Operations Research

Matrix games in general case.

 Matrix games in general case
Matrix games solved by converting to LP problem

Matrix games in general case

The general procedure for solving of MG:
1 If α = β, there exists a saddle point in the matrix and there is a optimal
solutions in pure strategies.
2 If α < β, and if it can be applied the principle of dominated, we apply it
to the maximum possible extent.
This will reduce the size of the payment matrix.
3 If α < β, and if it can not be applied (no longer) the principle of
dominated.
If matix size is 2 × 2, use the appropriate formulas.
4 If α < β, and if it can not be applied (no longer) the principle of
dominated.
If matix size is 2 × n, n ≥ 3, respectively m × 2, m ≥ 3, use graphical
method.
5 If α < β, and if it can not be applied (no longer) the principle of
dominated.
If matix size is 3 × 3 or larger, you can use the solution MG by transfer to
LP problem. This method is a universal method of solving MG, that
always works.
Michal Šmerek Linear programming
 Matrix games in general case
Matrix games solved by converting to LP problem

Matrix games solved by converting to LP problem

Every matrix game can be defined as an LP problem and solve it numerically

(by simplex method, the method of artificial variables, dual simplex method).
Let have MG with payment matrix
0 1
a11 a12 . . . a1n
B a21 a22 . . . a2n C
A=B . .. .C
B C
..
@ .. . ... . A
am1 am2 . . . amn

Michal Šmerek Linear programming

 Matrix games in general case
Matrix games solved by converting to LP problem

Matrix games solved by converting to LP problem

Requirement of the 1st player to optimal mixed strategy ~x0 = (x01 , . . . , x0m )
earned him middle win at least in the value of the price of the game v , no
matter what strategy will choose the 2nd player, can be expressed as a set of
inequalities
a11 x01 + a21 x02 + · · · + am1 x0m ≥ v ,
a12 x01 + a22 x02 + · · · + am2 x0m ≥ v ,
.................................. .
a1n x01 + a2n x02 + · · · + amn x0m ≥ v ,
where x0i ≥ 0, i = 1, 2, . . . , m, x01 + x02 + · · · + x0m = 1.
To all elements of the payment matrix we add some (arbitrary) number c ≥ 0
so such that
bij = aij + c ≥ 0.
The optimal strategy of the MG with payment matrix B are the same as in the
MG with matrix A, only the prices of the game is

v 0 = v + c > 0.

Michal Šmerek Linear programming

 Matrix games in general case
Matrix games solved by converting to LP problem

Matrix games solved by converting to LP problem

After this, we obtain the system of inequalities

b11 x01 + b21 x02 + · · · + bm1 x0m ≥ v 0 ,
b12 x01 + b22 x02 + · · · + bm2 x0m ≥ v 0 ,
.................................. .
b1n x01 + b2n x02 + · · · + bmn x0m ≥ v 0 ,
where x0i ≥ 0, i = 1, 2, . . . , m, x01 + x02 + · · · + x0m = 1.
Each inequality of previous system divided by v 0 > 0 and make substitution
x0i
= ti , i = 1, 2, . . . , m.
v0
We obtain the system of inequalities:
b11 t1 + b21 t2 + · · · + bm1 tm ≥ 1,
b12 t1 + b22 t2 + · · · + bm2 tm ≥ 1,
..............................
b1n t1 + b2n t2 + · · · + bmn tm ≥ 1,
where ti ≥ 0, i = 1, 2, . . . , m.

Michal Šmerek Linear programming

 Matrix games in general case
Matrix games solved by converting to LP problem

Matrix games solved by converting to LP problem

In doing so m m
X X 1
x01 + x02 + · · · + x0m = v 0 · ti = 1 =⇒ ti = .
i=1 i=1
v0

Maximize the price of the game v (resp. v 0 ) is the same as minimizing the value
1
= t1 + t2 + · · · + tm (= t).
v0

Michal Šmerek Linear programming

 Matrix games in general case
Matrix games solved by converting to LP problem

Matrix games solved by converting to LP problem

Summary 1:
Solving of any MG in terms of the 1st player can be found using minimization
LP problem
t = t1 + t2 + · · · + tm −→ min

b11 t1 + b21 t2 + · · · + bm1 tm ≥ 1,

b12 t1 + b22 t2 + · · · + bm2 tm ≥ 1,
..............................
b1n t1 + b2n t2 + · · · + bmn tm ≥ 1,
ti ≥ 0, i = 1, 2, . . . , m.
Prize of the game then we determine as follows:
1 1
v = v 0 − c, ti , v 0 = m = .
P tmin
ti
i=1

The optimal strategy of the 1st player ~x0 = (x01 , . . . , x0m ) we determine of the
relations
x0i = ti v 0 , i = 1, 2, . . . , m.

