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Minimax theorem

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Bilinear functions and z..
Concave-convex functions
Sion's minimax theorem
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Convex Minimax Sum Theorem

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In the mathematical area of game theory and of convex optimization, a minimax theorem is a theorem that claims that

\max_{x\in X} \min_{y\in Y} f(x,y) = \min_{y\in Y} \max_{x\in X}f(x,y)

under certain conditions on the sets

X

and

Y

and on the function

f

. It is always true that the left-hand side is at most the right-hand side (max–min inequality) but equality only holds under certain conditions identified by minimax theorems. The first theorem in this sense is von Neumann's minimax theorem about two-player Zero-sum game published in 1928, which is considered the starting point of game theory. Von Neumann is quoted as saying " As far as I can see, there could be no theory of games ... without that theorem ... I thought there was nothing worth publishing until the Minimax Theorem was proved".

John L Casti (1996). 9780471002611, Wiley-Interscience. . ISBN 9780471002611

Since then, several generalizations and alternative versions of von Neumann's original theorem have appeared in the literature.

(1995). 9781461335573, Springer US. ISBN 9781461335573

Bilinear functions and zero-sum games

Von Neumann's original theorem was motivated by game theory and applies to the case where

$X$ and $Y$ are Simplex: $X = \{ (x_1, \dots, x_n) \in 0,1^n : \sum_{i = 1}^n x_i = 1 \}$

and

Y = \{ (y_1, \dots, y_m) \in 0,1^m : \sum_{j = 1}^m y_j = 1 \}

, and

$f(x,y)$ is a linear function in both of its arguments (that is, $f$ is Bilinear form) and therefore can be written $f(x,y) = x^\mathsf{T} A y$ for a finite matrix $A \in \mathbb{R}^{n \times m}$ , or equivalently as $f(x,y) = \sum_{i=1}^n\sum_{j=1}^m A_{ij}x_iy_j$ .

Under these assumptions, von Neumann proved that

\max_{x \in X} \min_{y \in Y} x^\mathsf{T} A y = \min_{y \in Y}\max_{x \in X} x^\mathsf{T} A y.

In the context of two-player Zero-sum game, the sets

X

and

Y

correspond to the strategy sets of the first and second player, respectively, which consist of lotteries over their actions (so-called mixed strategies), and their payoffs are defined by the Payoff Matrix

A

. The function

f(x,y)

encodes the expected value of the payoff to the first player when the first player plays the strategy

x

and the second player plays the strategy

y

Concave-convex functions

Von Neumann's minimax theorem can be generalized to domains that are compact and convex, and to functions that are concave in their first argument and convex in their second argument (known as concave-convex functions). Formally, let

X \subseteq \mathbb{R}^n

and

Y \subseteq \mathbb{R}^m

be compact space Convex set sets. If

f: X \times Y \rightarrow \mathbb{R}

is a continuous function that is concave-convex, i.e.

f(\cdot,y): X \to \mathbb{R}

is concave function for every fixed

y \in Y

, and

f(x,\cdot): Y \to \mathbb{R}

is convex function for every fixed

x \in X

Then we have that

\max_{x\in X} \min_{y\in Y} f(x,y) = \min_{y\in Y} \max_{x\in X}f(x,y).

Sion's minimax theorem

Sion's minimax theorem is a generalization of von Neumann's minimax theorem due to Maurice Sion, relaxing the requirement that X and Y be standard simplexes and that f be bilinear. It states:

Let $X$ be a Convex set subset of a linear topological space and let $Y$ be a compact space Convex set subset of a linear topological space. If $f$ is a real-valued function on $X\times Y$ with

f(\cdot,y)

upper semicontinuous and quasi-concave on

X

, for every fixed

y\in Y

, and

f(x,\cdot)

lower semicontinuous and quasi-convex on

Y

, for every fixed

x\in X

Then we have that

\sup_{x\in X}\min_{y\in Y} f(x,y) = \min_{y\in Y}\sup_{x\in X} f(x,y).

Minimax theorem

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Minimax theorem

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