End Game in Poker
End Game in Poker
End Game in Poker
n
1
(1 + r
j
))
1
.
If P > P
0
, then it is optimal for Player I to bet on the rst round and for Player II
to fold. The value is V = a.
If P P
0
, then
(1) the value is V = a(2P P
0
)/P
0
,
(2) Player IIs optimal strategy is at each stage k to fold w.p. r
k
, and
(3) Player Is optimal strategy is to bet with a winning card; with a losing card, to bet
on the rst stage w.p. p
1
=
P
1 P
1 P
0
P
0
, and if stage k > 1 is reached, to bet w.p.
p
k
=
n
k
(1 +r
j
) 1
n
k1
(1 + r
j
) 1
.
We notice some remarkable features of this solution in the all-strategies-active case,
P (
n
1
(1 +r
j
))
1
. First note that r
k
is just the amount bet at stage k divided by the
new pot size. This means that Player IIs optimal strategy is just the repeated application
of Player IIs optimal strategy for Basic Endgame. In addition, Player Is optimal strategy
depends on P only at the rst stage; thereafter his behavior is independent of P. After
the rst stage, he will bet with the same probabilities if P is very small, say P = .001, as
he would if P = .1. This means that his main decision to blu is taken at the rst stage;
thereafter all blus are carried through identically.
Derivation. If I receives a winning card, it is clear he should never pass. We assume
the rules of the game require him to bet in this situation.
Player I has n +1 pure strategies, i = 0, 1, . . . , n, where i represents the strategy that
blus exactly i times. Similarly, there are n+1 pure strategies for Player II, j = 0, 1, . . . , n,
where j represents the strategy that calls exactly j times. Let A
ij
denote the expected
payo to I if I uses i and II uses j. Let
s
j
:= a + b
1
+ + b
j
9
denote half the size of the pot after round j; in particular, s
0
= a. Then
A
ij
=
_
Ps
j
(1 P)s
i
for 0 i j n
s
j
for 0 j < i n.
(1)
Let (
0
,
1
, . . . ,
n
) denote the mixed strategy for Player II in which
j
is the proba-
bility that II calls exactly j times. If II uses this strategy and Player I uses i, the average
payo is
V
i
:=
n
j=0
A
ij
j
=
i1
j=0
s
j
j
+ P
n
j=i
s
j
j
(1 P)s
i
n
j=i
j
= P
n
j=0
s
j
j
+(1 P)
i1
j=0
s
j
j
(1 P)s
i
n
j=i
j
.
(2)
We search for a strategy (
0
,
1
, . . . ,
n
) to make V
i
independent of i. Such a strategy
would guarantee that Player IIs average loss would be no more than the common value of
the V
i
. We look at the dierences
V
k
V
k1
= (1 P)[(s
k
+ s
k1
)
k1
(s
k
s
k1
)
n
j=k1
j
] (3)
This is zero for k = 1, . . . , n if
k1
n
j=k1
j
=
s
k
s
k1
s
k
+ s
k1
= r
k
(4)
This denes the
k
. In fact, the left side represents the probability II folds in round k
given that it has been reached, and so is the behavioral strategy for II in round k. The
equalizing value of the game may be found as follows.
V
0
= P
n
j=0
s
j
j
(1 P)s
0
V
n
=
n1
j=0
s
j
j
+ Ps
n
n
(1 P)s
n
n
=
n
j=0
s
j
j
2(1 P)s
n
n
(5)
From V
0
= V
n
, we see that
n
j=0
s
j
j
= 2s
n
n
s
0
. This gives the value as V
0
=
2Ps
n
n
s
0
. Finally, repeatedly using (4) in the form 1 r
k
=
n
k
j
/
n
k1
j
, we nd
that
n
i=1
(1 r
i
) =
n
. Hence the value is
V
0
= 2Ps
n
n
i=1
(1 r
i
) s
0
.
