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2019

Deep Q-Learning for Nash Equilibria: Nash-DQN

Casgrain, Philippe, Ning, Brian, Jaimungal, Sebastian

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Model-free learning for multi-agent stochastic games is an active area of research.

Existing reinforcement learning algorithms, however, are often restricted to zero-sum games, and are applicable only in small state-action spaces or other simplified settings.
Here, we develop a new data efficient Deep-Q-learning methodology for model-free learning of Nash equilibria for general-sum stochastic games.
The algorithm uses a local linear-quadratic expansion of the stochastic game, which leads to analytically solvable optimal actions.

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