Applying Metric Regularity to Compute a Condition Measure of a Smoothing Algorithm for Matrix Games

DOI10.1137/100786733zbMATH Open1209.91017arXiv1007.4458OpenAlexW2068712022MaRDI QIDQ3083340FDOQ3083340

Javier Peña, Boris S. Mordukhovich, Vera Roshchina

Publication date: 21 March 2011

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Abstract: We develop an approach of variational analysis and generalized differentiation to conditioning issues for two-person zero-sum matrix games. Our major results establish precise relationships between a certain condition measure of the smoothing first-order algorithm proposed by Gilpin et al. [Proceedings of the 23rd AAAI Conference (2008) pp. 75-82] and the exact bound of metric regularity for an associated set-valued mapping. In this way we compute the aforementioned condition measure in terms of the initial matrix game data.

Full work available at URL: https://arxiv.org/abs/1007.4458

zbMATH Keywords

smoothing algorithmmetric regularityNash equilibriavariational analysismatrix gamesLipschitzian stability

Mathematics Subject Classification ID

Nonlinear programming (90C30) Numerical methods based on nonlinear programming (49M37) 2-person games (91A05)

Cited In (3)

• METRIC REGULARITY—A SURVEY PART II. APPLICATIONS
• First-order algorithm with \({\mathcal{O}(\ln(1/\epsilon))}\) convergence for \({\epsilon}\)-equilibrium in two-person zero-sum games
• Generalized Newton's method based on graphical derivatives

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