knows how to solve a linear game.
"""
-# These few are used only for tests.
-from math import sqrt
-from random import randint, uniform
-from unittest import TestCase
-
-# These are mostly actually needed.
from cvxopt import matrix, printing, solvers
-from cones import CartesianProduct, IceCream, NonnegativeOrthant
-from errors import GameUnsolvableException
-from matrices import append_col, append_row, identity, inner_product
-import options
+from .cones import CartesianProduct
+from .errors import GameUnsolvableException
+from .matrices import append_col, append_row, identity
+from . import options
printing.options['dformat'] = options.FLOAT_FORMAT
solvers.options['show_progress'] = options.VERBOSE
class SymmetricLinearGame:
- """
+ r"""
A representation of a symmetric linear game.
- The data for a linear game are,
+ The data for a symmetric linear game are,
* A "payoff" operator ``L``.
- * A cone ``K``.
- * A point ``e`` in the interior of ``K``.
- * A point ``f`` in the interior of the dual of ``K``.
-
- In a symmetric game, the cone ``K`` is be self-dual. We therefore
- name the two interior points ``e1`` and ``e2`` to indicate that
- they come from the same cone but are "chosen" by players one and
- two respectively.
+ * A symmetric cone ``K``.
+ * Two points ``e1`` and ``e2`` in the interior of ``K``.
The ambient space is assumed to be the span of ``K``.
+ With those data understood, the game is played as follows. Players
+ one and two choose points :math:`x` and :math:`y` respectively, from
+ their respective strategy sets,
+
+ .. math::
+ \begin{aligned}
+ \Delta_{1}
+ &=
+ \left\{
+ x \in K \ \middle|\ \left\langle x, e_{2} \right\rangle = 1
+ \right\}\\
+ \Delta_{2}
+ &=
+ \left\{
+ y \in K \ \middle|\ \left\langle y, e_{1} \right\rangle = 1
+ \right\}.
+ \end{aligned}
+
+ Afterwards, a "payout" is computed as :math:`\left\langle
+ L\left(x\right), y \right\rangle` and is paid to player one out of
+ player two's pocket. The game is therefore zero sum, and we suppose
+ that player one would like to guarantee himself the largest minimum
+ payout possible. That is, player one wishes to,
+
+ .. math::
+ \begin{aligned}
+ \text{maximize }
+ &\underset{y \in \Delta_{2}}{\min}\left(
+ \left\langle L\left(x\right), y \right\rangle
+ \right)\\
+ \text{subject to } & x \in \Delta_{1}.
+ \end{aligned}
+
+ Player two has the simultaneous goal to,
+
+ .. math::
+ \begin{aligned}
+ \text{minimize }
+ &\underset{x \in \Delta_{1}}{\max}\left(
+ \left\langle L\left(x\right), y \right\rangle
+ \right)\\
+ \text{subject to } & y \in \Delta_{2}.
+ \end{aligned}
+
+ These goals obviously conflict (the game is zero sum), but an
+ existence theorem guarantees at least one optimal min-max solution
+ from which neither player would like to deviate. This class is
+ able to find such a solution.
+
+ Parameters
+ ----------
+
+ L : list of list of float
+ A matrix represented as a list of ROWS. This representation
+ agrees with (for example) SageMath and NumPy, but not with CVXOPT
+ (whose matrix constructor accepts a list of columns).
+
+ K : :class:`SymmetricCone`
+ The symmetric cone instance over which the game is played.
+
+ e1 : iterable float
+ The interior point of ``K`` belonging to player one; it
+ can be of any iterable type having the correct length.
+
+ e2 : iterable float
+ The interior point of ``K`` belonging to player two; it
+ can be of any enumerable type having the correct length.
+
+ Raises
+ ------
+
+ ValueError
+ If either ``e1`` or ``e2`` lie outside of the cone ``K``.
+
Examples
--------
- >>> from cones import NonnegativeOrthant
+ >>> from dunshire import *
>>> K = NonnegativeOrthant(3)
>>> L = [[1,-5,-15],[-1,2,-3],[-12,-15,1]]
>>> e1 = [1,1,1]
[ 2]
[ 3].
