We study Bayesian learning in episodic, finite-horizon zero-sum Markov games with unknown transition and reward models. We investigate a posterior algorithm in which each player maintains a Bayesian posterior over the game model, independently samples a game model at the beginning of each episode, and computes an equilibrium policy for the sampled model. We analyze two settings: (i) Both players use the posterior sampling algorithm, and (ii) Only one player uses posterior sampling while the opponent follows an arbitrary learning algorithm. In each setting, we provide guarantees on the expected regret of the posterior sampling agent. Our notion of regret compares the expected total reward of the learning agent against the expected total reward under equilibrium policies of the true game. Our main theoretical result is an expected regret bound for the posterior sampling agent of order $O(HS\sqrt{ABHK\log(SABHK)})$ where $K$ is the number of episodes, $H$ is the episode length, $S$ is the number of states, and $A,B$ are the action space sizes of the two players. Experiments in a grid-world predator--prey domain illustrate the sublinear regret scaling and show that posterior sampling competes favorably with a fictitious-play baseline.

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