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Unformatted text preview: C&O 355: Mathematical Programming Fall 2010 Lecture 12 Notes Nicholas Harvey http://www.math.uwaterloo.ca/~harvey/ 1 Zero-Sum Games Let M be any m n real matrix, which we use as the payoff matrix for a two-player, zero-sum game. Von Neumanns theorem states that max x min y x T My = min y max x x T My, where the max and min are over distributions x R m and y R n . Recall that distribution means that x 0, m i =1 x i = 1. Consequently, there exist distributions x * R m and y * R n such that max x min y x T My = x * T My * = min y max x x T My. (1) This quantity is called the value of the game and is denoted by v . Observation 1. Note that for any fixed x , we have min y x T My v . (In particular, x T My * v .) Similarly, for any particular y , we have max x x T My v . (In particular, x * T My v .) Observation 2. For any fixed x , there is a y achieving min y x T My such that y has only one non-zero coordinate (which must have value 1). Such a y corresponds to Bob choosing a single action, rather than a randomized choice of actions. Fix any desired error (0 , 1). We will give a method to find distributions x and y such that | min y x T My- v | and | max x x T M y- v | . (2) Due to Observation 1, we see that (2) is equivalent to min y x T My v- and max x x T M y v + . (3) In other words, if Alice plays according to distribution x , then no matter how Bob plays, she is guar- anteed a payoff of at least v- . Conversely, if Bob plays according to distribution y , then no matter how Alice plays, he is guaranteed to pay her at most v + . 2 The Multiplicative Weights Update Method By scaling, we may assume that M i,j [- 1 , 1] for every i,j . Set = / 3. Alice will assign some weights to each of her actions, then simulate the game by herself for T = (ln m ) / rounds, modifying...
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This note was uploaded on 06/16/2011 for the course CO 355 taught by Professor Harvey during the Winter '10 term at Waterloo.
- Winter '10