Computational Solution of Ratio Games by Iterative Linear Programming.
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WISCONSIN UNIV MADISON MATHEMATICS RESEARCH CENTER
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The paper presents a technique for numerical solution of a ratio game a game with payoff of the form xsup TByxsup TAy, where A and B are matrices and x,y are probability vectors by solving a series of linear programs. The author shows that if A 0 it is always possible to find initial approximations from which the algorithm is guaranteed to converge quadratically. Interval bounds for the value of the game are found. Author
- Operations Research