the exact distribution. Secondly, the complexity of the problem is significantly reduced by means of triality theory. Thirdly, stochastic Bregman learning algorithms are proposed to speedup the computation of robust equilibria. Finally, the theoretical findings are illustrated in a convex setting and its limitations are tested with a non-convex non-concave function.

Original languageEnglish (US)
Title of host publicationProceedings of the 11th EAI International Conference on Performance Evaluation Methodologies and Tools, VALUETOOLS 2017
PublisherAssociation for Computing Machinery
Pages148-155
Number of pages8
ISBN (Print)9781450363464
DOIs
StatePublished - Dec 5 2017
Event11th EAI International Conference on Performance Evaluation Methodologies and Tools, VALUETOOLS 2017 - Venice, Italy
Duration: Dec 5 2017Dec 7 2017

Publication series

NameACM International Conference Proceeding Series

Other

Other11th EAI International Conference on Performance Evaluation Methodologies and Tools, VALUETOOLS 2017
CountryItaly
CityVenice
Period12/5/1712/7/17

Keywords

  • Game Theory

ASJC Scopus subject areas

  • Software
  • Human-Computer Interaction
  • Computer Vision and Pattern Recognition
  • Computer Networks and Communications

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  • Cite this

    Bauso, D., Gao, J., & Tembine, H. (2017). Distributionally robust games: F-divergence and learning. In Proceedings of the 11th EAI International Conference on Performance Evaluation Methodologies and Tools, VALUETOOLS 2017 (pp. 148-155). (ACM International Conference Proceeding Series). Association for Computing Machinery. https://doi.org/10.1145/3150928.3150950