Online Double Oracle

Solving strategic games whose action space is prohibitively large is a critical yet under-explored topic in economics, computer science and artificial intelligence. This paper proposes new learning algorithms in two-player zero-sum games where the number of pure strategies is huge or even infinite. Specifically, we combine no-regret analysis from online learning with double oracle methods from game theory. Our method -- \emph{Online Double Oracle (ODO)} -- achieves the regret bound of $\mathcal{O}(\sqrt{T k \log(k)})$ in self-play setting where $k$ is NOT the size of the game, but rather the size of \emph{effective strategy set} that is linearly dependent on the support size of the Nash equilibrium. On tens of different real-world games, including Leduc Poker that contains $3^{936}$ pure strategies, our methods outperform no-regret algorithms and double oracle methods by a large margin, both in convergence rate to Nash equilibrium and average payoff against strategic adversary.