Silent duels—Building the solution part 2 – Mathematics ∩ Programming

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Previous posts in this series:

Silent duels and an old Restrepo paper
Silent Duels – Build Analysis
Silent Duels – Build the solution part 1

Since it’s been three years since the last post in this series, and the reason for the delay is that I got totally stuck on the implementation. I am posting this draft article as partial progress until I can find time to work on it again.

If you haven’t read the last post, feel free. Coded deposit. Paper I’m working. In this article, I make progress in implementing a general construction of the optimal strategies from the article, but in the end, the first serious test case fails. In the end, I’m stuck and don’t know what to do next to fix it.

Refactoring

Let’s start by refactoring the mess of code from the last post. Now is a good time for this, as our tinkering in the last post has instilled confidence that we understand the basic mechanics. The central functions for building the generic solution are in this fileof the this commitment.

We use Sympy to represent functions and evaluate integrals, and it helps in naming types appropriately. Note, I will use python type annotations in the code, but the types are not validated due to missing stubs in sympy. Call it room for improvement.

from sympy import Lambda
SuccessFn = NewType('SuccessFn', Lambda)

@dataclass
class SilentDuelInput:
    '''Class containing the static input data to the silent duel problem.'''
    player_1_action_count: int
    player_2_action_count: int
    player_1_action_success: SuccessFn
    player_2_action_success: SuccessFn

Now let’s get to the output. Recall that a strategy is a partition of [0,1] in not intervals—where not is the number of actions specified in the input, with a probability distribution for each element in the score. This suggests a natural breakdown

@dataclass
class Strategy:
    '''
    A strategy is a list of action distribution functions, each of which
    describes the probability of taking an action on the interval of its
    support.
    '''
    action_distributions: List[ActionDistribution]

And ActionDistribution is defined as:

@dataclass
class ActionDistribution:
    '''The interval on which this distribution occurs.'''
    support_start: float
    support_end: float

    '''
    The cumulative density function for the distribution.

    May be improper if point_mass > 0.
    '''
    cumulative_density_function: Lambda

    '''
    If nonzero, corresponds to an extra point mass at the support_end.
    Only used in the last action in the optimal strategy.
    '''
    point_mass: float = 0

    t = Symbol('t', nonnegative=True)

    def draw(self, uniform_random_01=DEFAULT_RNG):
        '''Return a random draw from this distribution.

        Args:
         - uniform_random_01: a callable that accepts zero arguments
           and returns a uniform random float between 0 and 1. Defaults
           to using python's standard random.random
        '''
        if self.support_start >= self.support_end:  # treat as a point mass
            return self.support_start

        uniform_random_number = uniform_random_01()

        if uniform_random_number > 1 - self.point_mass - EPSILON:
            return self.support_end

        return solve_unique_real(
            self.cumulative_density_function(self.t) - uniform_random_number,
            self.t,
            solution_min=self.support_start,
            solution_max=self.support_end,
        )

We represent the probability distribution as a cumulative density function F





<p>Cumulative density functions are related to their more often used counterpart (in mathematics), the probability density function <img src=here. This is guaranteed for cumulative distribution functions, since they are strictly increasing functions of the input.

Finally, the result is a strategy for each player.

@dataclass
class SilentDuelOutput:
    p1_strategy: Strategy
    p2_strategy: Strategy

I also chose to create a small data structure to help maintain the joint progress of score building and constant normalization for each player.

@dataclass
class IntermediateState:
    '''
    A list of the transition times computed so far. This field
    maintains the invariant of being sorted. Thus, the first element
    in the list is a_{i + 1}, the most recently computed value of
    player 1's transition times, and the last element is a_{n + 1} = 1.
    This value is set on initialization with `new`.
    '''
    player_1_transition_times: Deque[Expr]

    '''
    Same as player_1_transition_times, but for player 2 with b_j and b_m.
    '''
    player_2_transition_times: Deque[Expr]

    '''
    The values of h_i so far, the normalizing constants for the action
    probability distributions for player 1. Has the same sorting
    invariant as the transition time lists.
    '''
    player_1_normalizing_constants: Deque[Expr]

    '''
    Same as player_1_normalizing_constants, but for player 2,
    i.e., the k_j normalizing constants.
    '''
    player_2_normalizing_constants: Deque[Expr]

    @staticmethod
    def new():
        '''Create a new state object, and set a_{n+1} = 1, b_{m+1}=1.'''
        return IntermediateState(
            player_1_transition_times=deque([1]),
            player_2_transition_times=deque([1]),
            player_1_normalizing_constants=deque([]),
            player_2_normalizing_constants=deque([]),
        )

    def add_p1(self, transition_time, normalizing_constant):
        self.player_1_transition_times.appendleft(transition_time)
        self.player_1_normalizing_constants.appendleft(normalizing_constant)

    def add_p2(self, transition_time, normalizing_constant):
        self.player_2_transition_times.appendleft(transition_time)
        self.player_2_normalizing_constants.appendleft(normalizing_constant)

Now that we’ve established the types, we move on to construction.

