TCSLib

105 Learning Theory — CCE

105.1 Overview

This module develops the theory of coarse correlated equilibria (CCE) for finite two-player games. It introduces joint distributions over action profiles, defines (approximate) CCE in terms of one-sided deviation utilities, constructs the empirical joint distribution from a sequence of mixed-strategy plays, and proves the main result: if both players run no-regret algorithms with per-round external regret at most \(\varepsilon \), then their empirical joint distribution is an \(\varepsilon \)-CCE.

105.2 Declarations

Definition 105.1 Two-player finite game
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A finite two-player game with \(M\) row actions and \(N\) column actions, specified by a row utility function \(u_r : \mathrm{Fin}\, M \times \mathrm{Fin}\, N \to \mathbb {R}\) and a column utility function \(u_c : \mathrm{Fin}\, M \times \mathrm{Fin}\, N \to \mathbb {R}\). Both players are utility maximizers.

Definition 105.2 Embedding a zero-sum game
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Given a zero-sum game \(G\) with payoff matrix \(A\), this embeds it into the general two-player framework by setting the row utility to \(A\) and the column utility to \(-A\), so that both players are maximizers of their respective utilities.

Definition 105.3 Joint distribution over action profiles
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A joint distribution \(\sigma \) on \(\mathrm{Fin}\, M \times \mathrm{Fin}\, N\) is a nonnegative function \(\sigma _{ij} \ge 0\) satisfying \(\sum _{i,j} \sigma _{ij} = 1\). It represents a correlated distribution over pure action profiles of the two players.

Definition 105.4 Row marginal
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The row marginal of \(\sigma \) at row action \(i\) is \(\sigma ^{\mathrm{row}}_i = \sum _{j} \sigma _{ij}\), i.e. the probability that the row player plays \(i\) under \(\sigma \).

Definition 105.5 Column marginal
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The column marginal of \(\sigma \) at column action \(j\) is \(\sigma ^{\mathrm{col}}_j = \sum _{i} \sigma _{ij}\), i.e. the probability that the column player plays \(j\) under \(\sigma \).

Lemma 105.6 Nonnegativity of the row marginal
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Let \(\sigma \) be a joint distribution on \(\mathrm{Fin}\, M \times \mathrm{Fin}\, N\), so \(\sigma _{ij} \ge 0\) for all \(i,j\) and \(\sum _{i,j} \sigma _{ij} = 1\). Then for every row action \(i\) the row marginal \(\sigma ^{\mathrm{row}}_i = \sum _{j} \sigma _{ij}\) satisfies \(\sigma ^{\mathrm{row}}_i \ge 0\).

Lemma 105.7 Nonnegativity of the column marginal
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Let \(\sigma \) be a joint distribution on \(\mathrm{Fin}\, M \times \mathrm{Fin}\, N\), and let \(j\) be a column action. Then the column marginal \(\sigma ^{\mathrm{col}}_j = \sum _{i} \sigma _{ij}\) satisfies \(\sigma ^{\mathrm{col}}_j \ge 0\).

Lemma 105.8 Row marginals sum to one
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Let \(\sigma \) be a joint distribution over \(\mathrm{Fin}\, M \times \mathrm{Fin}\, N\), and for each row action \(i\) let \(\sigma ^{\mathrm{row}}_i = \sum _{j} \sigma _{ij}\) denote its row marginal. Then the row marginals sum to one:

\[ \sum _{i} \sigma ^{\mathrm{row}}_i = 1. \]
Lemma 105.9 Column marginals sum to one
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Let \(\sigma \) be a joint distribution on \(\mathrm{Fin}\, M \times \mathrm{Fin}\, N\). Then the column marginals sum to one: \(\sum _{j} \sigma ^{\mathrm{col}}_j = 1\).

Definition 105.10 Row expected utility
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The row player’s expected utility under \(\sigma \) in game \(G\) is \(\sum _{i,j} \sigma _{ij} \cdot u_r(i,j)\).

Definition 105.11 Column expected utility
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The column player’s expected utility under \(\sigma \) in game \(G\) is \(\sum _{i,j} \sigma _{ij} \cdot u_c(i,j)\).

Definition 105.12 Row deviation utility
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The row player’s expected utility from unilaterally deviating to the fixed pure action \(i'\), while the column player keeps \(\sigma \)’s column marginal: \(\sum _{j} \sigma ^{\mathrm{col}}_j \cdot u_r(i', j)\).

Definition 105.13 Column deviation utility
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The column player’s expected utility from unilaterally deviating to the fixed pure action \(j'\), while the row player keeps \(\sigma \)’s row marginal: \(\sum _{i} \sigma ^{\mathrm{row}}_i \cdot u_c(i, j')\).

