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GameT Part1
GameT Part1
Definition
We say that the sets Σi , i = 1, 2, . . . , n, and the functions
πi : Σ1 ×, Σ2 × · · · × Σn → R, i = 1, 2, . . . , n, determine a game Γ
in normal form.
Remark
Each player want to maximize his payoff function, but this depends
on the choice of all players!
Nash equilibriom
Definition
Let the game Γ is determined by the sets Σi , i = 1, 2, . . . , n, and
the functions πi : Σ1 ×, Σ2 × · · · × Σn → R, i = 1, 2, . . . , n. It is
said that the n-tuple
Definition
We say that the sets Σi , i = 1, 2, . . . , n, and the functions
πi : Σ1 ×, Σ2 × · · · × Σn → R, i = 1, 2, . . . , n, determine a game Γ
in normal form.
Remark
Each player want to maximize his payoff function, but this depends
on the choice of all players!
Nash equilibrium
Definition
Given a game Γ, a strategy n-tuple (σ̄1 , σ̄2 , . . . , σ̄n ) is said to be a
Nash equilibrium if for any index i = 1, 2, . . . , n, and any σi ∈ Σi ,
πi (σ̄1 , . . . , σ̄i−1 , σi , σ̄i+1 . . . , σ̄n ) ≤ π(σ̄1 , σ̄2 , . . . , σ̄n ).
In other words, a strategy n-tuple (σ̄1 , σ̄2 , . . . , σ̄n ) is said to be a
Nash equilibrium if no player has a reason to change his strategy,
assuming that none of the other players is going to change his
strategy.
Zero-sum games
Definition
A game Γ is said to be zero-sum if
Σni=1 πi (σ1 , . . . , σi−1 , σi , σi+1 . . . , σn ) = 0
for any σi ∈ Σi , i = 1, . . . , n.
and
π2 (σ̄1 , σ2 ) ≤ π2 (σ̄1 , σ̄2 ) for each σ2 ∈ Σ2 .
For simplicity, we assume here and further that these “max” and
“min” exist.
But then it is natural the second player to choose σ̄2 ∈ Σ2 so that
max π1 (σ1 , σ̄2 ) = min max π1 (σ1 , σ2 )
σ1 ∈Σ1 σ2 ∈Σ2 σ1 ∈Σ1
Two-person zero-sum games
Analogously it is natural for the first player to choose σ̄1 ∈ Σ1 so
that
min π1 (σ̄1 , σ2 ) = max min π1 (σ1 , σ2 )
σ2 ∈Σ2 σ1 ∈Σ1 σ2 ∈Σ2
Definition
It is natural to define
“gain-floor” vI := max min π1 (σ1 , σ2 )
σ1 ∈Σ1 σ2 ∈Σ2
and
“loss-ceiling” vII := min max π1 (σ1 , σ2 ) .
σ2 ∈Σ2 σ1 ∈Σ1
The meaning of vI and vII is: the first player should not win less
than vI and the second player should not loss more than vII .
Two-person zero-sum games
Lemma 1.
We have that vI ≤ vII .
Proof:
Let us fix arbitrary elements σ̂1 ∈ Σ1 and σ̂2 ∈ Σ2 . Clearly, we have
that
Since the right-hand side does not depend on σ̄1 and the left-hand
side does not depend on σ̄2 , we obtain that
Two-person zero-sum games
Proof: (continuation)
min max π1 (σ1 , σ̂2 ) ≥ max min π1 (σ̂1 , σ2 ) ,
σ2 ∈Σ2 σ1 ∈Σ1 σ1 ∈Σ1 σ2 ∈Σ2
Definition.
If vI = vII , the common number v := vI = vII is said to be value of
the game Γ.
Two-person zero-sum games
Lemma 2.
A game Γ has a value, if and only if, it has a saddle point.
Proof. (sufficiency)
Let the game Γ has a saddle point, i.e. there exists
(σ̄1 , σ̄2 ) ∈ Σ1 × Σ2 so that
and hence
Two-person zero-sum games
Proof. (necessity)
Let the game Γ has a value
v = min max π1 (σ1 , σ̄2 ) ≤ max min π1 (σ̄1 , σ2 ) .
