Query-Efficient Algorithms to Find the Unique Nash Equilibrium in a Two-Player Zero-Sum Matrix Game

Résumé : We study the query complexity of identifying Nash equilibria in two-player zero-sum matrix games. Grigoriadis and Khachiyan (1995) showed that any deterministic algorithm needs to query $\Omega(n^2)$ entries in worst case from an $n\times n$ input matrix in order to compute an $\varepsilon$-approximate Nash equilibrium, where $\varepsilon<\frac{1}{2}$. Moreover, they designed a randomized algorithm that queries $\mathcal O(\frac{n\log n}{\varepsilon^2})$ entries from the input matrix in expectation and returns an $\varepsilon$-approximate Nash equilibrium when the entries of the matrix are bounded between $-1$ and $1$. However, these two results do not completely characterize the query complexity of finding an exact Nash equilibrium in two-player zero-sum matrix games. In this work, we characterize the query complexity of finding an exact Nash equilibrium for two-player zero-sum matrix games that have a unique Nash equilibrium $(x_\star,y_\star)$. We first show that any randomized algorithm needs to query $\Omega(nk)$ entries of the input matrix $A\in\mathbb{R}^{n\times n}$ in expectation in order to find the unique Nash equilibrium where $k=|\text{supp}(x_\star)|$. We complement this lower bound by presenting a simple randomized algorithm that, with probability $1-\delta$, returns the unique Nash equilibrium by querying at most $\mathcal O(nk^4\cdot \text{polylog}(\frac{n}{\delta}))$ entries of the input matrix $A\in\mathbb{R}^{n\times n}$. In the special case when the unique Nash Equilibrium is a pure-strategy Nash equilibrium (PSNE), we design a simple deterministic algorithm that finds the PSNE by querying at most $\mathcal O(n)$ entries of the input matrix.