Construction

There are three parts to the build:

  1. Calculate the voucher alpha and beta.
  2. Find transition times and normalization constants for each player.
  3. Use the above to construct exit strategies.

Build the exit strategy

We’ll start with the last one: calculate the output with the right values. The construction is symmetric for each player, so we can have a single function called with different inputs.

def compute_strategy(
        player_action_success: SuccessFn,
        player_transition_times: List[float],
        player_normalizing_constants: List[float],
        opponent_action_success: SuccessFn,
        opponent_transition_times: List[float],
        time_1_point_mass: float = 0) -> Strategy:

This function calculates the construction given by Restrepo.

A difficulty is to express discontinuous breaks. The definition of f^* is a product on b_j > t” class=”latex”/>but if a <img src= is inside the action interval, which will cause a discontinuity. I don’t know a simple way to express f^* literally produces as written in sympy (let me know if you know better), so instead I opted to build a in pieces operate manually, which sympay supports well.

This results in the following function for building the final version f^* for a single action for a player. The piecewise function consists of dividing the action interval into pieces according to the discontinuities introduced by the opponent’s transition times which fall within the same interval.

def f_star(player_action_success: SuccessFn,
           opponent_action_success: SuccessFn,
           variable: Symbol,
           opponent_transition_times: Iterable[float]) -> Expr:
    '''Compute f^* as in Restrepo '57.
    The inputs can be chosen so that the appropriate f^* is built
    for either player. I.e., if we want to compute f^* for player 1,
    player_action_success should correspond to P, opponent_action_success
    to Q, and larger_transition_times to the b_j.
    If the inputs are switched appropriately, f^* is computed for player 2.
    '''
    P: SuccessFn = player_action_success
    Q: SuccessFn = opponent_action_success

    '''
    We compute f^* as a Piecewise function of the following form:
    [prod_{i=1}^m (1-Q(b_i))] * Q'
    [prod_{i=2}^m (1-Q(b_i))] * Q'
    [prod_{i=3}^m (1-Q(b_i))] * Q'
             .
             .
             .
    [1] *  Q'
    '''
    non_product_term = diff(Q(variable), variable) / (Q(variable)**2 * P(variable))
    piecewise_components = []
    for i, b_j in enumerate(opponent_transition_times):
        larger_transition_times = opponent_transition_times[i:]

        product = 1
        for b in larger_transition_times:
            product *= (1 - Q(b))

        term = product * non_product_term
        piecewise_components.append((term, variable < b_j))

    # last term is when there are no larger transition times.
    piecewise_components.append((non_product_term, True))

    return Piecewise(*piecewise_components)

The piecewise components are probability densities, so we can piecewise integrate them to get the cumulative densities. There are some helpers here for dealing with piecewise functions. First, we define a mask_piecewise to modify the sympy-internal representation of a piecewise function to have values ​​specified outside a fixed interval (the interval over which the action occurs). For a pdf it should be zero, and for a cdf it should be 0 before the action interval and 1 after. There are also nuanced elements where hidden calls to expr.simplify() allowing integration to happen much faster than otherwise.

def compute_strategy(
        player_action_success: SuccessFn,
        player_transition_times: List[float],
        player_normalizing_constants: List[float],
        opponent_action_success: SuccessFn,
        opponent_transition_times: List[float],
        time_1_point_mass: float = 0) -> Strategy:
    '''
    Given the transition times for a player, compute the action cumulative
    density functions for the optimal strategy of the player.
    '''
    action_distributions = []
    x = Symbol('x', real=True)
    t = Symbol('t', real=True)

    # chop off the last transition time, which is always 1
    opponent_transition_times = [
        x for x in opponent_transition_times if x < 1
    ]

    pairs = subsequent_pairs(player_transition_times)
    for (i, (action_start, action_end)) in enumerate(pairs):
        normalizing_constant = player_normalizing_constants[i]

        dF = normalizing_constant * f_star(
            player_action_success,
            opponent_action_success,
            x,
            opponent_transition_times,
        )
        piece_pdf = mask_piecewise(dF, x, action_start, action_end)
        piece_cdf = integrate(piece_pdf, x, action_start, t)
        piece_cdf = mask_piecewise(
            piece_cdf,
            t,
            action_start,
            action_end,
            before_domain_val=0,
            after_domain_val=1
        )

        action_distributions.append(ActionDistribution(
            support_start=action_start,
            support_end=action_end,
            cumulative_density_function=Lambda((t,), piece_cdf),
        ))

    action_distributions[-1].point_mass = time_1_point_mass
    return Strategy(action_distributions=action_distributions)

def compute_player_strategies(silent_duel_input, intermediate_state, alpha, beta):
    p1_strategy = compute_strategy(
        player_action_success=silent_duel_input.player_1_action_success,
        player_transition_times=intermediate_state.player_1_transition_times,
        player_normalizing_constants=intermediate_state.player_1_normalizing_constants,
        opponent_action_success=silent_duel_input.player_2_action_success,
        opponent_transition_times=intermediate_state.player_2_transition_times,
        time_1_point_mass=alpha,
    )
    p2_strategy = compute_strategy(
        player_action_success=silent_duel_input.player_2_action_success,
        player_transition_times=intermediate_state.player_2_transition_times,
        player_normalizing_constants=intermediate_state.player_2_normalizing_constants,
        opponent_action_success=silent_duel_input.player_1_action_success,
        opponent_transition_times=intermediate_state.player_1_transition_times,
        time_1_point_mass=beta,
    )
    return SilentDuelOutput(p1_strategy=p1_strategy, p2_strategy=p2_strategy)