σ2 ∈Σ2 σ1 ∈Σ1 σ1 ∈Σ1 σ2 ∈Σ2
Two-person zero-sum games
and hence
Let the first player has m pure strategies. Then the set X of its
mixed strategies consists of all vectors x = (x1 , x2 , . . . , xm ) whose
components satisfy
m
X
xi = 1 and xi ≥ 0, i = 1, . . . , m.
i=1
m
X n
X
i.e. P(x, y ) = xi P(i, y ) = yj P(x, j).
i=1 j=1
Lemma 3.
Let (x1 , y1 ) ∈ X × Y 3 (x2 , y2 ) be saddle points of the
payoff-function P. Then (x1 , y2 ) and (x2 , y1 ) are also saddle points
ofthe payoff-function P.
Proof.
The definition of a saddle point implies that
and
P(x1 , y2 ) ≤ P(x2 , y2 ) ≤ P(x2 , y1 ).
These inequalities imply that
Proof. (continuation)
Let x and y be arbitrary mixed strategies from X and Y ,
respectively. Then we have that
Lemma 4.
Let (x̄, ȳ ) ∈ X × Y be a saddle point of the payoff-function P. If
x̄i0 > 0, then P(i0 , ȳ ) = P(x̄, ȳ ). Also, if ȳj0 > 0, then
P(x̄, j0 ) = P(x̄, ȳ ).
Two-person zero-sum games
Proof.
Let us assume the contrary, i.e. P(i0 , ȳ ) < P(x̄, ȳ ). Since
(x̄, ȳ ) ∈ X × Y is a saddle point of the payoff-function P, we have
that
xi P(i, ȳ ) ≤ xi P(x̄, ȳ ).
Remark.
Let (x̄, ȳ ) ∈ X × Y be a saddle point of the payoff-function P.
Then P(x̄, ȳ ) is a value of the corresponding zero-sum game.
Lemma 5.
Let (x̄, ȳ ) ∈ X × Y be a saddle point of the payoff-function P
determined by the matrix A = (aij )m×n . Then (x̄, ȳ ) is a saddle
point for the zero-sum game determined by the matrix
B = (bij )m×n with bij = αaij + β, where α > 0. Moreover,
αP(x̄, ȳ ) + β is the value of the zero-sum game determined by the
matrix B.
Two-person zero-sum games
Proof.
Let us denote by PA and PB the payoff-functions of the zero-sum
games generated by the matrices A and B, respectively. Then
m X
X n m X
X n
PB (x, y ) = bij xi yj = (αaij + β)xi yj =
i=1 j=1 i=1 j=1
m X
X n m
X n
X
=α aij + β xi yj = αPA (x, y ) + β
i=1 j=1 i=1 j=1
i.e.
PB (x, ȳ ) ≤ PB (x̄, ȳ ) ≤ PB (x̄, y )
for each x ∈ X and y ∈ Y . Hence (x̄, ȳ ) is a saddle point of the
payoff-function PB and PB (x̄, ȳ ) is its value.
Remark.
Let A = (aij )m×n be an arbitrary matrix and
M := 1 + max |aij |. We set B = (bij )m×n with
1≤i≤m,1≤j≤n
bij = aij + M, i = 1, . . . , m, j = 1, . . . , n. Then the all elements of
the matrix B are positive, and hence, its value is also positive.
Two-person zero-sum games
Lemma 6.
Let (x̄, ȳ ) ∈ X × Y be a saddle point of the payoff-function P. If
P(i0 , ȳ ) < P(x̄, ȳ ), then x̄i0 = 0. Also, if P(x̄, j0 ) > P(x̄, ȳ ), then
ȳj0 = 0.
Proof.
Let us assume that x̄i0 > 0. According to Lemma 4 we obtain that
P(i0 , ȳ ) = P(x̄, ȳ ). This contradiction shows that x̄i0 = 0.
