English

On Randomized Fictitious Play for Approximating Saddle Points Over Convex Sets

Computer Science and Game Theory 2014-05-01 v3 Optimization and Control

Abstract

Given two bounded convex sets X\RRmX\subseteq\RR^m and Y\RRn,Y\subseteq\RR^n, specified by membership oracles, and a continuous convex-concave function F:X×Y\RRF:X\times Y\to\RR, we consider the problem of computing an \eps\eps-approximate saddle point, that is, a pair (x,y)X×Y(x^*,y^*)\in X\times Y such that supyYF(x,y)infxXF(x,y)+\eps.\sup_{y\in Y} F(x^*,y)\le \inf_{x\in X}F(x,y^*)+\eps. Grigoriadis and Khachiyan (1995) gave a simple randomized variant of fictitious play for computing an \eps\eps-approximate saddle point for matrix games, that is, when FF is bilinear and the sets XX and YY are simplices. In this paper, we extend their method to the general case. In particular, we show that, for functions of constant "width", an \eps\eps-approximate saddle point can be computed using O((n+m)\eps2lnR)O^*(\frac{(n+m)}{\eps^2}\ln R) random samples from log-concave distributions over the convex sets XX and YY. It is assumed that XX and YY have inscribed balls of radius 1/R1/R and circumscribing balls of radius RR. As a consequence, we obtain a simple randomized polynomial-time algorithm that computes such an approximation faster than known methods for problems with bounded width and when \eps(0,1)\eps \in (0,1) is a fixed, but arbitrarily small constant. Our main tool for achieving this result is the combination of the randomized fictitious play with the recently developed results on sampling from convex sets.

Keywords

Cite

@article{arxiv.1301.5290,
  title  = {On Randomized Fictitious Play for Approximating Saddle Points Over Convex Sets},
  author = {Khaled Elbassioni and Kazuhisa Makino and Kurt Mehlhorn and Fahimeh Ramezani},
  journal= {arXiv preprint arXiv:1301.5290},
  year   = {2014}
}
R2 v1 2026-06-21T23:13:42.564Z