stat.MLAug 17, 2026

Policy Optimization and Statistical Inference for Online Contextual Matrix Games

Authors: Liner Xiang, Yixin Wang, Hengrui Cai

Organizations: Department of Statistics, University of California, Irvine · Department of Statistics, University of Michigan

Abstract

Online decision making often requires navigating a landscape shaped by both dynamic contexts and strategic interactions. In competitive pricing, for example, hotels must account for both dynamic contextual factors and rivals' strategic responses. Existing approaches address only part of this challenge: contextual bandits optimize single-agent decisions using observable features but ignore multi-player interactions, while online matrix games capture strategic behavior through Nash equilibrium but assume fixed payoffs, ignoring contextual information. How should agents act then when strategic payoffs evolve with contextual signals? We introduce online contextual matrix games to integrate contextual information into multi-player online games. We further propose OnGameLearn, an online learning algorithm that efficiently balances exploration and exploitation across both player actions and contexts. This approach comes with statistical guarantees: tail bounds for the estimated payoff matrix, the convergence of the estimated Nash equilibrium, the asymptotic normality of the parameter estimators, and the sublinear regret bound. We also develop the notion of policy value in matrix games and develop a doubly robust, T\sqrt{T}-consistent estimator for it. Across simulated studies and a real-world hotel pricing application, we find that OnGameLearn effectively navigates the intertwined challenges of strategic and contextual decision-making.

Figures & tables

Appendix figures & tables13 assets

Supplementary material from the paper’s appendix.

Appendix

Explore similar work

Aug 10, 2026

Regret, equilibrium, and learning in games: A guided tour

This note aims to serve as an entry point to the literature on learning in games, a topic with significant theoretical appeal and a wide range of applications -- from machine learning and data science to economics and beyond. Our presentation is structured around two complementary viewpoints: We first consider a single agent -- the learner -- engaged in a sequential decision process in an unknown, non-stationary, and possibly adversarial environment. We then examine what happens when the environment is shaped by the decisions of several interacting agents, not necessarily aware of each other's actions or goals, and all seeking to improve their individual rewards. In this general context, we examine a family of regularized learning policies based on best-responding to the past history of play, up to a regularization penalty intended to encourage exploration and prevent over-commitment to suboptimal choices. In the single-agent setting, we present some basic regret bounds for regularized learning in adversarial multi-armed bandits; in the multi-agent setting, we describe an ergodic equilibrium convergence result for zero-sum games in the spirit of classical results on fictitious play, as well as a "folk theorem" linking strategic and dynamic notions of stability -- Nash equilibria and attracting points of regularized learning, respectively. We pay special attention to the information available to the players and, through a unified analysis framework, we study both oracle- and payoff-based (bandit) methods. Our goal is to provide a coherent and comprehensible -- albeit, by necessity, not comprehensive -- account of some recent ideas in the field, and to discuss their implications for the study of rationality.
Sep 28, 2026

Polylogarithmic Nash Regret in Matrix Games with Bandit Feedback

We study Nash regret minimization in unknown finite matrix games with bandit payoff feedback and observed opponent actions. We develop Optimistic Payoff Balancing (OPB), which achieves instance-dependent O(log⁡2T)\mathcal{O}(\log^2 T) Nash regret against arbitrary adaptive opponents, including games with nonunique equilibria. This resolves the open problem posed by Maiti et al. (2025), extending their polylogarithmic guarantee under bandit feedback from 2×22\times2 games to arbitrary finite dimensions. To handle nonunique equilibria, we construct a reference strategy that leaves room for local adjustments. We order independent payoff differences by estimation accuracy and scale these adjustments by uncertainty, allowing the learner to exploit the opponent's imbalance to offset estimation costs. Our result thus shows that observing opponent actions suffices for polylogarithmic Nash regret in general finite matrix games.
Oct 4, 2026

Pessimistic Minimax Learning for Public-Private Information Games under Unilateral Coverage

We study offline learning in two-player zero-sum contextual games with public and private information, motivated by strategic settings such as auctions and negotiations with private valuations. We introduce unilateral prescriptive concentrability and show that asymmetric information can change offline coverage through its effect on equilibrium behavior. For finite state-action spaces, we develop a pessimistic algorithm with an O~(1/n)\tilde{O}(1/\sqrt{n}) exploitability rate, matching the standard sample-size dependence for fully observed minimax games. We further develop a pessimistic policy mirror descent framework, PPA-PMD, for general function approximation and obtain a unified O~(1/n+1/T)\tilde{O}(1/\sqrt{n} + 1/\sqrt{T}) exploitability rate with no-regret actor updates. Together, these results provide the first theoretical framework for offline equilibrium learning under public-private information constraints.