Definition 105.14 Coarse correlated equilibrium
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A joint distribution \(\sigma \) is a coarse correlated equilibrium (CCE) of game \(G\) if neither player can improve their expected utility by committing in advance to any fixed pure action: for all \(i'\), \(\mathrm{rowDevUtil}(\sigma , G, i') \le \mathrm{rowExpUtil}(\sigma , G)\), and for all \(j'\), \(\mathrm{colDevUtil}(\sigma , G, j') \le \mathrm{colExpUtil}(\sigma , G)\).

Definition 105.15 \(\varepsilon \)-coarse correlated equilibrium
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A joint distribution \(\sigma \) is an \(\varepsilon \)-coarse correlated equilibrium (\(\varepsilon \)-CCE) of game \(G\) if each player’s gain from any unilateral pure deviation is at most \(\varepsilon \): for all \(i'\), \(\mathrm{rowDevUtil}(\sigma , G, i') \le \mathrm{rowExpUtil}(\sigma , G) + \varepsilon \), and similarly for the column player.

Lemma 105.16 Exact coarse correlated equilibrium is approximate
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Let \(G\) be a finite two-player game with \(M\) row actions and \(N\) column actions, and let \(\sigma \) be a joint distribution over the action profiles \((i,j)\) that is a coarse correlated equilibrium of \(G\); that is, neither player can increase their expected utility under \(\sigma \) by committing in advance to a fixed pure action, so that for every row action \(i'\) the row player’s utility from deviating to \(i'\) (against the column marginal of \(\sigma \)) is at most their expected utility under \(\sigma \), and likewise the column player’s utility from deviating to any fixed action \(j'\) (against the row marginal of \(\sigma \)) is at most their expected utility under \(\sigma \). Then for every real \(\varepsilon \ge 0\), the distribution \(\sigma \) is an \(\varepsilon \)-coarse correlated equilibrium of \(G\): each player’s gain from any such unilateral pure deviation exceeds zero by at most \(\varepsilon \).

Definition 105.17 Product distribution
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Given mixed strategies \(p\) for the row player and \(q\) for the column player, the product (independent) joint distribution assigns to each profile \((i,j)\) the probability \(p_i \cdot q_j\).

Lemma 105.18 Row marginal of a product distribution
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Let \(p\) be a mixed strategy for the row player over \(M\) actions and \(q\) a mixed strategy for the column player over \(N\) actions, and let \(\sigma \) be their product distribution, so that \(\sigma _{ij} = p_i q_j\) for every profile \((i,j)\). Then for each row action \(i\) the row marginal of \(\sigma \) equals the corresponding weight of \(p\), that is, \(\sum _{j} p_i q_j = p_i\).

Lemma 105.19 Column marginal of a product distribution
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Let \(p\) be a mixed strategy over \(M\) actions for the row player and \(q\) a mixed strategy over \(N\) actions for the column player, and let \(\sigma \) be their product distribution, which assigns probability \(p_i\, q_j\) to each pure profile \((i,j)\). Then for every column action \(j\), the column marginal of \(\sigma \) at \(j\) equals \(q_j\); that is, \(\sum _{i} p_i\, q_j = q_j\).

Definition 105.20 Empirical joint distribution
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Given \(T \gt 0\) rounds of play in which the row player uses mixed strategy \(p_t\) and the column player uses \(q_t\), the empirical joint distribution assigns to each profile \((i,j)\) the time-averaged probability \(\frac{1}{T}\sum _{t=1}^{T} (p_t)_i \cdot (q_t)_j\).

Lemma 105.21 Row marginal of the empirical joint distribution
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Fix \(T \ge 1\) rounds of play in which the row player uses mixed strategies \(p_1,\dots ,p_T\) over \(M\) actions and the column player uses mixed strategies \(q_1,\dots ,q_T\) over \(N\) actions, and let \(\sigma \) be the empirical joint distribution, which assigns to each profile \((i,j)\) the time-averaged probability \(\frac{1}{T}\sum _{t=1}^{T} (p_t)_i (q_t)_j\). Then for every row action \(i\), the row marginal \(\sigma ^{\mathrm{row}}_i = \sum _{j} \sigma _{ij}\) equals the time-average of the row player’s weight on \(i\):

\[ \sigma ^{\mathrm{row}}_i \; =\; \frac{1}{T}\sum _{t=1}^{T} (p_t)_i . \]
Lemma 105.22 Column marginal of the empirical joint distribution
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Consider \(T \gt 0\) rounds of play between a row player with \(M\) actions and a column player with \(N\) actions, where in round \(t\) the row player uses the mixed strategy \(p_t\) over the row actions and the column player uses the mixed strategy \(q_t\) over the column actions. Form the empirical joint distribution \(\sigma \) assigning to each profile \((i,j)\) the time-averaged probability \(\frac{1}{T}\sum _{t=1}^{T} (p_t)_i (q_t)_j\). Then for each column action \(j\), the column marginal \(\sigma ^{\mathrm{col}}_j = \sum _i \sigma _{ij}\) equals the time-average of the column player’s weights on \(j\),