Note that “Lambda” is a sympy-internal anonymous function declaration that we use here to imply functionality. A Lambda also supports function call notation by overriding __call__. This allows the subsequent action cast to be treated as if it were a function.

Find transition times

Next, we move on to calculating the transition times for a Alpha Beta. This step is largely the same as the previous post in this series, but we’re refactoring the code to be simpler and more generic.

The outer loop will construct an intermediate state object and handle the process described by Restrepo of “take the largest parameter”then calculate the next one. a_i, b_j using previously saved settings. There is one caveat, which Restrepo misses when he writes, “for more precision, we assume that a_n > b_m” class=”latex”/>…to the next step…a new one <img src= is calculated… using the single parameter a_n^*.” As best I can tell (and experimenting with symmetrical examples), when the calculated transition times are equal, keeping one and following Restrepo’s algorithm faithfully will result in inconsistent output. As far as I can tell, this is a minor error, and if the transition times are equal, you should keep them both and not recalculate one using the other as a parameter.

def compute_as_and_bs(duel_input: SilentDuelInput,
                      alpha: float = 0,
                      beta: float = 0) -> IntermediateState:
    '''
    Compute the a's and b's for the silent duel, given a fixed
    alpha and beta as input.
    '''
    t = Symbol('t0', nonnegative=True, real=True)

    p1_index = duel_input.player_1_action_count
    p2_index = duel_input.player_2_action_count
    intermediate_state = IntermediateState.new()

    while p1_index > 0 or p2_index > 0:
        # the larger of a_i, b_j is kept as a parameter, then the other will be repeated
        # in the next iteration; e.g., a_{i-1} and b_j (the latter using a_i in its f^*)
        (a_i, b_j, h_i, k_j) = compute_ai_and_bj(
            duel_input, intermediate_state, alpha=alpha, beta=beta
        )

        # there is one exception, if a_i == b_j, then the computation of f^* in the next
        # iteration (I believe) should not include the previously kept parameter. I.e.,
        # in the symmetric version, if a_n is kept and the next computation of b_m uses
        # the previous a_n, then it will produce the wrong value.
        #
        # I resolve this by keeping both parameters when a_i == b_j.
        if abs(a_i - b_j) < EPSILON and p1_index > 0 and p2_index > 0:
            # use the average of the two to avoid roundoff errors
            transition = (a_i + b_j) / 2
            intermediate_state.add_p1(float(transition), float(h_i))
            intermediate_state.add_p2(float(transition), float(k_j))
            p1_index -= 1
            p2_index -= 1
        elif (a_i > b_j and p1_index > 0) or p2_index == 0:
            intermediate_state.add_p1(float(a_i), float(h_i))
            p1_index -= 1
        elif (b_j > a_i and p2_index > 0) or p1_index == 0:
            intermediate_state.add_p2(float(b_j), float(k_j))
            p2_index -= 1

    return intermediate_state

It remains to calculate an individual a_i, b_j pair given an intermediate state. We refactored the loop body from the last post to a generic function that works for both a_n, b_m (who need access to Alpha Beta) and lower a_i, b_j. With the exception of “simple_f_star”there is nothing new here.

def simple_f_star(player_action_success: SuccessFn,
                  opponent_action_success: SuccessFn,
                  variable: Symbol,
                  larger_transition_times: Iterable[float]) -> Expr:
    P: SuccessFn = player_action_success
    Q: SuccessFn = opponent_action_success

    non_product_term = diff(Q(variable), variable) / (Q(variable)**2 * P(variable))

    product = 1
    for b in larger_transition_times:
        product *= (1 - Q(b))

    return product * non_product_term

def compute_ai_and_bj(duel_input: SilentDuelInput,
                      intermediate_state: IntermediateState,
                      alpha: float = 0,
                      beta: float = 0):
    '''
    Compute a pair of a_i and b_j transition times for both players,
    using the intermediate state of the algorithm computed so far.
    This function also computes a_n and b_m when the intermediate_state
    input has no larger transition times for the opposite player. In
    those cases, the integrals and equations being solved are slightly
    different; they include some terms involving alpha and beta. In all
    other cases, the alpha and beta parameters are unused.
    '''
    P: SuccessFn = duel_input.player_1_action_success
    Q: SuccessFn = duel_input.player_2_action_success
    t = Symbol('t0', nonnegative=True, real=True)
    a_i = Symbol('a_i', positive=True, real=True)
    b_j = Symbol('b_j', positive=True, real=True)

    p1_transitions = intermediate_state.player_1_transition_times
    p2_transitions = intermediate_state.player_2_transition_times

