A library for solving linear games over symmetric cones
Dunshire is a CVXOPT-based library for solving linear (cone) games. The notion of a symmetric linear (cone) game was introduced by Gowda and Ravindran in On the game-theoretic value of a linear transformation relative to a self-dual cone. I’ve extended their results to asymmetric cones and two interior points in my thesis, which does not exist yet.
The main idea can be gleaned from Gowda and Ravindran, however. Additional details and our problem formulation can be found in the full Dunshire documentation. The state-of-the-art is that only symmetric games can be solved efficiently, and thus the linear games supported by Dunshire are a compromise between the two: the cones are symmetric, but the players get to choose two interior points.
Only the nonnegative orthant and the ice-cream cone are supported at the moment. The symmetric positive-semidefinite cone is coming soon.
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