\[ \sigma ^{\mathrm{col}}_j = \frac{1}{T}\sum _{t=1}^{T} (q_t)_j. \]
Lemma 105.23 Averaging a payoff against the empirical joint distribution
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Fix \(T \gt 0\) rounds of play in which, in round \(t\), the row player uses a mixed strategy \(p_t\) over \(\mathrm{Fin}\, M\) and the column player a mixed strategy \(q_t\) over \(\mathrm{Fin}\, N\); write \((p_t)_i\) and \((q_t)_j\) for the weights placed on actions \(i\) and \(j\). Let \(\sigma \) be the empirical joint distribution, whose value at each profile \((i,j)\) is the time average \(\sigma _{ij} = \frac{1}{T}\sum _{t=1}^{T} (p_t)_i\, (q_t)_j\). Then for every function \(f : \mathrm{Fin}\, M \times \mathrm{Fin}\, N \to \mathbb {R}\),

\[ \sum _{i}\sum _{j} \sigma _{ij}\, f(i,j) \; =\; \frac{1}{T}\sum _{t=1}^{T}\sum _{i}\sum _{j} (p_t)_i\, (q_t)_j\, f(i,j). \]
Lemma 105.24 Row expected utility of the empirical joint distribution
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Fix a finite two-player game with \(M\) row actions and \(N\) column actions, and write \(u_r(i,j)\) for the row player’s payoff at the pure profile \((i,j)\). Suppose that over \(T \gt 0\) rounds the row player plays a mixed strategy \(p_t\) and the column player a mixed strategy \(q_t\) in each round \(t\), and let \(\sigma \) be the empirical joint distribution given by \(\sigma _{ij} = \frac{1}{T}\sum _{t=1}^{T}(p_t)_i\, (q_t)_j\). Then the row player’s expected utility under \(\sigma \) equals the time-average of the per-round bilinear payoffs:

\[ \sum _{i,j}\sigma _{ij}\, u_r(i,j) = \frac{1}{T}\sum _{t=1}^{T}\sum _{i,j}(p_t)_i\, (q_t)_j\, u_r(i,j). \]
Lemma 105.25 Column utility of the empirical joint distribution
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Consider a finite two-player game with \(M\) row actions and \(N\) column actions, whose column payoff is \(u_c(i,j)\) for the action profile \((i,j)\). Fix \(T \ge 1\) rounds in which the row player plays the mixed strategy \(p_t\) and the column player plays the mixed strategy \(q_t\), and let \(\sigma \) be the empirical joint distribution, which assigns to each profile \((i,j)\) the time-averaged probability \(\frac{1}{T}\sum _{t=1}^{T} (p_t)_i\, (q_t)_j\). Then the column player’s expected utility under \(\sigma \) equals the time-average of the per-round bilinear column payoffs:

\[ \sum _{i=1}^{M}\sum _{j=1}^{N} \sigma _{ij}\, u_c(i,j) = \frac{1}{T}\sum _{t=1}^{T}\sum _{i=1}^{M}\sum _{j=1}^{N} (p_t)_i\, (q_t)_j\, u_c(i,j). \]
Lemma 105.26 Empirical row deviation utility as a time average
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Let \(G\) be a finite two-player game with \(M\) row actions and \(N\) column actions, and let \(u_r(i,j)\) denote the row player’s utility. Fix an integer \(T \ge 1\), and suppose that in each round \(t \in \{ 1,\dots ,T\} \) the row player plays the mixed strategy \(p_t\) over the \(M\) row actions and the column player plays the mixed strategy \(q_t\) over the \(N\) column actions, giving rise to the empirical joint distribution \(\sigma \) with \(\sigma _{ij} = \tfrac {1}{T}\sum _{t=1}^{T} (p_t)_i\, (q_t)_j\). Then for every pure row action \(i'\), the row player’s deviation utility under \(\sigma \) equals the time average of the expected utilities of playing \(i'\) against each round’s column strategy:

