Choice of mixed strategy in matrix game with nature by Hurwitz criterion

Abstract

The article solves the problem of choosing an optimal, by the Hurwitz criterion, mixed strategy for arbitrary matrix game against nature. We reduce the problem to solving $n$ linear programming problems (where $n$ is the number of scenarios). As far as we know, this is a new result. It can be used to make decisions in uncertain environments, if the game situation is repeated many times, or physical mixture of pure strategies is realizable.