Fictitious Cross-Play: Learning Global Nash Equilibrium in Mixed Cooperative-Competitive Games

Self-play (SP) is a popular multi-agent reinforcement learning (MARL) framework for solving competitive games, where each agent optimizes policy by treating others as part of the environment. Despite the empirical successes, the theoretical properties of SP-based methods are limited to two-player zero-sum games. However, for mixed cooperative-competitive games where agents on the same team need to cooperate with each other, we can show a simple counter-example where SP-based methods cannot converge to a global Nash equilibrium (NE) with high probability. Alternatively, Policy-Space Response Oracles (PSRO) is an iterative framework for learning NE, where the best responses w.r.t. previous policies are learned in each iteration. PSRO can be directly extended to mixed cooperative-competitive settings by jointly learning team best responses with all convergence properties unchanged. However, PSRO requires repeatedly training joint policies from scratch till convergence, which makes it hard to scale to complex games. In this work, we develop a novel algorithm, Fictitious Cross-Play (FXP), which inherits the benefits from both frameworks. FXP simultaneously trains an SP-based main policy and a counter population of best response policies. The main policy is trained by fictitious self-play and cross-play against the counter population, while the counter policies are trained as the best responses to the main policy's past versions. We validate our method in matrix games and show that FXP converges to global NEs while SP methods fail. We also conduct experiments in a gridworld domain, where FXP achieves higher Elo ratings and lower exploitabilities than baselines, and a more challenging football game, where FXP defeats SOTA models with over 94% win rate.

DeRisk: An Effective Deep Learning Framework for Credit Risk Prediction over Real-World Financial Data

Despite the tremendous advances achieved over the past years by deep learning techniques, the latest risk prediction models for industrial applications still rely on highly handtuned stage-wised statistical learning tools, such as gradient boosting and random forest methods. Different from images or languages, real-world financial data are high-dimensional, sparse, noisy and extremely imbalanced, which makes deep neural network models particularly challenging to train and fragile in practice. In this work, we propose DeRisk, an effective deep learning risk prediction framework for credit risk prediction on real-world financial data. DeRisk is the first deep risk prediction model that outperforms statistical learning approaches deployed in our company's production system. We also perform extensive ablation studies on our method to present the most critical factors for the empirical success of DeRisk.

A Benchmark for Low-Switching-Cost Reinforcement Learning

A ubiquitous requirement in many practical reinforcement learning (RL) applications, including medical treatment, recommendation system, education and robotics, is that the deployed policy that actually interacts with the environment cannot change frequently. Such an RL setting is called low-switching-cost RL, i.e., achieving the highest reward while reducing the number of policy switches during training. Despite the recent trend of theoretical studies aiming to design provably efficient RL algorithms with low switching costs, none of the existing approaches have been thoroughly evaluated in popular RL testbeds. In this paper, we systematically studied a wide collection of policy-switching approaches, including theoretically guided criteria, policy-difference-based methods, and non-adaptive baselines. Through extensive experiments on a medical treatment environment, the Atari games, and robotic control tasks, we present the first empirical benchmark for low-switching-cost RL and report novel findings on how to decrease the switching cost while maintain a similar sample efficiency to the case without the low-switching-cost constraint. We hope this benchmark could serve as a starting point for developing more practically effective low-switching-cost RL algorithms. We release our code and complete results in https://sites.google.com/view/low-switching-cost-rl.