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An Interior Point Approach to Large Games of Incomplete Information
Last modified: 2014-06-18
Abstract
Since their discovery 30 years ago, interior point methods deliver the most competitive algorithms for large scale optimization. Surprisingly, even when games of incomplete information can be formulated as a linear program, interior point methods have been discarded in favor of usually less attractive methods. This paper describes how specialized interior point methods can also scale to large games.
Keywords
interior point; game equilibrium; iterative methods; implicit preconditioner; poker
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