本文目录
#minimax定理成立与纳什均衡的等价性
选取 p ∗ p^* p∗ 使得 min q U ( p ∗ , q ) = max p min q U ( p , q ) \min\limits_q U(p^*,q) = \max\limits_p \min\limits_q U(p,q) qminU(p∗,q)=pmaxqminU(p,q)
选取 q ∗ q^* q∗ 使得 max p U ( p , q ∗ ) = min q max p U ( p , q ) \max\limits_p U(p,q^*) = \min\limits_q \max\limits_p U(p,q) pmaxU(p,q∗)=qminpmaxU(p,q)
max p min q U ( p , q ) = min q max p U ( p , q ) \max\limits_p \min\limits_q U(p,q) = \min\limits_q \max\limits_p U(p,q) pmaxqminU(p,q)=qminpmaxU(p,q) ⟹ MNE
由于 max p min q U ( p , q ) = min q max p U ( p , q ) \max\limits_p \min\limits_q U(p,q) = \min\limits_q \max\limits_p U(p,q) pmaxqminU(p,q)=qminpmaxU(p,q)
因此 min q U ( p ∗ , q ) = max p U ( p , q ∗ ) \min\limits_q U(p^*,q) = \max\limits_p U(p,q^*) qminU(p∗,q)=pmaxU(p,q∗)
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由于 ∀ p ∈ Δ p \forall p \in \Delta_p ∀p∈Δp, U ( p , q ∗ ) ⩽ max p U ( p , q ∗ ) = min q U ( p ∗ , q ) ⩽ U ( p ∗ , q ∗ ) U(p,q^*) \leqslant \max\limits_p U(p,q^*) = \min\limits_q U(p^*,q) \leqslant U(p^*,q^*) U(p,q∗)⩽pmaxU(p,q∗)=qminU(p∗,q)⩽U(p∗,q∗)
因此 p ∗ p^* p∗ 是 q ∗ q^* q∗ 的最优反应 -
由于 ∀ q ∈ Δ q \forall q \in \Delta_q ∀q∈Δq, U ( p ∗ , q ) ⩾ min q U ( p ∗ , q ) = max p U ( p , q ∗ ) ⩾ U ( p ∗ , q ∗ ) U(p^*,q) \geqslant \min\limits_q U(p^*,q) = \max\limits_p U(p,q^*) \geqslant U(p^*,q^*) U(p∗,q)⩾qminU(p∗,q)=pmaxU(p,q∗)⩾U(p∗,q∗)
因此 q ∗ q^* q∗ 是 p ∗ p^* p∗ 的最优反应
因此 ( p ∗ , q ∗ ) (p^*,q^*) (p∗,q∗) 构成纳什均衡.
max p min q U ( p , q ) = min q max p U ( p , q ) \max\limits_p \min\limits_q U(p,q) = \min\limits_q \max\limits_p U(p,q) pmaxqminU(p,q)=qminpmaxU(p,q) ⟸ MNE
由于 U ( p , q ) ⩽ max p U ( p , q ) U(p,q) \leqslant \max\limits_p U(p,q) U(p,q)⩽pmaxU(p,q)
所以 min q U ( p , q ) ⩽ min q max p U ( p , q ) \min\limits_q U(p,q) \leqslant \min\limits_q \max\limits_p U(p,q) qminU(p,q)⩽qminpmaxU(p,q)
进而 max p min q U ( p , q ) ⩽ min q max p U ( p , q ) \max\limits_p \min\limits_q U(p,q) \leqslant \min\limits_q \max\limits_p U(p,q) pmaxqminU(p,q)⩽qminpmaxU(p,q)
亦即 min q U ( p ∗ , q ) ⩽ max p U ( p , q ∗ ) \min\limits_q U(p^*,q) \leqslant \max\limits_p U(p,q^*) qminU(p∗,q)⩽pmaxU(p,q∗) ※
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由于 p ∗ p^* p∗ 是 q ∗ q^* q∗ 的最优反应
因此 ∀ p ∈ Δ p \forall p \in \Delta_p ∀p∈Δp, U ( p , q ∗ ) ⩽ U ( p ∗ , q ∗ ) U(p,q^*) \leqslant U(p^*,q^*) U(p,q∗)⩽U(p∗,q∗) -
由于 q ∗ q^* q∗ 是 p ∗ p^* p∗ 的最优反应
因此 ∀ q ∈ Δ q \forall q \in \Delta_q ∀q∈Δq, U ( p ∗ , q ) ⩾ U ( p ∗ , q ∗ ) U(p^*,q) \geqslant U(p^*,q^*) U(p∗,q)⩾U(p∗,q∗)
进而 ∀ p ∈ Δ p \forall p \in \Delta_p ∀p∈Δp, ∀ q ∈ Δ q \forall q \in \Delta_q ∀q∈Δq, U ( p ∗ , q ) ⩾ U ( p ∗ , q ∗ ) ⩾ U ( p , q ∗ ) U(p^*,q) \geqslant U(p^*,q^*) \geqslant U(p,q^*) U(p∗,q)⩾U(p∗,q∗)⩾U(p,q∗)
亦即 min q U ( p ∗ , q ) ⩾ U ( p ∗ , q ∗ ) ⩾ max p U ( p , q ∗ ) \min\limits_q U(p^*,q) \geqslant U(p^*,q^*) \geqslant \max\limits_p U(p,q^*) qminU(p∗,q)⩾U(p∗,q∗)⩾pmaxU(p,q∗) ※
进而 min q U ( p ∗ , q ) ⩾ U ( p ∗ , q ∗ ) = max p U ( p , q ∗ ) \min\limits_q U(p^*,q) \geqslant U(p^*,q^*) = \max\limits_p U(p,q^*) qminU(p∗,q)⩾U(p∗,q∗)=pmaxU(p,q∗)
进而 max p min q U ( p , q ) = min q max p U ( p , q ) \max\limits_p \min\limits_q U(p,q) = \min\limits_q \max\limits_p U(p,q) pmaxqminU(p,q)=qminpmaxU(p,q)
证明minimax定理概述
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minimax定理的形式化
Δ p = { p ∣ p ≽ 0 , p 1 T = 1 } \Delta_p = \{p \mid p \succcurlyeq 0, p1^T=1 \} Δp={ p∣p≽0,p1T=1}, Δ q = { q ∣ q ≽ 0 , q 1 T = 1 } \Delta_q = \{q \mid q \succcurlyeq 0, q1^T=1 \} Δq={ q∣q≽0,q1T=1}, Δ = Δ p × Δ q \Delta = \Delta_p \times \Delta_q Δ=Δp×Δq
U : Δ → R U: \Delta \to \reals U:Δ→R, U U U 连续, 对 p p p 凹, 对 q q q 凸
要求证明 max p min q U ( p , q ) = min q max p U ( p , q ) \max\limits_p \min\limits_q U(p,q) = \min\limits_q \max\limits_p U(p,q) pmax