    # the left end of the transitions arrays contain the smallest
    # (latest computed) transition time for each player.
    # these are set to 1 for an empty intermediate state, i.e. for a_n, b_m
    a_i_plus_one = p1_transitions[0]
    b_j_plus_one = p2_transitions[0]
    computing_a_n = a_i_plus_one == 1
    computing_b_m = b_j_plus_one == 1

    p1_fstar_parameters = list(p2_transitions)[:-1]  # ignore b_{m+1} = 1
    p1_fstar = simple_f_star(P, Q, t, p1_fstar_parameters)
    # the a_i part
    if computing_a_n:
        p1_integrand = ((1 + alpha) - (1 - alpha) * P
        p1_integral_target = 2 * (1 - alpha)
    else:
        p1_integrand = (1 - P
        p1_integral_target = 1 / intermediate_state.player_1_normalizing_constants[0]

    a_i_integrated = integrate(p1_integrand, t, a_i, a_i_plus_one)
    a_i = solve_unique_real(
        a_i_integrated - p1_integral_target,
        a_i,
        solution_min=0,
        solution_max=a_i_plus_one
    )

    # the b_j part
    p2_fstar_parameters = list(p1_transitions)[:-1]  # ignore a_{n+1} = 1
    p2_fstar = simple_f_star(Q, P, t, p2_fstar_parameters)
    if computing_b_m:
        p2_integrand = ((1 + beta) - (1 - beta) * Q
        p2_integral_target = 2 * (1 - beta)
    else:
        p2_integrand = (1 - Q
        p2_integral_target = 1 / intermediate_state.player_2_normalizing_constants[0]

    b_j_integrated = integrate(p2_integrand, t, b_j, b_j_plus_one)
    b_j = solve_unique_real(
        b_j_integrated - p2_integral_target,
        b_j,
        solution_min=0,
        solution_max=b_j_plus_one
    )

    # the h_i part
    h_i_integrated = integrate(p1_fstar, t, a_i, a_i_plus_one)
    h_i_numerator = (1 - alpha) if computing_a_n else 1
    h_i = h_i_numerator / h_i_integrated

    # the k_j part
    k_j_integrated = integrate(p2_fstar, t, b_j, b_j_plus_one)
    k_j_numerator = (1 - beta) if computing_b_m else 1
    k_j = k_j_numerator / k_j_integrated

    return (a_i, b_j, h_i, k_j)

You might be wondering what’s going on with “simple_f_star”. Let me save that for the end of the post, as it relates to how I’m currently stuck in understanding the build.

Binary search for alpha and beta

Finally, we need to perform a binary search for the desired output a_1 = b_1 as a function of Alpha Beta. Following Restrepo’s assertion, we first compute a_1, b_1 using alpha=0, beta=0. Whether a_1 > b_1″ class=”latex”/>so we are looking for a <img src=.

To make binary search easier, I decided to implement an abstract binary search routine (which only works for floating point domains). You can see the code here. The important part is that it summarizes the test (did you find it?) and the answer (no, too weak), so that we can have the heart of this test be a calculation of a_1, b_1.

First the non-binary search bits:

def optimal_strategies(silent_duel_input: SilentDuelInput) -> SilentDuelOutput:
    '''Compute an optimal pair of corresponding strategies for the silent duel problem.'''
    # First compute a's and b's, and check to see if a_1 == b_1, in which case quit.
    intermediate_state = compute_as_and_bs(silent_duel_input, alpha=0, beta=0)
    a1 = intermediate_state.player_1_transition_times[0]
    b1 = intermediate_state.player_2_transition_times[0]

    if abs(a1 - b1) < EPSILON:
        return compute_player_strategies(
            silent_duel_input, intermediate_state, alpha=0, beta=0,
        )

    # Otherwise, binary search for an alpha/beta
    searching_for_beta = b1 < a1

    <snip>

    intermediate_state = compute_as_and_bs(
        silent_duel_input, alpha=final_alpha, beta=final_beta
    )
    player_strategies = compute_player_strategies(
        silent_duel_input, intermediate_state, final_alpha, final_beta
    )

    return player_strategies

The above first checks if a search is needed and, in either case, uses our previously defined functions to calculate the exit strategies. The binary search part looks like this:

    if searching_for_beta:
        def test(beta_value):
            new_state = compute_as_and_bs(
                silent_duel_input, alpha=0, beta=beta_value
            )
            new_a1 = new_state.player_1_transition_times[0]
            new_b1 = new_state.player_2_transition_times[0]
            found = abs(new_a1 - new_b1) < EPSILON
            return BinarySearchHint(found=found, tooLow=new_b1 < new_a1)
    else:  # searching for alpha
        def test(alpha_value):
            new_state = compute_as_and_bs(
                silent_duel_input, alpha=alpha_value, beta=0
            )
            new_a1 = new_state.player_1_transition_times[0]
            new_b1 = new_state.player_2_transition_times[0]
            found = abs(new_a1 - new_b1) < EPSILON
            return BinarySearchHint(found=found, tooLow=new_a1 < new_b1)

    search_result = binary_search(
        test, param_min=0, param_max=1, callback=print
    )
    assert search_result.found

