Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2014/ib/paper-2/9h/solution

In a two-player zero-sum game, the row player chooses a row, the column player chooses a column, and the row player's gain is the column player's loss. If their independent mixed strategies are probability vectors , , the row player's expected payoff is .
The optimal mixed strategies solve
The minimax theorem equates these two guaranteed values. Equivalently, for a value , and componentwise.
For a row strategy , the payoffs against the two pure columns are and . Their minimum is maximized at their intersection, , where both are . Symmetrically the column player's maximum of the two row payoffs is minimized at . Hence
These probabilities are unique: moving either probability away from worsens that player's guaranteed payoff.

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