Analogously, one can prove that ȳj0 = 0.
Proposition 1.
Let S be a closed subset of R n and let x 6∈ S. Then there exists
point y ∈ S so that
Proof of Proposition 1.
Let d := inf(kx − sk : s ∈ S) and let n be an arbitrary positive
1
integer. Because d + > d there exists point yn ∈ S so that
n
1
d ≤ kx − yn k < d + . Because
n
kyn k ≤ kx − yn k + kxk ≤ d + 1 + kxk,
Separability theorem:
Let S be a closed convex subset of R n and let the point x does not
belong to S. Then there exist a non-zero vector p and a real
number q such that hp, xi = q and hp, si > q for each s ∈ S.
Proof.
Let y ∈ S be a point of S such that kx − y k =
= min(kx − sk : s ∈ S). We set p := y − x and q := hp, xi.
Then
Proof (continuation).
Let us assume that there exists a point s ∈ S so that hp, si ≤ q.
Then
r := hp, s − y i = hp, si − hp, y i < q − q = 0.
For each ε ∈ (0, 1) we set sε := (1 − ε)y + εs. The convexity of S
implies that xε ∈ S.
On can directly checked that
kx − y k2 + 2ε hy − x, s − y i + ε2 ks − y k2 =
= kx − y k2 + ε 2r + εks − y k2 < kx − y k2
for each sufficiently small ε > 0 (because r < 0). The obtained
contradiction completes the proof.
Two-person zero-sum games
Proof.
Let us assume that 0 6∈ C . Applying the Separability theorem, we
obtain that there exist a non-zero vector p and a number q such
that q = hp, 0i = 0, pi = hp, ei i > 0 for each i = 1, 2, . . . , m, and
hp, aj i > 0 for each j = 1, 2, . . . , n, i.e. (ii) holds true.
and
n
X m
X
αj aj + βi ei = 0,
j=1 i=1
Two-person zero-sum games
Proof (continuation)
i.e.
n
X
αj aij + βi = 0, i = 1, 2, . . . , m.
j=1
Proof (continuation)
n
X
Clearly, each ȳj , j = 1, 2, . . . , n, is well defined, ȳj = 1 and
j=1
n
X
αj aij = −βi ≤ 0, i = 1, 2, . . . , m, i.e. P A (i, ȳ ) ≤ 0.
j=1
This implies that for each mixed strategy x of the first player
m
X
P A (x, ȳ ) = xi P A (i, ȳ ) ≤ 0, and hence max P A (x, ȳ ) ≤ 0.
x∈X
i=1
Proof (continuation)
Suppose, instead, that (ii) holds true, i.e. there exists a vector
Xm
x̄ = (x̄1 , x̄2 , . . . , x̄m ) such that x̄i = 1 and x̄i > 0 for each
i=1
i = 1, 2, . . . , m, and m
P
i=1 x̄i aij = hx̄, aj i > 0 for each
j = 1, 2, . . . , n. Then x̄ can be considered as a mixed strategy of
the I player and P A (x̄, j) > 0. This implies that for each mixed
strategy y of the second player
n
X
P A (x̄, y ) = yj P A (x̄, j) > 0, and hence min P A (x̄, y ) > 0.
y ∈Y
j=1
Proof (continuation)
We know that vIA ≤ vIIA . Let us assume that vIA < vIIA . We consider
v A + vIIA
the matrix B := (bij )m×n with bij := aij − I . Then
2
v A + vIIA v A − vIIA
vIB = vIA − I = I < 0. Analogously,
2 2
A
v + vIIA A
v − vII A
vIIB = vIIA − I =− I > 0. But this is impossible. The
2 2
obtained contradiction shows that vIA = vIIA and completes the
proof of the Min-max theorem.
Two-person zero-sum games
Lemma 6.
Let x̄ and ȳ be mixed strategies of players I and II, and v be a real
number such that
Then v is the value of the game and the couple (x̄, ȳ ) - a Nash
equilibrium.
