Strategy Investments in Matrix Games

We propose an extension of matrix games where the row player may select rows and remove columns, subject to a budget constraint. We present an exact mixed-integer linear programming (MILP) formulation for the problem, provide analytical results concerning its solution, and discuss applications in the security domain. Our computational experiments show heuristic approaches on average obtain suboptimal solutions with at least a 20% relative gap with those obtained by our MILP formulation.



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