    # the optimal (alpha, beta) pair have product zero.
    final_alpha = 0 if searching_for_beta else search_result.value
    final_beta = search_result.value if searching_for_beta else 0

Put it all together

Let’s run the full build on a few examples. I added some print statements in the code and overloaded __str__ about data classes to help you. We can first verify that we get the same result as our previous symmetric example:

x = Symbol('x')
P = Lambda((x,), x)
Q = Lambda((x,), x)

duel_input = SilentDuelInput(
    player_1_action_count=3,
    player_2_action_count=3,
    player_1_action_success=P,
    player_2_action_success=Q,
)

print("Input: {}".format(duel_input))
output = optimal_strategies(duel_input)
print(output)
output.validate()

# output is:

Input: SilentDuelInput(player_1_action_count=3, player_2_action_count=3, player_1_action_success=Lambda(_x, _x), player_2_action_success=Lambda(_x, _x))
a_1 = 0.143 b_1 = 0.143
P1:
(0.143, 0.200): dF/dt = Piecewise((0, (t > 0.2) | (t < 0.142857142857143)), (0.083/t**3, t < 0.2))
(0.200, 0.333): dF/dt = Piecewise((0, (t > 0.333333333333333) | (t < 0.2)), (0.13/t**3, t < 0.333333333333333))
(0.333, 1.000): dF/dt = Piecewise((0, (t > 1) | (t < 0.333333333333333)), (0.25/t**3, t < 1))

P2:
(0.143, 0.200): dF/dt = Piecewise((0, (t < 0.2) | (t < 0.142857142857143)), (0.083/t**3, t < 0.2))
(0.200, 0.333): dF/dt = Piecewise((0, (t > 0.333333333333333) | (t < 0.2)), (0.13/t**3, t < 0.333333333333333))
(0.333, 1.000): dF/dt = Piecewise((0, (t > 1) | (t < 0.333333333333333)), (0.25/t**3, t > 1))
Validating P1
Validating. prob_mass=1.00000000000000 point_mass=0
Validating. prob_mass=1.00000000000000 point_mass=0
Validating. prob_mass=1.00000000000000 point_mass=0
Validating P2
Validating. prob_mass=1.00000000000000 point_mass=0
Validating. prob_mass=1.00000000000000 point_mass=0
Validating. prob_mass=1.00000000000000 point_mass=0

It lines up: the players have the same strategy, and the transition times are 1/7, 1/5, and 1/3.

Then replace Q = Lambda((x,), x**2), and have only one action for each player. This should require a binary search, but it will be easy to check manually. I added a callback that prints the bounds during each iteration of the binary search to observe. Also note that the sympy integration is quite slow, so this binary lookup takes a minute or two.