Proof.
Let x and y are arbitrary mixed strategies of players I and II. Then
one can check that m m
X X
P(x, ȳ ) = xi P(i, ȳ ) ≤ xi v = v =
i=1 i=1
n
X n
X
= yj v = yj P(x̄, j) = P(x̄, y ).
j=1 j=1
Two-person zero-sum games
vy → min vx → max
P(i, y ) ≤ vy , i = 1, 2, . . . , m P(x, j) ≥ vx , j = 1, 2, . . . , n
Xn m
X
yj = 1 xi = 1
j=1 i=1
yj ≥ 0, j = 1, 2, . . . , n xi ≥ 0, i = 1, 2, . . . , m
vy → min vx → max
Xn m
X
aij yj ≤ vy , i = 1, 2, . . . , m aij xi ≥ vx , j = 1, 2, . . . , n
j=1 i=1
n
X m
X
yj = 1 xi = 1
j=1 i=1
yj ≥ 0, j = 1, 2, . . . , n xi ≥ 0, i = 1, 2, . . . , m
These two linear problems are dual. If (vx , x̄) and (vy , ȳ ) are the
solutions of the first and second problem, respectively, then
vx = vy = v is the value of the game and the couple (x̄, ȳ ) is a
Nash equilibrium.
Two-person zero-sum games
If we set pi = xi /v , i = 1, 2, . . . , m, and qj = yj /v , j = 1, 2, . . . , n,
then we can write the above problems as follows
m
m X
X pi → min
qj → max
i=1
i=1 m
n X
X aij pi ≥ 1, j = 1, 2, . . . , n
aij qj ≤ 1, i = 1, 2, . . . , m
i=1
j=1
qj ≥ 0, j = 1, 2, . . . , n
pi ≥ 0, i = 1, 2, . . . , m
Two-person zero-sum games
Zero-sum games determined by a matrix of type 2 × 2
Let us consider a game determined by the following matrix
a b
c d
where
m n
0
X X
P A (x 0 , y 0 ) = aij xi yj .
i=1,i6=i0 j=1
Two-person zero-sum games
i.e.
n
X
aij ȳj ≤ v, i = 1, . . . , i0 − 1, i0 + 1, . . . , m,
j=1
m
X (1)
aij x̄i ≥ v , j = 1, . . . , n
i=1,i6=i0
i.e.
m
X n
X
aij αi ȳj ≤ v .
i=1,i6=i0 j=1
Applying this inequality and (1), we complete the proof taking into
account Lemma 6.
Two-person zero-sum games
2 × n and m × 2 games
We consider first a zero-sum game determined by a the 2 × n -
matrix A. If v is its value, then
2 X
X n 2 X
X n
v = max min aij xi yj = min max aij xi yj .
x∈X y ∈Y y ∈Y x∈X
i=1 j=1 i=1 j=1
Clearly,
2 X
X n
max min aij xi ≥ v .
x∈X j=1,2,...,n
i=1 j=1
Two-person zero-sum games
n
X 2
X 2
X
≥ yj min aij xi = min aij xi ,
j=1,2,...,n j=1,2,...,n
j=1 i=1 i=1
and hence
Two-person zero-sum games
2 X
X n 2
X
v = max min aij xi yj ≥ max min aij xi .
x∈X y ∈Y x∈X j=1,2,...,n
i=1 j=1 i=1
2 × n and m × 2 games
We consider next a zero-sum game determined by a the m × 2 -
matrix A. If v is its value, then
2
X
v = min max aij yj .
y ∈Y i=1,2,...,m
j=1
Symmetric games
A square matrix A = (aij )n×n is said to be skew-symmetric if
aji = −aij for all i, j = 1, . . . , n. A zero-sum game is said to be
symmetric if its matrix is skew-symmetric.
Theorem.
The value of a symmetric game is zero. If (x̄, ȳ ) is a Nash
equilibrium, then (x̄, x̄) and (ȳ , ȳ ) are also Nash equilibriums.
Proof.
