Optimistic Online Learning in Symmetric Cone Games

Abstract

We introduce symmetric cone games (SCGs), a broad class of multi-player games where each player's strategy lies in a generalized simplex (the trace-one slice of a symmetric cone). This framework unifies a wide spectrum of settings, including normal-form games (simplex strategies), quantum games (density matrices), and continuous games with ball-constrained strategies. It also captures several structured machine learning and optimization problems, such as distance metric learning and Fermat–Weber facility location, as two-player zero-sum SCGs. To compute approximate Nash equilibria in two-player zero-sum SCGs, we propose a single online learning algorithm: Optimistic Symmetric Cone Multiplicative Weights Updates (OSCMWU). Unlike prior methods tailored to specific geometries, OSCMWU provides closed-form, projection-free updates over any symmetric cone and achieves a $\tilde{\mathcal{O}}(1/\epsilon)$ iteration complexity for computing $\epsilon$-saddle points. Our analysis builds on the Optimistic Follow-the-Regularized-Leader framework and hinges on a key technical contribution: We prove that the symmetric cone negative entropy is strongly convex with respect to the trace-one norm. This result extends known results for the simplex and spectraplex to all symmetric cones, and may be of independent interest.