On the Value of Some Infinite Matrix Games

Author(s): Luciano Méndez-Naya

Source: Mathematics of Operations Research, Vol. 26, No. 1 (Feb., 2001), pp. 82-88
Published by: INFORMS
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MATHEMATICSOF OPERATIONSRESEARCH
Vol. 26, No. 1, February2001, pp. 82-88
Printed in U.S.A.

ON THE VALUE OF SOME INFINITE MATRIX GAMES

LUCIANO MENDEZ-NAYA
It is shown that a zero-sum two-person noncooperativegame A defined by a bounded infinite
matrix in which each row converges to the same real number/3 and each column to the same real
number a has a value V(A) if and only if a < /3, in which case a < V(A) < 3. For any game
defined by a bounded infinite matrix A = (aj), a necessary condition for V(A) to exist is that
infj lim infi ao <' sup,lim supjaj.

1. Introduction. Zero-sum two-person noncooperative games have been studied from

the beginnings of game theory. The superior and inferior values of a game of this type are
respectively the maximum and minimum utilities that the first player can obtain. When the
superior value is equal to the inferior value, the game is said to have a value. The theorem
that every mixed extended finite matrix game has a value and that both players have optimal
strategies is as old as game theory but is not generalizable to general mixed extended infinite
matrix games (Wald 1950). Marchi (1967) found a necessary and sufficient condition for
an infinite matrix game to have a value but this condition is not easy to verify. Tijs (1977)
found further conditions that will be used in this paper. Mendez-Naya (1998) used the
weak topology on the players' sets of strategies to prove that some important classes of
infinite matrix games have values. Other results about the existence of a value in infinite
zero-sum two-person games have been obtained by G6mez (1988), Cegielski (1991) and
Mendez-Naya (1996).
In this paper I consider infinite matrix games whose defining matrix is bounded and such
that each row converges to the same real number 3 and each column to the same real
number a. The main theorem proves necessary and sufficient conditions for a matrix in this
class to have a value.
The paper is organized as follows. In ?2 infinite matrix games are defined and the notation
that will be used in the following section is introduced. In ?3 the proof of a necessary
condition for the existence of a value in a general infinite matrix game is followed by those
of two lemmas and the main theorem.
2. Preliminaries. Let
00
S= xeRN/ xi=l, xi>OVieN ,
i=l

and let A = (aij)iEN;jEN, be an infinite matrix with upper bound M = sui,jEN laijl. Also
denoted by A is the zero-sum two-person game in which S is the set of strategies of both
players and K, the payoff function of the first player, is defined by
K(x, y) = xAy V(x, y) E S x S.
The superior and inferior values of A, V(A) and V(A) respectively, are defined by
V(A) = inf sup K(x, y),
yES xeS

V(A) = supinf K(x, y),

xeS yES

Received December 17, 1999; revised July 10, 2000.

AMS 2000 subject classification. Primary:91A05; secondary:91A10.
OR/MSsubject classification. Primary:Games/groupdecisions; secondary:Noncooperative.
Key words. Two-persongames, infinite matrixgames, value of a game.
82
0364-765X/01/2601/0082/$05.00
1526-5471 electronic ISSN, ? 2001, INFORMS
 INFINITEMATRIXGAMES 83

and a strategyx E S (y e S) is said to be optimal for the first (second) player if

infK(x, y) = V(A) sup K(x, ) = V(A)).

yES XES

If V(A) = V(A), A has a value V(A) that is the common value of V(A) and V(A).
Analogous definitions can be given when A is a bounded finite or semi-infinite matrix,
in which cases a player with a finite numbern of pure strategieshas mixed strategyset
n
Sn = xe Rn/ xi = 1, xi >0 Vi = 1,...,n n.
i=l

If A = (aij)iEN;jENis a boundedinfinite matrix,then for each i', j' E N the matricesAi,j,,

A, and Ai are defined by

=
Ai,j, (aij)l<i<i';l<j<j,

Ai, = (aij)l<i<i,;l<j<oo

Ai =
(aij)l<ioo;l<j<j1.