10
Noting that 1 r
k
= 2s
k1
/(s
k
+ s
k1
) and 1 + r
k
= 2s
k
/(s
k
+ s
k1
), we nd that
s
n
n
1
(1 r
k
) = s
0
n
1
(1 + r
k
). This, with s
0
= a, gives an alternate form of V
0
, namely
V
0
= a
_
2P
n
1
(1 + r
k
) 1
_
= a
_
2
P
P
0
1
_
. (6)
Player II can keep the value of the game to be at most V
0
. But Player II can also keep
the value to be at most a by folding always. We shall now see by examining Player Is
strategies that the value of the game is the minimum of (6) and a.
Let (
0
,
1
, . . . ,
n
) denote a mixed strategy of Player I, where
i
is the probability
of making exactly i bets. If Player I uses this strategy and Player II uses column j, the
average payo is for 0 j n,
W
j
:=
n
i=0
i
A
ij
=
j
i=0
i
(Ps
j
(1 P)s
i
) +
n
i=j+1
i
s
j
= Ps
j
+ (1 P)s
j
n
i=j+1
i
(1 P)
j
i=0
s
i
i
.
(7)
Equating W
j
and W
j1
leads to the following simultaneous equations for 1 j n,
P(s
j
s
j1
) +(1 P)(s
j
s
j1
)
n
i=j+1
i
(1 P)(s
j
+ s
j1
)
j
= 0 (8)
Solving for
j
yields the equations,
j
=
P
1 P
r
j
+ r
j
n
i=j+1
i
. (9)
which denes
n
, . . . ,
1
by backward induction. We nd
n
= (P/(1 P))r
n
, and
n
i=j+1
i
=
P
1 P
_
_
n
i=j+1
(1 +r
i
) 1
_
_
, (10)
so that Player Is behavioral strategy at stages 2 j n is
p
j
=
n
j
i
n
j1
i
=
n
j
(1 + r
i
) 1
n
j1
(1 +r
i
) 1
. (11)
The behavioral strategy at the rst stage is
p
1
= 1
0
=
n
i
=
P
1 P
_
n
1
(1 + r
i
) 1
_
. (12)
11
Assuming the resulting p
1
1, we can evaluate the common value of the W
j
using
W
0
= Ps
0
+ (1 P)s
0
n
i=1
i
(1 P)s
0
0
= 2Ps
0
n
1
(1 + r
i
) s
0
= V
0
. (13)
Therefore, W
0
= V
0
is the value of the game provided p
1
1, or equivalently, provided
P
n
1
(1 + r
i
) 1.
Finally it is easily checked that p
1
1 if and only if V
0
is not greater than s
0
.
Choosing the sizes of the bets.
Suppose that the initial size of the pot, 2b
0
= 2s
0
, is xed, and that the total amount
to be bet, b
1
+ + b
n
= s
n
s
0
, is xed, where n is the number of rounds of betting.
This situation occurs in no-limit, table stakes games, where s
n
s
0
is the minimum of
the stakes that Player I and Player II have in front of them when betting begins. In the
last round, Player I should certainly bet the maximum amount possible. The problem for
Player I is to decide how much of the total stakes to wager on each intervening round.
This is equivalent to nding the choices of s
1
, s
2
, . . . , s
n1
that maximize the value, V
0
, of
(6) subject to the constraints,
s
0
s
1
s
2
s
n
. (14)
Maximizing V
0
is equivalent to maximizing
n
i=1
(1 + r
i
) =
n
i=1
2s
i
s
i
+ s
i1
. (15)
As a function of s
i
for xed s
1
, . . . , s
i1
, s
i+1
, . . . , s
n1
, this proportional to
s
i
(s
i
+ s
i1
)(s
i+1
+ s
i
)
(16)
This is unimodal in s
i
on (0, ) with a maximum at (s
i
+ s
i1
)(s
i+1
+ s
i
) = s
i
[s
i+1
+
2s
i
+ s
i1
], or equivalently, at
s
i
=
s
i1
s
i+1
(17)
Note that s
i
is the geometric mean of s
i1
and s
i+1
so that s
i
is between s
i1
and s
i+1
.
Thus, the global maximum of (15) subject to (14) occurs when (17) is satised for all i =
1, 2, . . . , n1. Inductively using (17) from i = 1 to n1, we can nd s
i
in terms of s
0
and
s
i+1
to be s
i
= s
1/(i+1)
0
s
i/(i+1)
i+1
for i = 1, . . . , n. For i = n 1, this is s
n1
= s
1/n
0
s
(n1)/n
n
.
