Multiplayer Bandit Learning, from Competition to Cooperation
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The stochastic multi-armed bandit problem is a classic model illustrating the tradeoff between exploration and exploitation. We study the effects of competition and cooperation on this tradeoff. Suppose there are k arms and two players, Alice and Bob. In every round, each player pulls an arm, receives the resulting reward, and observes the choice of the other player but not their reward. Alice's utility is Γ_A + λΓ_B (and similarly for Bob), where Γ_A is Alice's total reward and λ∈ [-1,1] is a cooperation parameter. At λ = -1 the players are competing in a zero-sum game, at λ = 1, they are fully cooperating, and at λ = 0, they are neutral: each player's utility is their own reward. The model is related to the economics literature on strategic experimentation, where usually the players observe each other's rewards. In the discounted setting, the Gittins index reduces the one-player problem to the comparison between a risky arm, with a prior μ, and a predictable arm with success probability p. The value of p where the player is indifferent between the arms is the Gittins index g(μ,β) > m, where m is the mean of the risky arm and β the discount factor. We show that competing players explore less than a single player: there is p^* ∈ (m, g(μ, β)) so that for all p > p^*, the players stay at the predictable arm. However, the players are not completely myopic: they still explore for some p > m. On the other hand, cooperating players explore more than a single player. Finally, we show that neutral players learn from each other, receiving strictly higher total rewards than they would playing alone, for all p∈ (p^*, g(μ,β)), where p^* is the threshold above which competing players do not explore. We show similar phenomena in the finite horizon setting.
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