1| is definedby [lylII= E/ Iyil if y E RN and Ilyll=E1I lyil if y E Rn.

The normI11

3. Theorems.
DEFINITION1. If A = (aij)iEN;jeN is a bounded infinite matrix, then
(1) i8 = limsup{aij/j E N} and 5 = (8i)iEN;
(2) wj = liminf{ai/ji E N} and ) = (Wj)jEN-

THEOREM 2. If A is a bounded infinite matrix such that infjEN oj > SUPiEN

Si then the
game A does not have a value.
PROOF. First,

(1) supxAy > y Vy S.

xES

Suppose otherwise. Then there exist y' E S and E > 0 such that

supxAy' < oy' -E.

xeS

Hence if ei E S is such that its ith componentis unity and the others zero,

eiAy' <c y'-e Vi e N,

i.e.,

(2) (eiA - o)y' < -E Vi e N.

But this is impossible. Let j' > 1 be such that

E
Qy
JE J 6M'

and consider
n' =max n(j),
J<J'
84 L. MENDEZ-NAYA

where n(j) is a numbersuch that

Vn > n(j) a -
3(-
aflj- 3(j1)
(the existence of n(j) is guaranteed,Vj, by the definition of w). For each i greaterthan n'
and j less than j',
E

i- 3(j'- 1)
Summing over j < j',
j'-1

E(aij-)j)>-3
Vi>n
j=1

Hence Equation(2) implies that Vi > n',

-E > (eiA - o)y' = (aij

-
oij)y
j=1

j'-l oo
= E(aij - wj)yj + E (aij - oj)yj
j=1 j=j'
oo
00
e
> -- laij- jlY5 >'-3- 2MyJ
EJ= 2-
E e 2
>---2M =--e >-E
- 3 6M 3
which is a contradiction.This proves (1), and hence that

V(A) = inf supxAy > inf

yS
coy= inf ot.
jEN
yeS S

Similarly,
V(A) < sup i.
iEN

Thus
V(A) < sup8i < inf co < V(A),
ieN jEN

and game A does not have a value. -

EXAMPLE 3. Wald gave the following example of an infinite matrixgame with no value:
Aw = (aij), where
-1 if i < j,
a=j0= if i = j,
1 if i > j.
Given Theorem 2, the fact that Aw has no value is an immediateresult, since it is obvious
that for this matrix 8i = -1 for all i E N and aoj= 1 for all j E N.
THEOREM 4. If A is a bounded infinite matrix such that all its rows converge to the
same real number 3 and all its columns to the same real numbera, then
(1) if a > 3, A has no value;
(2) if a = ,, A has a value and V(A) = a = 8;
(3) if a < /, A has a value and a < V(A) < P.
The proof of Theorem 4 rests on the following two lemmas.
 INFINITE
MATRIX
GAMES 85

LEMMA 5. If A is a bounded infinite matrix such that all its rows converge to the
same real number 13and all its columns to the same real number a, and a < f, then
a < V(A) < V(A) < 13.

LEMMA 6. If A is a bounded infinitematrix, and (il, jl) E N x N, then

(1) if V(i, j) such that j < jl and i > il, aij < V(A), then V(A) < V(Ailj);
(2) if V(i, j)such that i < il and j > jl, aij > V(A), then V(A) > V(Ai1j).