We may now work back to nd
s
i
= s
(ni)/n
0
s
i/n
n
= s
0
(s
n
/s
0
)
i/n
for i = 1, . . . , n 1. (18)
12
From this we may nd the folding probabilities for Player II.
r
i
=
s
1/n
n
s
1/n
0
s
1/n
n
+ s
1/n
0
for i = 1, . . . , n 1. (19)
Note that this is independent of i. Since this is the ratio of bet size to the size of the new
pot, one sees that the optimal bet size must be a xed proportion of the size of the pot!
This proportion is easily computed to be
r
1 r
=
(s
n
/s
0
)
1/n
1
2
, (20)
where r denotes the common value of the r
i
of (19). Note that this is independent of P!
Therefore it is optimal for Player I to bet this proportion of the pot at each stage.
Let us compute Player Is optimal blung probabilities. At the initial stage, I should
bet (with a losing card) w.p.
p
1
=
P
1 P
[(r + 1)
n
1], (21)
If p
1
> 1, then Player I should bet w.p. 1, and Player II should fold. In terms of P, this
inequality becomes P (r +1)
n
, so if P (r +1)
n
, Player I should blu initially w.p.
p
1
and subsequently, if stage j +1 is reached, he should blu w.p.
p
j+1
=
(1 + r)
nj
1
(r + 1)
nj+1
1
. (22)
The value of the game when the optimal bet sizes are used is
V
0
= a
_
P2
n+1
s
n
(s
1/n
n
+ s
1/n
0
)
n
1
_
(23)
Example.
Suppose there are $20 in the pot, so s
0
= 10, and suppose there are going to be three
rounds of betting, so n = 3. If one player has $260 in front of him and the other has $330,
then since s
3
s
0
is the minimum of these two quantities, we have s
3
= 260 + 10 = 270.
Then s
3
/s
0
= 27 and 27
1/3
= 3, so from (18), s
i
= 10 3
i
, so s
1
= 30 and s
2
= 90.
Therefore, Player I should bet s
1
s
0
= $20 on the rst round. If II calls I should bet
$60= s
2
s
1
on the second round. In this example, I bets the size of the pot at each
round (including the third round), the same amount as in pot limit poker. To be in the
all-strategies-active case, we require P < 8/27. If this is satised, Player II calls each bet
of Player I w.p. r = 1/2; this agrees with (19). To nd Player Is blung probabilities,
13
we must specify P. If P = 1/4 for example, then p
1
= (1/3)[(3/2)
3
1] = 19/24. The
subsequent betting probabilities (22) are
p
2
=
(3/2)
2
1
(3/2)
3
1
= 10/19 and p
3
=
(3/2) 1
(3/2)
2
1
= 2/5.
Note that these probabilities are decreasing in the later rounds.
The proportion of the pot Player I bets on each round depends on the amount of the
minimum table stakes. If this was $70 instead of $260, then the optimal bet would be half
the size of the pot at each stage.
4. Basic Endgame With a Continuum Number of Rounds.
We see that Player I gets a denite advantage if he is allowed to split his betting
over two rounds rather than betting the entire amount in one round. To see what sort of
advantage I gets from a large number of rounds, we model the game as having a continuum
number of rounds. We suppose that both players ante 1 unit each into the pot, and that
the total amount to be bet is B, with an innitesimal bet of dt being placed at time t for
0 < t < B. Before play begins, Player I receives a winning card w.p. P and a losing card
w.p. 1 P. If I has a winning card, he bets continuously throughout the whole interval
[0, B]. If he has a losing card, he chooses a time x [0, B] at which to stop betting. If
x = 0, he passes initially, and if x = B he bets throughout the whole interval. Player
II chooses a time y [0, B] at which to stop calling. For xed choices of x and y, the
expected payo is
W(x, y) =
_
1 + y if 0 y < x B
P(1 + y) (1 P)(1 + x) if 0 x y B.