\[ \sum _{j} \sigma ^{\mathrm{col}}_j\, u_r(i',j) = \frac{1}{T}\sum _{t=1}^{T}\sum _{j} (q_t)_j\, u_r(i',j). \]
Lemma 105.27 Column deviation utility of the empirical joint distribution
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Let \(G\) be a finite two-player game with \(M\) row actions and \(N\) column actions and column utility \(u_c(i,j)\), and fix a number of rounds \(T \ge 1\). Suppose that in each round \(t \in \{ 1,\dots ,T\} \) the row player plays a mixed strategy \(p_t\) over the \(M\) row actions and the column player plays a mixed strategy \(q_t\) over the \(N\) column actions, and let \(\sigma \) be the empirical joint distribution that assigns mass \(\frac{1}{T}\sum _{t=1}^{T} (p_t)_i\, (q_t)_j\) to each action profile \((i,j)\). Then, for every column action \(j'\), the column player’s expected utility from deviating to the pure action \(j'\) against the row marginal \(\sigma ^{\mathrm{row}}_i = \sum _{j} \sigma _{ij}\) is the time average of the round-by-round deviation utilities:

\[ \sum _{i} \sigma ^{\mathrm{row}}_i\, u_c(i,j') = \frac{1}{T}\sum _{t=1}^{T}\sum _{i} (p_t)_i\, u_c(i,j'). \]
Theorem 105.28 No-regret play yields an approximate coarse correlated equilibrium
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Let \(G\) be a finite two-player game with row utility \(u_r\) and column utility \(u_c\) over \(M\) row actions and \(N\) column actions, and consider \(T \gt 0\) rounds of play in which the row player uses the mixed strategy \(p_t\) and the column player uses the mixed strategy \(q_t\) at round \(t\). Fix \(\varepsilon \in \mathbb {R}\), and suppose that for every pure row deviation \(i'\),

\[ \sum _{t=1}^{T}\sum _{j}(q_t)_j\, u_r(i',j) \; -\; \sum _{t=1}^{T}\sum _{i,j}(p_t)_i (q_t)_j\, u_r(i,j) \; \le \; \varepsilon T, \]

and for every pure column deviation \(j'\),

\[ \sum _{t=1}^{T}\sum _{i}(p_t)_i\, u_c(i,j') \; -\; \sum _{t=1}^{T}\sum _{i,j}(p_t)_i (q_t)_j\, u_c(i,j) \; \le \; \varepsilon T. \]

Then the empirical joint distribution of the play, which assigns to each profile \((i,j)\) the probability \(\frac{1}{T}\sum _{t=1}^{T}(p_t)_i (q_t)_j\), is an \(\varepsilon \)-coarse correlated equilibrium of \(G\).

105.3 Additional declarations

Lemma 105.29 Row regret bound gives row deviation bound
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Let \(G\) be a finite two-player game with row utility \(u_r\) over \(M\) row actions and \(N\) column actions, and consider \(T \gt 0\) rounds of play in which the row player uses the mixed strategy \(p_t\) and the column player the mixed strategy \(q_t\) at round \(t\). Fix \(\varepsilon \in \mathbb {R}\) and a pure row action \(i'\), and suppose the row player’s cumulative external regret against always playing \(i'\) is at most \(\varepsilon T\):

\[ \sum _{t=1}^{T}\sum _{j}(q_t)_j\, u_r(i',j) \; -\; \sum _{t=1}^{T}\sum _{i,j}(p_t)_i (q_t)_j\, u_r(i,j) \; \le \; \varepsilon T. \]

Then in the empirical joint distribution \(\sigma \) of the play, deviating to \(i'\) gains at most \(\varepsilon \) over the expected utility: \(\mathrm{rowDevUtil}(\sigma , G, i') \le \mathrm{rowExpUtil}(\sigma , G) + \varepsilon \). This is the row half of empiricalJoint_isApproxCCE.

Lemma 105.30 Column regret bound gives column deviation bound
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Let \(G\) be a finite two-player game with column utility \(u_c\) over \(M\) row actions and \(N\) column actions, and consider \(T \gt 0\) rounds of play in which the row player uses the mixed strategy \(p_t\) and the column player the mixed strategy \(q_t\) at round \(t\). Fix \(\varepsilon \in \mathbb {R}\) and a pure column action \(j'\), and suppose the column player’s cumulative external regret against always playing \(j'\) is at most \(\varepsilon T\):

\[ \sum _{t=1}^{T}\sum _{i}(p_t)_i\, u_c(i,j') \; -\; \sum _{t=1}^{T}\sum _{i,j}(p_t)_i (q_t)_j\, u_c(i,j) \; \le \; \varepsilon T. \]

Then in the empirical joint distribution \(\sigma \) of the play, deviating to \(j'\) gains at most \(\varepsilon \) over the expected utility: \(\mathrm{colDevUtil}(\sigma , G, j') \le \mathrm{colExpUtil}(\sigma , G) + \varepsilon \). This is the column half of empiricalJoint_isApproxCCE, mirroring empiricalJoint_row_deviation_le.