On Randomized Fictitious Play for Approximating Saddle Points Over Convex Sets

TL;DR

This paper extends randomized fictitious play to approximate saddle points over convex sets using log-concave sampling, achieving faster algorithms for problems with bounded width and small epsilon.

Contribution

It generalizes the method of Grigoriadis and Khachiyan to convex sets beyond matrix games, providing a polynomial-time randomized algorithm for approximate saddle points.

Findings

Achieves $O^*(rac{(n+m)}{ ext{eps}^2} ext{ln} R)$ sample complexity for constant width functions.

Provides a faster randomized algorithm for bounded width problems with small epsilon.

Utilizes advanced sampling techniques from convex geometry.

Abstract

Given two bounded convex sets $X\subseteq\RR^m$ and $Y\subseteq\RR^n,$ specified by membership oracles, and a continuous convex-concave function $F:X\times Y\to\RR$, we consider the problem of computing an $\eps$-approximate saddle point, that is, a pair $(x^*,y^*)\in X\times Y$ such that $\sup_{y\in Y} F(x^*,y)\le \inf_{x\in X}F(x,y^*)+\eps.$ Grigoriadis and Khachiyan (1995) gave a simple randomized variant of fictitious play for computing an $\eps$-approximate saddle point for matrix games, that is, when $F$ is bilinear and the sets $X$ and $Y$ are simplices. In this paper, we extend their method to the general case. In particular, we show that, for functions of constant "width", an $\eps$-approximate saddle point can be computed using $O^*(\frac{(n+m)}{\eps^2}\ln R)$ random samples from log-concave distributions over the convex sets $X$ and $Y$. It is assumed that $X$ and $Y$ have inscribed balls of radius $1/R$ and circumscribing balls of radius $R$. As a consequence, we obtain a simple randomized polynomial-time algorithm that computes such an approximation faster than known methods for problems with bounded width and when $\eps \in (0,1)$ is a fixed, but arbitrarily small constant. Our main tool for achieving this result is the combination of the randomized fictitious play with the recently developed results on sampling from convex sets.