3.II.20C

Optimization
Part IB, 2006

Explain what is meant by a two-person zero-sum game with payoff matrix A=(aij:1im,1jn)A=\left(a_{i j}: 1 \leqslant i \leqslant m, \quad 1 \leqslant j \leqslant n\right) and what is meant by an optimal strategy p=(pi:1im)p=\left(p_{i}: 1 \leqslant i \leqslant m\right).

Consider the following betting game between two players: each player bets an amount 1,2,31,2,3 or 4 ; if both bets are the same, then the game is void; a bet of 1 beats a bet of 4 but otherwise the larger bet wins; the winning player collects both bets. Write down the payoff matrix AA and explain why the optimal strategy p=(p1,p2,p3,p4)Tp=\left(p_{1}, p_{2}, p_{3}, p_{4}\right)^{T} must satisfy (Ap)i0(A p)_{i} \leqslant 0 for all ii. Hence find pp.