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Saddle Point Search Algorithm for the Problem of Site Protection Level Assignment Based on Search of Simplices

This paper deals with a continuous zero-sum game with constraints on resources between a defender allocating resources for protection of sites and an attacker choosing sites for attack. The problem is formulated so that each player would have to solve its own linear program with a fixed solution of the other player. We show that in this case the saddle point is located on the faces of simplices defining feasible solutions. We propose an algorithm of saddle point search based on search of the simplices' faces on hyperplanes of equal dimension. Each possible face is defined using a boolean vector defining states of variables and problem constraints. The search of faces is reduced to the search of feasible boolean vectors. In order to reduce computational complexity of the search we formulate the rules for removing patently unfeasible faces. Each point of a face belonging to an (m--1)-dimensional hyperplane is defined using m points of the hyperplane. We created an algorithm for generating these points. Two systems of linear equations must be solved in order to find the saddle point if it located on the faces of simplices belonging to hyperplanes of equal dimension. We created a generic algorithm of saddle point search on the faces located on hyperplanes of equal dimension. We present an example of solving a problem and the results of computational experiments