Learning Distributed Equilibria in Linear-Quadratic Stochastic Differential Games: An $α$-Potential Approach

We study Nash equilibrium learning in partially observable Markov games (POMGs), a multi-agent reinforcement learning framework in which agents cannot fully observe the underlying state. Prior work in this setting relies on centralization or information sharing, and suffers from sample and computational complexity that scales exponentially in the number of players. We focus on a subclass of POMGs with independent state transitions, where agents remain coupled through their rewards, and assume that the underlying fully observed Markov game is a Markov potential game. For this class, we present an independent learning algorithm in which players, observing only their own actions and observations and without communication, jointly converge to an approximate Nash equilibrium. Due to partial observability, optimal policies may in general depend on the full action-observation history. Under a filter stability assumption, we show that policies based on finite history windows provide sufficient approximation guarantees. This enables us to approximate the POMG by a surrogate Markov game that is near-potential, leading to quasi-polynomial sample and computational complexity for independent Nash equilibrium learning in the underlying POMG.

We study decentralized learning of Nash equilibria (NE) in infinite-horizon discounted Markov games under bandit feedback, focusing on Markov $α$-potential games. We develop KL-projected natural policy gradient (NPG) algorithms in two settings: an episodic setting with frozen policies during sampling and a fully online setting in which players receive a single realized cost sample per time step and update their policies asynchronously along a continuing trajectory. We establish finite-time high-probability NE regret bounds of order $\widetilde O(T^{-1/4})$ and $\widetilde O(T^{-2/15})$ for the episodic and fully online settings, respectively, up to fixed approximation terms. Crucially, our bounds eliminate the distribution-mismatch coefficient, which can scale prohibitively with the size of the state space, while accommodating potential approximation, estimation-oracle bias, and transition sensitivity. We further identify a state-wise potential structure that yields sharper guarantees with additive dependence on the potential approximation error $α$. We specialize the framework to independent-resource Markov congestion games (IMCGs), establish their approximate-potential and transition-sensitivity properties, and construct decentralized estimation oracles from realized costs. As an application, we introduce strategic online job scheduling on stochastic machines and obtain a scalable decentralized algorithm for learning stable dispatching policies. Overall, our results provide the first finite-time high-probability NE regret guarantees for fully online asynchronous decentralized learning in Markov $α$-potential games, remove distribution-mismatch coefficients from the regret bounds, accommodate fixed estimation-oracle bias, and provide scalable decentralized learning with finite-time guarantees for IMCGs.

We consider stochastic games with independent controlled chains and unknown transition kernels, where players observe only their local states and realized payoffs. We develop a fully online, decentralized, and uncoordinated mirror-descent algorithm that operates in the dual space of occupancy measures for approximating stationary Nash equilibrium (NE) policies. The algorithm uses a single transition/reward sample at every primitive time step, relies only on local information, and requires neither coverage of the joint state space nor synchronized episodes. Under uniform-ergodicity and finite-coverage assumptions, we show that, with high probability, the time-averaged fixed-comparator regret decays at the canonical $O(T^{-1/2})$ rate, up to logarithmic factors and polynomial dependence on the game parameters. In particular, the complexity depends on the cover times of the individual local state spaces rather than the product state space, avoiding exponential dependence on the number of players and the sizes of the joint state and action spaces. The resulting finite-time regret bound further yields an approximate coarse-correlated-equilibrium guarantee, which is natural for arbitrary reward functions since computing a stationary $ε$-NE is PPAD-hard in this setting. Under an additional global variational-stability condition, we show that the same fully online algorithm converges asymptotically in the last iterate to a stationary $ε$-NE. Our results provide a fully online and scalable learning framework for stochastic games with unknown independent chains. The algorithm can also be viewed as a primal-dual framework for Markov games that exploits the independence and local structure of the players' controlled transition chains.