Input: SilentDuelInput(player_1_action_count=1, player_2_action_count=1, player_1_action_success=Lambda(_x, _x), player_2_action_success=Lambda(x, x**2))
a_1 = 0.48109 b_1 = 0.42716
Binary searching for beta
{'current_min': 0, 'current_max': 1, 'tested_value': 0.5}
a_1 = 0.37545 b_1 = 0.65730
{'current_min': 0, 'current_max': 0.5, 'tested_value': 0.25}
a_1 = 0.40168 b_1 = 0.54770
{'current_min': 0, 'current_max': 0.25, 'tested_value': 0.125}
a_1 = 0.41139 b_1 = 0.50000
{'current_min': 0, 'current_max': 0.125, 'tested_value': 0.0625}
a_1 = 0.48109 b_1 = 0.44754
{'current_min': 0.0625, 'current_max': 0.125, 'tested_value': 0.09375}
a_1 = 0.41358 b_1 = 0.48860
{'current_min': 0.0625, 'current_max': 0.09375, 'tested_value': 0.078125}
a_1 = 0.41465 b_1 = 0.48297
{'current_min': 0.0625, 'current_max': 0.078125, 'tested_value': 0.0703125}
a_1 = 0.48109 b_1 = 0.45013
{'current_min': 0.0703125, 'current_max': 0.078125, 'tested_value': 0.07421875}
a_1 = 0.41492 b_1 = 0.48157
{'current_min': 0.0703125, 'current_max': 0.07421875, 'tested_value': 0.072265625}
a_1 = 0.48109 b_1 = 0.45078
{'current_min': 0.072265625, 'current_max': 0.07421875, 'tested_value': 0.0732421875}
a_1 = 0.41498 b_1 = 0.48122
{'current_min': 0.072265625, 'current_max': 0.0732421875, 'tested_value': 0.07275390625}
a_1 = 0.48109 b_1 = 0.45094
{'current_min': 0.07275390625, 'current_max': 0.0732421875, 'tested_value': 0.072998046875}
a_1 = 0.41500 b_1 = 0.48113
{'current_min': 0.07275390625, 'current_max': 0.072998046875, 'tested_value': 0.0728759765625}
a_1 = 0.48109 b_1 = 0.45098
{'current_min': 0.0728759765625, 'current_max': 0.072998046875, 'tested_value': 0.07293701171875}
a_1 = 0.41500 b_1 = 0.48111
{'current_min': 0.0728759765625, 'current_max': 0.07293701171875, 'tested_value': 0.072906494140625}
a_1 = 0.41500 b_1 = 0.48110
{'current_min': 0.0728759765625, 'current_max': 0.072906494140625, 'tested_value': 0.0728912353515625}
a_1 = 0.41501 b_1 = 0.48109
{'current_min': 0.0728759765625, 'current_max': 0.0728912353515625, 'tested_value': 0.07288360595703125}
a_1 = 0.48109 b_1 = 0.45099
{'current_min': 0.07288360595703125, 'current_max': 0.0728912353515625, 'tested_value': 0.07288742065429688}
a_1 = 0.41501 b_1 = 0.48109
{'current_min': 0.07288360595703125, 'current_max': 0.07288742065429688, 'tested_value': 0.07288551330566406}
a_1 = 0.48109 b_1 = 0.45099
{'current_min': 0.07288551330566406, 'current_max': 0.07288742065429688, 'tested_value': 0.07288646697998047}
a_1 = 0.48109 b_1 = 0.45099
{'current_min': 0.07288646697998047, 'current_max': 0.07288742065429688, 'tested_value': 0.07288694381713867}
a_1 = 0.41501 b_1 = 0.48109
{'current_min': 0.07288646697998047, 'current_max': 0.07288694381713867, 'tested_value': 0.07288670539855957}
a_1 = 0.48109 b_1 = 0.45099
{'current_min': 0.07288670539855957, 'current_max': 0.07288694381713867, 'tested_value': 0.07288682460784912}
a_1 = 0.41501 b_1 = 0.48109
{'current_min': 0.07288670539855957, 'current_max': 0.07288682460784912, 'tested_value': 0.07288676500320435}
a_1 = 0.41501 b_1 = 0.48109
{'current_min': 0.07288670539855957, 'current_max': 0.07288676500320435, 'tested_value': 0.07288673520088196}
a_1 = 0.48109 b_1 = 0.45099
{'current_min': 0.07288673520088196, 'current_max': 0.07288676500320435, 'tested_value': 0.07288675010204315}
a_1 = 0.48109 b_1 = 0.45099
{'current_min': 0.07288675010204315, 'current_max': 0.07288676500320435, 'tested_value': 0.07288675755262375}
a_1 = 0.48109 b_1 = 0.45099
{'current_min': 0.07288675755262375, 'current_max': 0.07288676500320435, 'tested_value': 0.07288676127791405}
a_1 = 0.41501 b_1 = 0.48109
{'current_min': 0.07288675755262375, 'current_max': 0.07288676127791405, 'tested_value': 0.0728867594152689}
a_1 = 0.41501 b_1 = 0.48109
{'current_min': 0.07288675755262375, 'current_max': 0.0728867594152689, 'tested_value': 0.07288675848394632}
a_1 = 0.41501 b_1 = 0.48109
{'current_min': 0.07288675755262375, 'current_max': 0.07288675848394632, 'tested_value': 0.07288675801828504}
a_1 = 0.48109 b_1 = 0.45099
{'current_min': 0.07288675801828504, 'current_max': 0.07288675848394632, 'tested_value': 0.07288675825111568}
a_1 = 0.48109 b_1 = 0.45099
{'current_min': 0.07288675825111568, 'current_max': 0.07288675848394632, 'tested_value': 0.072886758367531}
a_1 = 0.41501 b_1 = 0.48109
{'current_min': 0.07288675825111568, 'current_max': 0.072886758367531, 'tested_value': 0.07288675830932334}
a_1 = 0.48109 b_1 = 0.45099
{'current_min': 0.07288675830932334, 'current_max': 0.072886758367531, 'tested_value': 0.07288675833842717}
a_1 = 0.48109 b_1 = 0.45099
{'current_min': 0.07288675833842717, 'current_max': 0.072886758367531, 'tested_value': 0.07288675835297909}
a_1 = 0.48109 b_1 = 0.48109
a_1 = 0.48109 b_1 = 0.48109
P1:
(0.481, 1.000): dF/dt = Piecewise((0, (t > 1) | (t < 0.481089134572278)), (0.38/t**4, t < 1))

P2:
(0.481, 1.000): dF/dt = Piecewise((0, (t > 1) | (t < 0.481089134572086)), (0.35/t**4, t < 1)); Point mass of 0.0728868 at 1.000
Validating P1
Validating. prob_mass=1.00000000000000 point_mass=0
Validating P2
Validating. prob_mass=0.927113241647021 point_mass=0.07288675835297909

This passes the consistency check of the output distributions having probability mass 1. P2 should also have a point mass at the end, since the distribution of P2 is f(x) = x^2, which has less weight at the beginning and increases sharply at the end. This puts P2 at a disadvantage and pushes his action probability towards the end. According to Restrepo’s theorem, it would be optimal to wait until the end about 7% of the time to guarantee a perfect shot. We can work on the example by hand and turn the result into a unit test.

