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How to find, or at least express, the equilibrium of a zero-sum game with an $n*n$ payoff matrix (each player has $n$ strategies) and the payoff of the entry $(i,j)$ is $u(i,j)$. $u$ a random function of the strategies $i$ and $j$.

What about the case where $n \rightarrow \infty$.

Any reference or code is welcome.

Thanks a lot!

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Do the players observe the random payoff before or after they made their choices? In the second case, you can just take the expectation $E[u(i,j)]$ as the payoff of $(i,j)$ and reduce the problem to a standard zero-sum game. – Michael Greinecker Feb 8 '13 at 9:48
up vote 1 down vote accepted

Assuming the $u(i,j)$ are iid with a continuous distribution, the probability that $(i,j)$ is a saddle point, i.e. that $u(i,j)$ is the greatest entry in its column and the least in its row, is $((n-1)!)^2/(2n-1)! \approx 2^{1-n^2} \sqrt{\pi/n}$ as $n \to \infty$. Thus the probability that the game has a saddle point goes to $0$ (and very rapidly) as $n \to \infty$. Instead, with probability approaching $1$ the optimal strategies are mixed strategies.

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