(1)
Thus if II stops calling before I stops betting, I wins the ante plus the total amount bet,
namely 1 + y. If I stops betting (with a losing card) before II stops calling, I wins 1 + y
if he has the winning card and loses 1 + x if he has the losing card. We assume that x
represents the last time Player I bets and y represents the last time player 2 calls, so that
if x = y, the payo is P(1 + y) (1 P)(1 + x).
Let us analyze this game assuming the general principle that at all stages Player II
will fold w.p. equal to the amount bet divided by the present pot size, which at time y is
dy/(2 + 2y + dy) dy/(2 + 2y). We will see that this strategy makes I indierent. If we
let Y denote the random time at which Player II folds, then the general principle above
implies that P{Y = y|Y y} = dy/(2 + 2y). The quantity on the left is known as the
failure rate of the distribution of Y . It is equal to G
1 + y
for 0 < y < B. (2)
14
Since G(B) = 1, we see that G gives probability P
0
:= 1/
1 + B
[P(1 + B) (1 P)(1 +x)]
= (
1 + x 1) +P(
1 + B
1 +x)
(1 P)(1 +x)
_
1
1 +x
1 + B
_
+
1
1 + B
[P(1 + B) (1 P)(1 +x)]
= 2P
1 +B 1 = 2
P
P
0
1
(3)
independent of x. Since Player II can always keep her losses to be at most 1 by folding
immediately, we suspect that the value of the game is the minimum of these, namely
V =
_
2(P/P
0
) 1 if P P
0
1 if P P
0
(4)
To show that this is in fact the value, we consider a similar strategy for Player I. Let
F(x) denote the distribution function of random time at which Player I stops betting with
a losing card, and take F to have a mass
0
at x = 0, zero probability on the interval
(z, B], for some z B, and a positive density on the interval (0, z) of the following form:
F(x) =
0
+ c(1
1
1 + x
) for 0 x z, (5)
where the parameters
0
0, c > 0 and z > 0 are restricted so that F(z) = 1. For xed y
with 0 y z, the expectation of W(X, y) is
_
W(x, y) dF(x) = (1 + y)(1 (1 P)(
0
+ c)) + (1 P)(c
0
) (6)
and for z y B, we have
_
W(x, y) dF(x) = P(1 + y) (1 P)(
0
+ c(
1 + z 1)). (7)
Since (7) is increasing in y, Player II will never choose a y larger than z. Expression (6) is
a constant in y [0, z] provided (1 P)(
0
+ c) = 1 so Player I can keep the value of the
game to at least (1P)(c
0
). So I chooses
0
= (1/(1P))c and proceeds to choose c
and z to make c as large as possible, subject to the condition that F, which is now F(x) =
15
(1/(1 P)) (c/
1 + B 1,
we may choose z = B and c = (P/(1 P))
1 + B, since
0
= (1 P
1 + B)/(1 P)
is still nonnegative. In this case the value is (1 P)(c
0
) = 2P
1 + B 1, the same
as found in (4). But if P
1 + B 1, we must choose
0
= 0 and c = 1/(1 P), when
z = (1/P
2
) 1. In this case the value is (1 P)(c
0
) = 1, also found in (4).
Summary of the Solution. Let P
0
= 1/
B + 1.
If P P
0
, then the value is 2(P/P
0
) 1. Player I has an optimal strategy,
F(x) =
1
1 P
P
1 P
1 + B
1 + x
for 0 x B,
with mass (1 P
1 + y
for 0 y B,
with mass P
0
at y = B.
If P P
0
, then the value is 1. Player I has an optimal strategy,
F(x) =
1
1 P
_
1
1
1 +x
_
for 0 x
1
P
2
1.
Player II has an optimal strategy that gives mass 1 to the point y = 0 (i.e. fold immedi-
ately).
It may be noted that when P
(y) =
_
_
_
0 if f
W
(y) < kf
L
(y)
if f
W
(y) = kf
L
(y)
1 if f
W
(y) > kf
L
(y)
(2)
is a best test of size when k 0 and are chosen so that E
L
(Y ) = . In addition,
corresponding to k = , the test
0
(y) =
_
1 if f
L
(y) = 0
0 if f
L
(y) > 0
(3)
is a best test of size = 0. Player II may restrict attention to the tests
for 0 1.
