Regret-Minimization Algorithms for Multi-Agent Cooperative Learning Systems

A Multi-Agent Cooperative Learning (MACL) system is an artificial intelligence (AI) system where multiple learning agents work together to complete a common task. Recent empirical success of MACL systems in various domains (e.g. traffic control, cloud computing, robotics) has sparked active research into the design and analysis of MACL systems for sequential decision making problems. One important metric of the learning algorithm for decision making problems is its regret, i.e. the difference between the highest achievable reward and the actual reward that the algorithm gains. The design and development of a MACL system with low-regret learning algorithms can create huge economic values. In this thesis, I analyze MACL systems for different sequential decision making problems. Concretely, the Chapter 3 and 4 investigate the cooperative multi-agent multi-armed bandit problems, with full-information or bandit feedback, in which multiple learning agents can exchange their information through a communication network and the agents can only observe the rewards of the actions they choose. Chapter 5 considers the communication-regret trade-off for online convex optimization in the distributed setting. Chapter 6 discusses how to form high-productive teams for agents based on their unknown but fixed types using adaptive incremental matchings. For the above problems, I present the regret lower bounds for feasible learning algorithms and provide the efficient algorithms to achieve this bound. The regret bounds I present in Chapter 3, 4 and 5 quantify how the regret depends on the connectivity of the communication network and the communication delay, thus giving useful guidance on design of the communication protocol in MACL systemsComment: Thesis submitted to London School of Economics and Political Science for PhD in Statistic

Stochastic Subgradient Algorithms for Strongly Convex Optimization over Distributed Networks

We study diffusion and consensus based optimization of a sum of unknown convex objective functions over distributed networks. The only access to these functions is through stochastic gradient oracles, each of which is only available at a different node, and a limited number of gradient oracle calls is allowed at each node. In this framework, we introduce a convex optimization algorithm based on the stochastic gradient descent (SGD) updates. Particularly, we use a carefully designed time-dependent weighted averaging of the SGD iterates, which yields a convergence rate of $O\left(\frac{N\sqrt{N}}{T}\right)$ after $T$ gradient updates for each node on a network of $N$ nodes. We then show that after $T$ gradient oracle calls, the average SGD iterate achieves a mean square deviation (MSD) of $O\left(\frac{\sqrt{N}}{T}\right)$. This rate of convergence is optimal as it matches the performance lower bound up to constant terms. Similar to the SGD algorithm, the computational complexity of the proposed algorithm also scales linearly with the dimensionality of the data. Furthermore, the communication load of the proposed method is the same as the communication load of the SGD algorithm. Thus, the proposed algorithm is highly efficient in terms of complexity and communication load. We illustrate the merits of the algorithm with respect to the state-of-art methods over benchmark real life data sets and widely studied network topologies