-
Lists can (and probably should) be used for every argument::
- >>> from cones import NonnegativeOrthant
+ >>> from dunshire import *
>>> K = NonnegativeOrthant(2)
>>> L = [[1,0],[0,1]]
>>> e1 = [1,1]
>>> import cvxopt
>>> import numpy
- >>> from cones import NonnegativeOrthant
+ >>> from dunshire import *
>>> K = NonnegativeOrthant(2)
>>> L = [[1,0],[0,1]]
>>> e1 = cvxopt.matrix([1,1])
otherwise indexed by columns::
>>> import cvxopt
- >>> from cones import NonnegativeOrthant
+ >>> from dunshire import *
>>> K = NonnegativeOrthant(2)
>>> L = [[1,2],[3,4]]
>>> e1 = [1,1]
def __init__(self, L, K, e1, e2):
"""
Create a new SymmetricLinearGame object.
-
- INPUT:
-
- - ``L`` -- an square matrix represented as a list of lists
- of real numbers. ``L`` itself is interpreted as a list of
- ROWS, which agrees with (for example) SageMath and NumPy,
- but not with CVXOPT (whose matrix constructor accepts a
- list of columns).
-
- - ``K`` -- a SymmetricCone instance.
-
- - ``e1`` -- the interior point of ``K`` belonging to player one;
- it can be of any enumerable type having the correct length.
-
- - ``e2`` -- the interior point of ``K`` belonging to player two;
- it can be of any enumerable type having the correct length.
-
"""
self._K = K
self._e1 = matrix(e1, (K.dimension(), 1))
# feeding it to CVXOPT.
self._L = matrix(L, (K.dimension(), K.dimension())).trans()
- if not K.contains_strict(self._e1):
+ if not self._e1 in K:
raise ValueError('the point e1 must lie in the interior of K')
- if not K.contains_strict(self._e2):
+ if not self._e2 in K:
raise ValueError('the point e2 must lie in the interior of K')
def __str__(self):
def solution(self):
"""
- Solve this linear game and return a Solution object.
+ Solve this linear game and return a :class:`Solution`.
+
+ Returns
+ -------
- OUTPUT:
+ :class:`Solution`
+ A :class:`Solution` object describing the game's value and
+ the optimal strategies of both players.
- If the cone program associated with this game could be
- successfully solved, then a Solution object containing the
- game's value and optimal strategies is returned. If the game
- could *not* be solved -- which should never happen -- then a
- GameUnsolvableException is raised. It can be printed to get the
- raw output from CVXOPT.
+ Raises
+ ------
+ GameUnsolvableException
+ If the game could not be solved (if an optimal solution to its
+ associated cone program was not found).
Examples
--------
This example is computed in Gowda and Ravindran in the section
"The value of a Z-transformation"::
- >>> from cones import NonnegativeOrthant
+ >>> from dunshire import *
>>> K = NonnegativeOrthant(3)
>>> L = [[1,-5,-15],[-1,2,-3],[-12,-15,1]]
>>> e1 = [1,1,1]
The value of the following game can be computed using the fact
that the identity is invertible::
- >>> from cones import NonnegativeOrthant
+ >>> from dunshire import *
>>> K = NonnegativeOrthant(3)
>>> L = [[1,0,0],[0,1,0],[0,0,1]]
>>> e1 = [1,2,3]
# what happened.
soln_dict = solvers.conelp(c, G, h, C.cvxopt_dims(), A, b)
+ # The optimal strategies are named ``p`` and ``q`` in the
+ # background documentation, and we need to extract them from
+ # the CVXOPT ``x`` and ``z`` variables. The objective values
+ # :math:`nu` and :math:`omega` can also be found in the CVXOPT
+ # ``x`` and ``y`` variables; however, they're stored
+ # conveniently as separate entries in the solution dictionary.
+ p1_value = -soln_dict['primal objective']
+ p2_value = -soln_dict['dual objective']
+ p1_optimal = soln_dict['x'][1:]
+ p2_optimal = soln_dict['z'][self._K.dimension():]
+
# The "status" field contains "optimal" if everything went
# according to plan. Other possible values are "primal
- # infeasible", "dual infeasible", "unknown", all of which
- # mean we didn't get a solution. That should never happen,
- # because by construction our game has a solution, and thus
- # the cone program should too.
- if soln_dict['status'] != 'optimal':
+ # infeasible", "dual infeasible", "unknown", all of which mean
+ # we didn't get a solution. The "infeasible" ones are the
+ # worst, since they indicate that CVXOPT is convinced the
+ # problem is infeasible (and that cannot happen).
