On the equivalence of semidefinite programming and zero-sum semidefinite games

Abstract

By results of Dantzig (1951) and Adler (2013), computing the optimal solutions of a linear program is equivalent to finding optimal strategies in zero-sum bimatrix games. Dantzig's original result was incomplete, in the sense that the reduction of a linear program to a zero-sum game did not work for all possible linear programs. We show that, under a natural constraint qualification requiring either the existence of strongly optimal primal-dual solutions or of a strictly unbounded direction, computing the solution of a semidefinite program is equivalent to finding optimal strategies in an associated zero-sum semidefinite game. Our work builds upon Ickstadt, Theobald, and Tsigaridas (2024), where, similar to Dantzig's work, the proposed reduction cannot handle a certain subclass of semidefinite programs. Our main proof ingredients for the equivalence result include: (i) a semidefinite generalization of von Stengel's (2023) extension of Dantzig's construction; (ii) techniques for handling more general duality phenomena in the semidefinite setting; and (iii) an explicit bound for the (coordinates) of the solutions of a semidefinite program. As a by-product, the game value provides a certificate: it is zero if and only if strongly optimal solutions exist, and otherwise optimal strategies yield an infeasibility certificate for the primal or dual program.

24 pages