PROOF OF LEMMA 5. Given e > 0, let s E N be such that M/s < e/2. Since the rows of
A converge to i3and its columns to a, we can define the sequence il, 1
i2, .. is,, js as
follows:
i1 eN/Vi >il, ail <a+-
E
ji E N/V(i, j) such that j > jl, i < i', aj < +
ai2o-} 2ss

is E N/V(i, j) such that i > is, j < js, aij < a+ s

j E N/V(i, j) such that j > j,, i i, ai < 13+

We now define y' E Sj by

y--_ ^ ifj E {1, jl, J2 .. s.l

j 0O otherwise,
and we calculate e1Aisy'Vi eN. If 1 < i < il, then
E
aij < 13+s2s VJ jl

so
is s

ei Asy' = = aily' + E
aijyj aij,yj
j=l t=l
M e s
< -t+ +1
s+l 2(s+1) s+l
E e
< +- + =8+ .
2 2
If i i< i2, then E E
ail <a+ -,
2s-c8+ 2s
and for all j >j2,
aij <' + 2s'
2-
so
is s
eiAiy' = aai iy = aly + aijyjl +Eaij,
j=l t=2

-3 13 2s( + + f 2+ 1)
-( 2) + s+1

6 s I s+l
86 L. MENDEZ-NAYA

Similar argumentsshow that for all i < is, e,AJy' < 3 + E. If i > is,
E E
aij < a+ -2s< + -
2s
j < s-1'

so
Js s-I
eiAj,y' = Laijyj =ailYl + aij,y, +
aijyj
j=1 t=l

s+l +
(+12s
E.
s)(ss)Ij44 < E.

Thus
eiAJAy'< 3+ e Vi EN,
and therefore
supxAJsy' _< +E,
xES

whence
V(Ai')= V(AJ') = inf supxAJiy < f+E.
yESjs, xES

Hence
VE> 0 3j, E N such that V(AJi) < j3+E,
and since V(A) = limn V(An) (Tijs 1977), then

V(A) = lim
E-*)O
V(AJ') < .

Similarly it can be proved that a < V(A), so

a < V(A)< V(A)5<3. 0n

PROOFOF LEMMA6. (1) Let 3 E Sj be an optimal strategyfor the second player in the
matrixgame Aj, so that
V(Ai,j) = sup xAj.
xESit

We calculate eiA5 for each i EN. If i < il then

< sup xA5 = V(Aij),

eiA5
xESi,1

and if i > il,

eiA _< V(A)
(since aij < V(A) for all j < jl). Thus

eiA5 < max{V(Aij,), V(A)},

and
V(A) = inf supxAy < supxA5 = supeiA5 < max{V(Ai,j,), V(A)}.
yES XES xES iEN

But max{V(Ai,j,), V(A)1 = V(Ai,h, so V(A) < V(Ai,j,).

(2) The proof is analogous to that of part (1). 03
 INFINITEMATRIXGAMES 87

PROOF OF THEOREM 4. Since the only accumulationpoint of each row and each column
is its limit, assertion(1) follows from Theorem 2.
Assertion (2) is a direct consequence of Lemma 5.
Suppose now that a </3 and A has no value. Then by Lemma 5,

(3) a <V(A) < (A) P,

and 3E > 0 such that V(A) -E > V(A) + E . In view of (3), for all s E N we can define the
sequence il, ji.. . is, j, as follows:

il E N/Vi > il ail <V(A) +E,

j, > I /V(i,j) such that j > jl, i il, aij > V(A)- E,

is > is- I/V(i, j) such that i > is, j < j, 1, a ij < V (A) + E,
js > 1s51/V(i, j) such that j 5 jsh'i < is, a1j ? V(A) - E.

By Lemma 6 and (3), V(A) < V(Ai211)and V(A) > V(A,1).

