## Abstract

We study episodic two-player zero-sum Markov games (MGs) in the offline setting, where the goal is to find an approximate Nash equilibrium (NE) policy pair based on a dataset collected a priori. When the dataset does not have uniform coverage over all policy pairs, finding an approximate NE involves challenges in three aspects: (i) distributional shift between the behavior policy and the optimal policy, (ii) function approximation to handle large state space, and (iii) minimax optimization for equilibrium solving. We propose a pessimism-based algorithm, dubbed as pessimistic minimax value iteration (PMVI), which overcomes the distributional shift by constructing pessimistic estimates of the value functions for both players and outputs a policy pair by solving a correlated coarse equilibrium based on the two value functions. Furthermore, we establish a data-dependent upper bound on the suboptimality which recovers a sublinear rate without the assumption on uniform coverage of the dataset. We also prove an information-theoretical lower bound, which shows our upper bound is nearly minimax optimal, which suggests that the data-dependent term is intrinsic. Our theoretical results also highlight a notion of “relative uncertainty”, which characterizes the necessary and sufficient condition for achieving sample efficiency in offline MGs. To the best of our knowledge, we provide the first nearly minimax optimal result for offline MGs with function approximation.

Original language | English (US) |
---|---|

Pages (from-to) | 27117-27142 |

Number of pages | 26 |

Journal | Proceedings of Machine Learning Research |

Volume | 162 |

State | Published - 2022 |

Externally published | Yes |

Event | 39th International Conference on Machine Learning, ICML 2022 - Baltimore, United States Duration: Jul 17 2022 → Jul 23 2022 |

## ASJC Scopus subject areas

- Artificial Intelligence
- Software
- Control and Systems Engineering
- Statistics and Probability