+ if soln_dict['status'] in ['primal infeasible', 'dual infeasible']:
raise GameUnsolvableException(soln_dict)
-
- p1_value = soln_dict['x'][0]
- p1_optimal = soln_dict['x'][1:]
- p2_optimal = soln_dict['z'][self._K.dimension():]
+ elif soln_dict['status'] == 'unknown':
+ # When we get a status of "unknown", we may still be able
+ # to salvage a solution out of the returned
+ # dictionary. Often this is the result of numerical
+ # difficulty and we can simply check that the primal/dual
+ # objectives match (within a tolerance) and that the
+ # primal/dual optimal solutions are within the cone (to a
+ # tolerance as well).
+ if abs(p1_value - p2_value) > options.ABS_TOL:
+ raise GameUnsolvableException(soln_dict)
+ if (p1_optimal not in self._K) or (p2_optimal not in self._K):
+ raise GameUnsolvableException(soln_dict)
return Solution(p1_value, p1_optimal, p2_optimal)
+
def dual(self):
- """
+ r"""
Return the dual game to this game.
+ If :math:`G = \left(L,K,e_{1},e_{2}\right)` is a linear game,
+ then its dual is :math:`G^{*} =
+ \left(L^{*},K^{*},e_{2},e_{1}\right)`. However, since this cone
+ is symmetric, :math:`K^{*} = K`.
+
Examples
--------
- >>> from cones import NonnegativeOrthant
+ >>> from dunshire import *
>>> K = NonnegativeOrthant(3)
>>> L = [[1,-5,-15],[-1,2,-3],[-12,-15,1]]
>>> e1 = [1,1,1]
self._K,
self._e2,
self._e1)
-
-
-class SymmetricLinearGameTest(TestCase):
- """
- Tests for the SymmetricLinearGame and Solution classes.
- """
-
- def assert_within_tol(self, first, second):
- """
- Test that ``first`` and ``second`` are equal within our default
- tolerance.
- """
- self.assertTrue(abs(first - second) < options.ABS_TOL)
-
-
- def assert_solution_exists(self, L, K, e1, e2):
- """
- Given the parameters needed to construct a SymmetricLinearGame,
- ensure that that game has a solution.
- """
- G = SymmetricLinearGame(L, K, e1, e2)
- soln = G.solution()
- L_matrix = matrix(L).trans()
- expected = inner_product(L_matrix*soln.player1_optimal(),
- soln.player2_optimal())
- self.assert_within_tol(soln.game_value(), expected)
-
- def test_solution_exists_nonnegative_orthant(self):
- """
- Every linear game has a solution, so we should be able to solve
- every symmetric linear game over the NonnegativeOrthant. Pick
- some parameters randomly and give it a shot. The resulting
- optimal solutions should give us the optimal game value when we
- apply the payoff operator to them.
- """
- ambient_dim = randint(1, 10)
- K = NonnegativeOrthant(ambient_dim)
- e1 = [uniform(0.1, 10) for idx in range(K.dimension())]
- e2 = [uniform(0.1, 10) for idx in range(K.dimension())]
- L = [[uniform(-10, 10) for i in range(K.dimension())]
- for j in range(K.dimension())]
- self.assert_solution_exists(L, K, e1, e2)
-
- def test_solution_exists_ice_cream(self):
- """
- Like :meth:`test_solution_exists_nonnegative_orthant`, except
- over the ice cream cone.
- """
- # Use a minimum dimension of two to avoid divide-by-zero in
- # the fudge factor we make up later.
- ambient_dim = randint(2, 10)
- K = IceCream(ambient_dim)
- e1 = [1] # Set the "height" of e1 to one
- e2 = [1] # And the same for e2
-
- # If we choose the rest of the components of e1,e2 randomly
- # between 0 and 1, then the largest the squared norm of the
- # non-height part of e1,e2 could be is the 1*(dim(K) - 1). We
- # need to make it less than one (the height of the cone) so
- # that the whole thing is in the cone. The norm of the
- # non-height part is sqrt(dim(K) - 1), and we can divide by
- # twice that.
- fudge_factor = 1.0 / (2.0*sqrt(K.dimension() - 1.0))
- e1 += [fudge_factor*uniform(0, 1) for idx in range(K.dimension() - 1)]
- e2 += [fudge_factor*uniform(0, 1) for idx in range(K.dimension() - 1)]
- L = [[uniform(-10, 10) for i in range(K.dimension())]
- for j in range(K.dimension())]
- self.assert_solution_exists(L, K, e1, e2)
-
projects / dunshire.git / blobdiff