Provable Computational and Statistical Guarantees for Efficient Learning of Continuous-Action Graphical Games

Abstract: In this paper, we study the problem of learning the set of pure strategy Nash equilibria and the exact structure of a continuous-action graphical game with quadratic payoffs by observing a small set of perturbed equilibria. A continuous-action graphical game can possibly have an uncountable set of Nash euqilibria. We propose a $\ell_{12}-$ block regularized method which recovers a graphical game, whose Nash equilibria are the $\epsilon$-Nash equilibria of the game from which the data was generated (true game). Under a slightly stringent condition on the parameters of the true game, our method recovers the exact structure of the graphical game. Our method has a logarithmic sample complexity with respect to the number of players. It also runs in polynomial time.