Now let 3 = .. . , 33),where -, = (- jk ..... Yj) for k = 1,... , s, be an optimal
strategy for the second player in the matrix game Ai,li (Jo= 0), and let i be an optimal
strategyfor the first player in the matrix game Ai21. Then

>
V(A) > V(AiSjS)= sup xA3jSj3 'Ajsj.~

Hence, since (i) ii = 0 Vi > i2, (ii) a1j> -M for (i, j) such that i < i2, il <j< j2 and (iii)
aij > V(A) - E for (i, j) such that i i2, 2 1 > j12

V(A) > -Aisj3 > V(Ai2j)1)31

~I-I M11321II
+ (V(A)-)(I - 13II-1Y21)

and as V(A 2il)) V(A),

1j 11I - M11
V(A) ? 'V(A) 11 32111)
32 III+(V(A)-e) (I - 113dj
- +
V(A)- E) +V(A)- E,
lYiIIiEI1133211,1(M
so
~ V(A) - (V(A)+ E) + IY11lE V(A) -(V(A)?E)
11Y2ii M + V(A) - E M + V(A) - E
By similar arguments,

V(A) - (V(A) + E) (2 t s- 1).

M + V(A)-,E
Hence
Ilull=ly il ?+ +113A1>
+ Il1is > (s 2)(A) - (V(A) + E)
( - 2)
M+ V(A)-E
Therefore, since V(A) - (V(A) + E) > 0 and the above inequality is true for all natural
> 1, which is impossible. Hence V(A) = V(A) and the matrix
numberss, Es such that Ij33I1
game A has a value. E
88 L. MENDEZ-NAYA

REMARK
7. In the case of part (3) of the theorem, the value can be any real number
S E [a, /]. For example, if the matrix A = (aij)iEN;jEN is defined by

8 if i= 1 and j= 1,
ai= a if i > 1 and i > j,
/8 if j > 1 and j > i,

then e, is a dominantstrategyfor both players and V(A) = 8.

The following example illustratesthe use of Theorem4 to prove the existence of a value
for a certain class of recursivegames (for more on recursivegames see Owen 1995).
EXAMPLE 8. Consider a zero-sum game G in which, at each stage, Player i has strate-
gies mi and ni. The outcomes (mi, m2), (m,, n2) and (n1, m2) are terminal, with payoffs
K(m,, m2) = 5, K(m,, n2) = 3, and K(n,, m2) = a for Player 1, but if (nl, n2) is played
then G is played again. Since this game terminatesas soon as either of the players chooses
his first strategy,it can be treatedas an infinite matrixgame: the strategyset of each player
is N (the set of naturalnumbers), Player i's choice of strategy k E N is equivalentto his
choosing to play ni in the first k - 1 stages and mi in the kth (if the other player,j, does not
terminate the game sooner by playing mj), and the payoff matrix is A = (aij)iEN; jN, where

S if i=j,
aii = a if i> j,
3 if j >i.

This matrix clearly satisfies the conditions of Theorem 4, according to which it therefore
has a value if and only if / > a.

Acknowledgments. The author thanks I. Garcia Jurado,Ian-CharlesColeman and X.

L. Quiiioa for helpful comments and suggestions. Financial supportfor this research was
grantedby the Xunta de Galicia under project PGIDTOOPXI20104PR.
References
Cegielski, A. 1991. Approximationof some zero-sum noncontinuousgames by a matrix game. Comment.Math.
2 261-267.
Gomez, E. 1988. Games with convex payoff function in the first variable.Internat.J. Game Theory3 201-204.
Marchi, E. 1967. On the minimax theorem of the theory of games. Ann. Mat. Pura Appl. 77 207-282.
Mendez-Naya, L. 1996. Zero-sum continuous games with no compact support. Internat. J. Game Theory 25
93-111.
.1998. Weak topology and infinite matrix games. Internat.J. Game Theory27 219-229.
Owen, G. 1995. Game Theory.Academic Press, San Diego, CA.
Tijs, S. 1977. Semi-infiniteand infinitematrix and bimatrixgames. Ph.D. thesis, University of Nijmegen.
Wald, A. 1950. Note on zero sum two person games. Ann. Math. 52 739-742.

L. Mendez-Naya:Departamentode Metodos Cuantitativosparaa Economfa,Facultadede Ciencias Econ6micas

e Empresariais,Avda. X6an XXIII, s/n, 15704-Santiagode Compostela, Spain; e-mail: eclmnl@usc.es