Note that we have not verified that this example is correct by hand. We’re just looking at a few sanity checks at this point.

where it falls apart

At this point I felt pretty good, then the following example shows that my implementation is broken:

x = Symbol('x')
P = Lambda((x,), x)
Q = Lambda((x,), x**2)

duel_input = SilentDuelInput(
    player_1_action_count=2,
    player_2_action_count=2,
    player_1_action_success=P,
    player_2_action_success=Q,
)

print("Input: {}".format(duel_input))
output = optimal_strategies(duel_input)
print(output)
output.validate(err_on_fail=False)

The output shows that the resulting probability distribution does not have a total probability mass of 1. That is, it is not a distribution. Oh oh.

Input: SilentDuelInput(player_1_action_count=2, player_2_action_count=2, player_1_action_success=Lambda(_x, _x), player_2_action_success=Lambda(x, x**2))
a_1 = 0.34405 b_1 = 0.28087
Binary searching for beta
{'current_min': 0, 'current_max': 1, 'tested_value': 0.5}
a_1 = 0.29894 b_1 = 0.45541
{'current_min': 0, 'current_max': 0.5, 'tested_value': 0.25}
a_1 = 0.32078 b_1 = 0.36181
{'current_min': 0, 'current_max': 0.25, 'tested_value': 0.125}
a_1 = 0.32660 b_1 = 0.34015
{'current_min': 0, 'current_max': 0.125, 'tested_value': 0.0625}
a_1 = 0.34292 b_1 = 0.29023
{'current_min': 0.0625, 'current_max': 0.125, 'tested_value': 0.09375}
a_1 = 0.33530 b_1 = 0.30495
{'current_min': 0.09375, 'current_max': 0.125, 'tested_value': 0.109375}
a_1 = 0.32726 b_1 = 0.33741
{'current_min': 0.09375, 'current_max': 0.109375, 'tested_value': 0.1015625}
a_1 = 0.32758 b_1 = 0.33604
{'current_min': 0.09375, 'current_max': 0.1015625, 'tested_value': 0.09765625}
a_1 = 0.32774 b_1 = 0.33535
{'current_min': 0.09375, 'current_max': 0.09765625, 'tested_value': 0.095703125}
a_1 = 0.33524 b_1 = 0.30526
{'current_min': 0.095703125, 'current_max': 0.09765625, 'tested_value': 0.0966796875}
a_1 = 0.33520 b_1 = 0.30542
{'current_min': 0.0966796875, 'current_max': 0.09765625, 'tested_value': 0.09716796875}
a_1 = 0.32776 b_1 = 0.33526
{'current_min': 0.0966796875, 'current_max': 0.09716796875, 'tested_value': 0.096923828125}
a_1 = 0.32777 b_1 = 0.33522
{'current_min': 0.0966796875, 'current_max': 0.096923828125, 'tested_value': 0.0968017578125}
a_1 = 0.33520 b_1 = 0.30544
{'current_min': 0.0968017578125, 'current_max': 0.096923828125, 'tested_value': 0.09686279296875}
a_1 = 0.32777 b_1 = 0.33521
{'current_min': 0.0968017578125, 'current_max': 0.09686279296875, 'tested_value': 0.096832275390625}
a_1 = 0.32777 b_1 = 0.33521
{'current_min': 0.0968017578125, 'current_max': 0.096832275390625, 'tested_value': 0.0968170166015625}
a_1 = 0.32777 b_1 = 0.33520
{'current_min': 0.0968017578125, 'current_max': 0.0968170166015625, 'tested_value': 0.09680938720703125}
a_1 = 0.32777 b_1 = 0.33520
{'current_min': 0.0968017578125, 'current_max': 0.09680938720703125, 'tested_value': 0.09680557250976562}
a_1 = 0.32777 b_1 = 0.33520
{'current_min': 0.0968017578125, 'current_max': 0.09680557250976562, 'tested_value': 0.09680366516113281}
a_1 = 0.33520 b_1 = 0.30544
{'current_min': 0.09680366516113281, 'current_max': 0.09680557250976562, 'tested_value': 0.09680461883544922}
a_1 = 0.32777 b_1 = 0.33520
{'current_min': 0.09680366516113281, 'current_max': 0.09680461883544922, 'tested_value': 0.09680414199829102}
a_1 = 0.32777 b_1 = 0.33520
{'current_min': 0.09680366516113281, 'current_max': 0.09680414199829102, 'tested_value': 0.09680390357971191}
a_1 = 0.32777 b_1 = 0.33520
{'current_min': 0.09680366516113281, 'current_max': 0.09680390357971191, 'tested_value': 0.09680378437042236}
a_1 = 0.33520 b_1 = 0.30544
{'current_min': 0.09680378437042236, 'current_max': 0.09680390357971191, 'tested_value': 0.09680384397506714}
a_1 = 0.33520 b_1 = 0.30544
{'current_min': 0.09680384397506714, 'current_max': 0.09680390357971191, 'tested_value': 0.09680387377738953}
a_1 = 0.32777 b_1 = 0.33520
{'current_min': 0.09680384397506714, 'current_max': 0.09680387377738953, 'tested_value': 0.09680385887622833}
a_1 = 0.32777 b_1 = 0.33520
{'current_min': 0.09680384397506714, 'current_max': 0.09680385887622833, 'tested_value': 0.09680385142564774}
a_1 = 0.32777 b_1 = 0.33520
{'current_min': 0.09680384397506714, 'current_max': 0.09680385142564774, 'tested_value': 0.09680384770035744}
a_1 = 0.33520 b_1 = 0.30544
{'current_min': 0.09680384770035744, 'current_max': 0.09680385142564774, 'tested_value': 0.09680384956300259}
a_1 = 0.32777 b_1 = 0.33520
{'current_min': 0.09680384770035744, 'current_max': 0.09680384956300259, 'tested_value': 0.09680384863168001}
a_1 = 0.32777 b_1 = 0.33520
{'current_min': 0.09680384770035744, 'current_max': 0.09680384863168001, 'tested_value': 0.09680384816601872}
a_1 = 0.32777 b_1 = 0.33520
{'current_min': 0.09680384770035744, 'current_max': 0.09680384816601872, 'tested_value': 0.09680384793318808}
a_1 = 0.32777 b_1 = 0.33520
{'current_min': 0.09680384770035744, 'current_max': 0.09680384793318808, 'tested_value': 0.09680384781677276}
a_1 = 0.32777 b_1 = 0.33520
{'current_min': 0.09680384770035744, 'current_max': 0.09680384781677276, 'tested_value': 0.0968038477585651}
a_1 = 0.33520 b_1 = 0.30544
{'current_min': 0.0968038477585651, 'current_max': 0.09680384781677276, 'tested_value': 0.09680384778766893}
a_1 = 0.33520 b_1 = 0.33520
a_1 = 0.33520 b_1 = 0.33520
deque([0.33520049631043414, 0.45303439059299566, 1])
deque([0.33520049631043414, 0.4897058985296734, 1])
P1:
(0.335, 0.453): dF/dt = Piecewise((0, t < 0.335200496310434), (0.19/t**4, t < 0.453034390592996), (0, t > 0.453034390592996))
(0.453, 1.000): dF/dt = Piecewise((0, t < 0.453034390592996), (0.31/t**4, t < 0.489705898529673), (0.4/t**4, t < 1), (0, t > 1))

