Gradient Descent Ascent in Min-Max Stackelberg Games

Denizalp Goktas and Amy Greenwald

Papers from arXiv.org

Abstract: Min-max optimization problems (i.e., min-max games) have attracted a great deal of attention recently as their applicability to a wide range of machine learning problems has become evident. In this paper, we study min-max games with dependent strategy sets, where the strategy of the first player constrains the behavior of the second. Such games are best understood as sequential, i.e., Stackelberg, games, for which the relevant solution concept is Stackelberg equilibrium, a generalization of Nash. One of the most popular algorithms for solving min-max games is gradient descent ascent (GDA). We present a straightforward generalization of GDA to min-max Stackelberg games with dependent strategy sets, but show that it may not converge to a Stackelberg equilibrium. We then introduce two variants of GDA, which assume access to a solution oracle for the optimal Karush Kuhn Tucker (KKT) multipliers of the games' constraints. We show that such an oracle exists for a large class of convex-concave min-max Stackelberg games, and provide proof that our GDA variants with such an oracle converge in $O(\frac{1}{\varepsilon^2})$ iterations to an $\varepsilon$-Stackelberg equilibrium, improving on the most efficient algorithms currently known which converge in $O(\frac{1}{\varepsilon^3})$ iterations. We then show that solving Fisher markets, a canonical example of a min-max Stackelberg game, using our novel algorithm, corresponds to buyers and sellers using myopic best-response dynamics in a repeated market, allowing us to prove the convergence of these dynamics in $O(\frac{1}{\varepsilon^2})$ iterations in Fisher markets. We close by describing experiments on Fisher markets which suggest potential ways to extend our theoretical results, by demonstrating how different properties of the objective function can affect the convergence and convergence rate of our algorithms.

Date: 2022-08
New Economics Papers: this item is included in nep-cmp and nep-gth
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