Because the matrix A is skew-symmetric, AT = −A. Let x be an
arbitrary mixed strategy. Then x T Ax = (x T Ax)T = x T AT x =
= −x T Ax, and hence x T Ax = 0.
Two-person zero-sum games
Proof (continuation.
Then
0 ≤ max min x T Ay = v = min max x T Ay ≤ 0
x∈X y ∈Y y ∈Y x∈X
n
X
aij x̄j ≤ 0, i.e. P(i, x̄) ≤ 0.
j=1
Theorem.
A symmetric game has no a Nash equilibrium in pure strategies, if
and only if one of the following assertions holds true:
(i) each column has at least one positive element;
(ii) each raw has at least one negative element.
Proof. (sufficiency)
We shall consider only (i). The case (ii) can be studied in the same
way. Let (k, k) be a Nash equilibrium in pure strategies and let
aik > 0. Then
0 < aik = P(i, k) ≤ v = 0.
The obtained contradiction shows that there is no Nash equilibrium
in pure strategies.
Two-person zero-sum games
Proof. (necessity)
Let us assume that there is no Nash equilibrium in pure strategies
and there exists a column k such that aik ≤ 0 for each i = 1, 2, . . . ,
X n
n. This implies that aik xi ≤ 0 for each mixed strategy
i=1
n
X n
X
x = (x1 , x2 , . . . , xn ), i.e. −aki xi ≤ 0, and hence akj xj ≥ 0.
i=1 j=1
So, we obtain that P(x, k) ≤ 0 and P(k, x) ≥ 0. This means that
(k, k) is a Nash equilibrium in pure strategies.
Two-person zero-sum games
Symmetric games
Let us consider the matrix
a11 a12 ... a1n
a21 a22 ... a2n
A= ... ...
... ...
am1 am2 ... amn
Proof.
We have that
m
X n
X
x̄i + ȳj + λ = 1,
i=1 j=1
Proof (continuation).
Since ((x̄, ȳ , λ), (x̄, ȳ , λ)) is a Nash equilibrium of the game
determined of the matrix B, the following inequalities hold true:
n
X
aij ȳj − λ ≤ 0, i = 1, . . . , m, (3)
j=1
m
X
− aij x̄i + λ ≤ 0, j = 1, . . . , n, (4)
i=1
m
X n
X
x̄i − ȳj ≤ 0. (5)
i=1 j=1
Two-person zero-sum games
and
m
X n
X m
X n
X
x̄i − ȳj = 0, i.e. x̄i = ȳj = µ.
i=1 j=1 i=1 j=1
Two-person zero-sum games
Then
m n
X x̄i X ȳj
= =1
µ µ
i=1 j=1
n
X ȳj λ x̄i
aij ≤ , ≥ 0, i = 1, . . . , m,
µ µ µ
j=1
m
X x̄i λ ȳi
aij ≥ , ≥ 0, j = 1, . . . , n.
µ µ µ
i=1
Theorem.
Let the elements of the matrix A are positive. Let the couple (x̄, ȳ )
be a Nash equilibrium of the game determined by the matrix A with
value v . Then
x̄ ȳ v
, , .
2+v 2+v 2+v
is a Nash equilibrium of the game determined of the matrix B.
Proof.
Since (x̄, ȳ ) is a Nash equilibrium of the game determined by the
matrix A, we have that
m
X n
X
x̄i = ȳj = 1
i=1 j=1
Two-person zero-sum games
Proof (continuation).
n
X
aij ȳj ≤ v , x̄i ≥ 0, i = 1, . . . , m,
j=1
m
X
aij x̄i ≥ v , ȳj ≥ 0, j = 1, . . . , n.
i=1
Two-person zero-sum games
Proof (continuation).
These inequalities imply that
n
X ȳj v
aij − ≤ 0, x̄i ≥ 0, i = 1, . . . , m,
v +2 v +2
j=1
m
X x̄i v
− aij + ≥ 0, ȳj ≥ 0, j = 1, . . . , n.
v +2 v +2
i=1