English

Semidefinite Programming and Nash Equilibria in Bimatrix Games

Optimization and Control 2019-08-16 v3 Data Structures and Algorithms Computer Science and Game Theory

Abstract

We explore the power of semidefinite programming (SDP) for finding additive epsilonepsilon-approximate Nash equilibria in bimatrix games. We introduce an SDP relaxation for a quadratic programming formulation of the Nash equilibrium (NE) problem and provide a number of valid inequalities to improve the quality of the relaxation. If a rank-1 solution to this SDP is found, then an exact NE can be recovered. We show that for a strictly competitive game, our SDP is guaranteed to return a rank-1 solution. We propose two algorithms based on iterative linearization of smooth nonconvex objective functions whose global minima by design coincide with rank-1 solutions. Empirically, we demonstrate that these algorithms often recover solutions of rank at most two and epsilonepsilon close to zero. Furthermore, we prove that if a rank-2 solution to our SDP is found, then a 5/11-NE can be recovered for any game, or a 1/3-NE for a symmetric game. We then show how our SDP approach can address two (NP-hard) problems of economic interest: finding the maximum welfare achievable under any NE, and testing whether there exists a NE where a particular set of strategies is not played. Finally, we show the connection between our SDP and the first level of the Lasserre/sum of squares hierarchy.

Keywords

Cite

@article{arxiv.1706.08550,
  title  = {Semidefinite Programming and Nash Equilibria in Bimatrix Games},
  author = {Amir Ali Ahmadi and Jeffrey Zhang},
  journal= {arXiv preprint arXiv:1706.08550},
  year   = {2019}
}

Comments

38 pages

R2 v1 2026-06-22T20:30:08.624Z