Risk-Sensitive Multi-Agent Reinforcement Learning in Network Aggregative Markov Games
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Abstract (arXiv)
Classical multi-agent reinforcement learning (MARL) assumes risk neutrality and complete objectivity for agents. However, in settings where agents need to consider or model human economic or social preferences, a notion of risk must be incorporated into the RL optimization problem. This will be of greater importance in MARL where other human or non-human agents are involved, possibly with their own risk-sensitive policies. In this work, we consider risk-sensitive and non-cooperative MARL with cumulative prospect theory (CPT), a non-convex risk measure and a generalization of coherent measures of risk. CPT is capable of explaining loss aversion in humans and their tendency to overestimate/underestimate small/large probabilities. We propose a distributed sampling-based actor-critic (AC) algorithm with CPT risk for network aggregative Markov games (NAMGs), which we call Distributed Nested CPT-AC. Under a set of assumptions, we prove the convergence of the algorithm to a subjective notion of Markov perfect Nash equilibrium in NAMGs. The experimental results show that subjective CPT policies obtained by our algorithm can be different from the risk-neutral ones, and agents with a higher loss aversion are more inclined to socially isolate themselves in an NAMG.
Key facts. Cited by 1 paper in the map (data through 7 Oct 2026). Builds on 21 of its 66 references that are in the map. First posted on arXiv 8 Feb 2024.
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21 of 66 references.
References · 21
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9 more
- 2022Independent and Decentralized Learning in Markov Potential Gamescited by 19
- 2022A Policy Gradient Algorithm for the Risk-Sensitive Exponential Cost MDPcited by 11
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