Solving Zero-Sum Convex Markov Games

Abstract

We contribute the first provable guarantees of global convergence to Nash equilibria (NE) in two-player zero-sum convex Markov games (cMGs) by using independent policy gradient methods. Convex Markov games, recently defined by Gemp et al. (2024), extend Markov decision processes to multi-agent settings with preferences that are convex over occupancy measures, offering a broad framework for modeling generic strategic interactions. However, even the fundamental min-max case of cMGs presents significant challenges, including inherent nonconvexity, the absence of Bellman consistency, and the complexity of the infinite horizon. We follow a two-step approach. First, leveraging properties of hidden-convex--hidden-concave functions, we show that a simple nonconvex regularization transforms the min-max optimization problem into a nonconvex-proximal Polyak-Lojasiewicz (NC-pPL) objective. Crucially, this regularization can stabilize the iterates of independent policy gradient methods and ultimately lead them to converge to equilibria. Second, building on this reduction, we address the general constrained min-max problems under NC-pPL and two-sided pPL conditions, providing the first global convergence guarantees for stochastic nested and alternating gradient descent-ascent methods, which we believe may be of independent interest.