The Linear Programming Solver: Example 8.3: Two-Person Zero-Sum Game :: SAS/OR(R) 9.

2 User's Guide: Mathematical Programming

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SAS/OR(R) 9.2 User's Guide: Mathematical Programming

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Contents

About

Acknowledgments What's New in SAS/OR 9.2 Using This Book Introduction to Optimization The INTPOINT Procedure The LP Procedure The NLP Procedure The NETFLOW Procedure The OPTMODEL Procedure The Interior Point Nonlinear Programming Solver -- Experimental The Linear Programming Solver Overview Getting Started Syntax Details Examples Example 8.1: Diet Problem Example 8.2: Reoptimizing the Diet Problem Using BASIS=WARMSTART Example 8.3: Two-Person ZeroSum Game Example 8.4: Finding an Irreducible Infeasible Set References The Mixed Integer Linear Programming Solver The NLPC Nonlinear Optimization Solver The Unconstrained Nonlinear Programming Solver The Quadratic Programming Solver -Experimental The Sequential Quadratic Programming Solver The MPS-Format SAS Data Set The OPTLP Procedure The OPTMILP Procedure The OPTQP Procedure

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Example 8.3: Two-Person Zero-Sum Game

Consider a two-person zero-sum game (where one person wins what the other person loses). The players make moves simultaneously, and each has a choice of actions. There is a payoff matrix that indicates the amount one player gives to the other under each combination of actions:

If player I makes move

and player II makes move

, then player I wins (and player II loses)

. What is the best strategy for the two

players to adopt? This example is simple enough to be analyzed from observation. Suppose player I plays 1 or 3; the best response of player II is to play 1. In both cases, player I loses and player II wins. So the best action for player I is to play 2. In this case, the best response for player II is to play 3, which minimizes the loss. In this case, (2, 3) is a pure-strategy Nash equilibrium in this game. For illustration, consider the following mixed strategy case. Assume that player I selects selects with probability with probability , and player II

. Consider player II's problem of minimizing the maximum expected payout:

This is equivalent to

We can transform the problem into a more standard format by making a simple change of variables: formulation now becomes

. The preceding LP

which is equivalent to

http://support.sas.com/documentation/cdl/en/ormpug/59679/HTML/default/viewer.htm#lpsolver_sect20.htm[2/13/2012 11:03:40 AM]

The Linear Programming Solver: Example 8.3: Two-Person Zero-Sum Game :: SAS/OR(R) 9.2 User's Guide: Mathematical Programming

where is the payoff matrix and is a vector of 1's. It turns out that the corresponding optimization problem from player I's perspective can be obtained by solving the dual problem, which can be written as

You can model the problem and solve it by using PROC OPTMODEL as follows:

proc optmodel; num a{1..3, 1..4}=[-5 3 1 8 5 5 4 6 -4 6 0 5]; var x{1..4} >= 0; max f = sum{i in 1..4}x[i]; con c{i in 1..3}: sum{j in 1..4}a[i,j]*x[j] <= 1; solve with lp / solver = ps presolver = none printfreq = 1; print x; print c.dual; quit;

The optimal solution is displayed in Output 8.3.1. Output 8.3.1: Optimal Solutions to the Two-Person Zero-Sum Game The OPTMODEL Procedure Solution Summary Solver Objective Function Solution Status Objective Value Iterations Primal Infeasibility Dual Infeasibility Bound Infeasibility Primal Simplex f Optimal 0.25 1 0 0 0

[1] 1 2 3 4

x 0.00 0.00 0.25 0.00

[1] 1 2 3

c.DUAL 0.00 0.25 0.00

The optimal solution

with an optimal value of 0.25. Therefore the optimal strategy for player II is . You can check the optimal solution of the dual problem by using the constraint suffix ".dual". So and player I's optimal strategy is (0, 1, 0). The solution is consistent with our intuition from observation.

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The Linear Programming Solver: Example 8.3: Two-Person Zero-Sum Game :: SAS/OR(R) 9.2 User's Guide: Mathematical Programming

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