Michal Šmerek Linear programming

 Matrix games in general case
Matrix games solved by converting to LP problem

Matrix games solved by converting to LP problem

Summary 2: (analogously LP problem in terms of the second player)

Solving of any MG in terms of the 2nd player can be found using maximization
LP problem
z = z1 + z2 + · · · + zn −→ max

b11 z1 + b12 z2 + · · · + b1n zn ≥ 1,

b21 z1 + b22 z2 + · · · + b2n zn ≥ 1,
..............................
bm1 z1 + bm2 z2 + · · · + bmn zn ≥ 1,
zj ≥ 0, j = 1, 2, . . . , n.
Prize of the game then we determine as follows:
1 1
v = v 0 − c, ti , v 0 = n = .
P zmax
zj
j=1

The optimal strategy of the 2nd player ~y0 = (y01 , . . . , y0n ) we determine of the
relations
y0j = zj v 0 , j = 1, 2, . . . , n.

Michal Šmerek Linear programming

 Matrix games in general case
Matrix games solved by converting to LP problem

Matrix games solved by converting to LP problem

Conclusion:
Both LP problems that we have created (see Summary 1, respectively.
Summary 2) are dually associated problems.
This means that the solution of one of them can be solved the other, i.e. to
determine the optimal strategies of both players, also to determine the price of
the game, it is sufficient to solve one (any) of the LP problems.
In terms of efficiency solution it is more appropriate to take a position of the
2nd player, ie, solving the maximization problem, see Summary 2.

Michal Šmerek Linear programming

 Matrix games in general case
Matrix games solved by converting to LP problem

Matrix games solved by converting to LP problem

Example:
„ «
1 −2
MG with payment matrix A = solve by converting to the
−1 2
problem of linear programming.

Michal Šmerek Linear programming

 Matrix games in general case
Matrix games solved by converting to LP problem

Matrix games solved by converting to LP problem

Solution:
For each element of the array A we add the number c = 3. We obtain the
matrix
„ «
4 1
B= .
2 5

LP problem in terms of the 2nd player is

z = z1 + z2 −→ max
with the conditions
4z1 + z2 ≥ 1,
2z1 + 5z2 ≥ 1,
z1 , z2 ≥ 0.

LP problem is solved by the simplex method in the table.

Michal Šmerek Linear programming

 Matrix games in general case
Matrix games solved by converting to LP problem

Matrix games solved by converting to LP problem

B.v. z1 z2 z10 z20 bi p= bi

aik
for aik > 0

z10 4 1 1 0 1 1
z20 2 (5) 0 1 1 1
5
z −1 −1 0 0 0 max
z10 ( 18
5
) 0 1 − 51 4
5
2
9
2 1 1 1
z2 5
1 0 5 5 2
z − 35 0 0 1
5
1
5
max
5 1 2
z1 1 0 18
− 18 9
z2 0 1 − 19 2
9
1
9
1 1 1
z 0 0 6 6 3
MAX

Table: Simplex table, solving of MG

Michal Šmerek Linear programming

 Matrix games in general case
Matrix games solved by converting to LP problem

Matrix games solved by converting to LP problem

1 1
zmax = ⇒ v0 = =3 ⇒ v = v 0 − c = 3 − 3 = 0,
3 zmax
„ « „ «
2 1 2 1 2 1
z1 = , z2 = ⇒ ~y0 = · 3, · 3 = , ,
9 9 9 9 3 3
„ « „ «
1 1 1 1 1 1
t1 = , t2 = ⇒ ~x0 = · 3, · 3 = , .
6 6 6 6 2 2

Michal Šmerek Linear programming

 Operations Research

Matrix games in general case.