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Game theory & Linear Programming
Steve GuMar 28, 2008
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Outline
• Background• Nash Equilibrium• Zero-Sum Game• How to Find NE using LP?• Summary
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Background: History of Game Theory
• John Von Neumann 1903 – 1957.• Book - Theory of Games and
Economic Behavior.
• John Forbes Nash 1928 – • Popularized Game Theory with his
Nash Equilibrium (Noble prize).
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Background: Game theory
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Background: Prison’s Dilemma
Given you’re Dave, what’s the best choice?
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Nash Equilibrium
A set of strategies is a Nash equilibrium if no player can do better by changing his or her strategy
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Nash Equilibrium (Cont’)
• Nash showed (1950), that Nash equilibria (in mixed strategies) must exist for all finite games with any number of players.
• Before Nash's work, this had been proven for two-player zero-sum games (by John von Neumann and Oskar Morgenstern in 1947).
• Today, we’re going to find such Nash equilibria using Linear Programming for zero-sum game
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Zero-Sum Game
• A strictly competitive or zero-sum game is a 2-player strategic game such that for each action a A, we have u1(a) + u2(a) = 0. (u represents for utility)
–What is good for me, is bad for my opponent and vice versa
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Zero-Sum Game
• Mixed strategy– Making choice randomly obeying some kind of
probability distribution• Why mixed strategy? (Nash Equilibrium)• E.g. : P(1) = P(2) = 0.5; P(A) = P(B)=P(C)=1/3
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Solving Zero-Sum Games
• Let A1 = {a11, …, a1n }, A2 = {a21, …, a2m } • Player 1 looks for a mixed strategy p– ∑i p(a1i ) = 1
– p(a1i ) ≥ 0
– ∑i p(a1i ) · u1(a1i, a2j) ≥ r for all j {1, …, m}– Maximize r!
• Similarly for player 2.
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Solve using Linear Programming
• What are the unknowns?– Strategy (or probability distribution): p• p(a11 ), p(a12 ),..., p(a1n-1 ), p(a1n )~n numbers
• Denoted as p1,p2,...,pn-1,pn
– Optimum Utility or Reward: r
• Stack all unknowns into a column vector• Goal: minimize: where
1
2
1n
n
r
p
px
p
p
Tf x 1 0 0 0T
f
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Solve Zero-Sum Game using LP
• What are the constraints?
1
1 0 1 1 1n
iip x
1
2
1n
n
r
p
px
p
p
1
11 1 21 2 1
12 1 22 2 2
1 1 2 2
, for all {1,2,..., }, . .
... 0
... 0
...
... 0
n
i iji
n n
n n
n n nb n
p u r j m i e
r u p u p u p
r u p u p u p
r u p u p u p
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Solve Zero-Sum Game using LP
1; 0 0TU x Ax
11 1 21 2 1
12 1 22 2 2
1 1 2 2
... 0
... 0
...
... 0
n n
n n
n n nb n
r u p u p u p
r u p u p u p
r u p u p u p
Let: Ae=(0,1,…,1) Aie=(1;-UT) f=(1,0,…,0)T
The LP is: maximize fTxsubject to: Aiex<=0 Aex=1
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Summary
• Zero-Sum Game Mixed Strategy NE• Connections with Linear Programming
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ThanksQ&A