P2:
(0.335, 0.490): dF/dt = Piecewise((0, t < 0.335200496310434), (0.17/t**4, t < 0.453034390592996), (0.3/t**4, t < 0.489705898529673), (0, t > 0.489705898529673))
(0.490, 1.000): dF/dt = Piecewise((0, t < 0.489705898529673), (0.36/t**4, t < 1), (0, t > 1)); Point mass of 0.0968038 at 1.000
Validating P1
Validating. prob_mass=0.999999999999130 point_mass=0
Validating. prob_mass=1.24303353980824 point_mass=0   INVALID
Probability distribution does not have mass 1: (0.453, 1.000): dF/dt = Piecewise((0, t < 0.453034390592996), (0.31/t**4, t < 0.489705898529673), (0.4/t**4, t < 1), (0, t > 1))
Validating P2
Validating. prob_mass=1.10285404591706 point_mass=0   INVALID
Probability distribution does not have mass 1: (0.335, 0.490): dF/dt = Piecewise((0, t < 0.335200496310434), (0.17/t**4, t < 0.453034390592996), (0.3/t**4, t < 0.489705898529673), (0, t > 0.489705898529673))
Validating. prob_mass=0.903196152212331 point_mass=0.09680384778766893

What is fundamentally different in this example? The central thing I can say is that this is the simplest example where Player 1 has an action that has a transition time from Player 2 in the middle. It is this action:

(0.453, 1.000): dF/dt = Piecewise((0, t < 0.453034390592996), (0.31/t**4, t < 0.489705898529673), (0.4/t**4, t < 1), (0, t > 1))
...
Validating. prob_mass=1.24303353980824 point_mass=0   INVALID

This is where the discontinuity of f^* really matters. In the previous example, either there was only one action and, by design, the start times of the action ranges are equal, or the game was symmetrical, so the players had the same ends of action range.

In my first implementation, I had actually completely ignored discontinuities, and since the game was symmetric, it had no impact on the output distributions. This is what is currently in the code as “simple_f_star”. Neither player’s action transitions were within any of the other player’s action ranges, so I missed the significance of the discontinuity.

Anyway, in the three years since I first worked on this, I haven’t been able to figure out what I did wrong. I probably won’t come back to this problem for a while, and in the meantime, maybe a good reader will have the patience to solve it. You can see a log of my confusion in this GitHub issueand some of weird workarounds I tried to make it work.

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