Near-Optimal Last-Iterate Convergence for Zero-Sum Games with Bandit Feedback and Opponent Actions

Last-iterate convergence of learning dynamics in games has attracted significant recent attention. In two-player zero-sum games with bandit feedback, where only the loss of the selected action pair is observed, Fiegel et al. [2025] show a separation between average-iterate and last-iterate convergence in duality gap: while the optimal $t^{-\frac{1}{2}}$ rate after $t$ rounds is achievable for the former via standard no-regret algorithms, the latter cannot converge faster than $t^{-\frac{1}{3}}$ in expectation or $t^{-\frac{1}{4}}$ with high probability. However, in many practical settings (such as preference learning), the players observe not only their loss but also the opponent’s action. This raises a natural question: can such additional information enable faster last-iterate convergence? We answer this question affirmatively, showing that $t^{-\frac{1}{2}}$ last-iterate convergence is achievable with high probability in this setting, via an efficient algorithm that updates its strategy infrequently by solving an estimated log-barrier-regularized game. We identify fundamental obstacles preventing standard analysis for multi-armed bandits (the single-player case) from generalizing to games, and develop a novel analysis to overcome them. Experiments confirm that our algorithm indeed converges faster than naive baselines and prior methods that do not exploit opponent-action feedback. Finally, we note that our results also improve those for dueling bandits, a special case with skew-symmetric game matrices.