17
Player IIs optimal strategy is to choose so that the maximum of V (blu ,
) and
V (honest ,
)V (honest ,
) =
(1 P)((2a + b) b). This is linear increasing in with a unique root,
0
= b/(2a + b) (4)
in (0, 1). Moreover, E
W
) at =
0
.
Case 1: s
r
> 0. In this case,
0
is optimal for Player II. It is interesting to note that
this strategy does not depend on P. If s
l
denotes the left slope of V (honest ,
), then
s
l
0 and an optimal strategy for Player I is to mix blu and honest in the proportions
|s
l
| and s
r
.
Case 2: s
r
0. In this case, it is optimal for Player I to blu all the time. If
1
denotes
the value of that minimizes V (blu ,
), then
1
>
0
and
1
is an optimal strategy
for Player II. In this case, the optimal strategy for II may be taken to be nonrandomized.
As noted in Ferguson (1967), a sucient condition for s
r
to be positive is that P < 1/2.
This may be seen as follows. Let g() = E
W
(Y ). Using E
L
(Y ) = in (1), we have
V (blu ,
(
0
)+(1P)(2a+b) = P(2a+b)[(1P)/P
0
g
(
0
).
But since g is concave and g(0) 0, we have g
(
0
) g(
0
)/
0
. Therefore, if P < 1/2,
we have s
r
> 0.
It is interesting to compare this solution with that of Basic Endgame. In the latter, the
cuto between Case 1 and Case 2 is P = (2a +b)/(2a +2b), and while the cuto between
Case 1 and Case 2 in the above solution may be greater or less than this, it is always at least
1/2. In Case 1 of Basic Endgame, Player II always folds with probability
0
= b/(2a +b),
while in the above solution, II folds w.p.
0
when Player I has L (i.e. E
L
0
(Y ) =
0
),
and w.p. E
W
0
(Y ) >
0
when Player I has W. In other words, Player I can detect that
Player II is using his information only by noting that II is calling Is winning hands less
often.
Although Player Is strategy depends on P, one feature of this strategy is independent
of P, namely the probability that he has L given that he has bet in Case 1. Using
s
r
= Pbg
(
0
) +(1 P)(2a +b) and s
l
= Pbg
(
0
), we nd the probability that I bets
with a L is |s
l
|/(s
r
+ |s
l
|) = Pbg
(
0
)/((1 P)(2a + b)) = P
0
g
(
0
)/(1 P). Thus we
have P(I has L|I bets) =
0
g
(
0
)/(1 +
0
g
(
0
)), independent of P.
The Binary Case.
As a simple illustration of the computations involved, we consider the case where
the observation Y takes only two values, say 0 and 1, and f
L
(1) = p
L
, f
L
(0) = 1 p
L
,
f
W
(1) = p
W
and f
W
(0) = 1 p
W
. If p
L
= p
W
, then the observation of Y gives no
information about the card Player I has, and the problem reduces to Basic Endgame.
Otherwise, we may assume without loss of generality that p
W
> p
L
. Then Player II
18
prefers to see Y = 0 since then it is less likely Player I has W. We refer to Y = 0 as good
hands of Player II, and Y = 1 as poor hands.
First we nd the best test of size . For 0 < p
L
, we must set k = p
W
/p
L
and we
have
(y) =
_
0 if y = 0
if y = 1
(5)
where for E
L
(Y ) = p
L
to be equal to , we require = /p
L
. This is the strategy:
Call with a good hand. With a poor hand, fold w.p. = /p
L
and call w.p. 1 .
For p
L
< 1, we must set k = (1 p
W
)/(1 p
L
) and we have
(y) =
_
if y = 0
1 if y = 1
(6)
where for E
L
(Y ) = p
L
+ (1 p
L
) to be equal to , we require = ( p
L
)/(1 p
L
).
This is the strategy: Fold with a poor hand. With a good hand, fold with probability
= ( p
L
)/(1 p
L
) and call w.p. 1 .
For = p
L
, we may put k = 1 and nd
(y) =
_
0 if y = 0
1 if y = 1.
(7)
This is the strategy: Call with a good hand. Fold with a poor hand.
To implement the above solution, we need s
r
, the right slope of V (blu ,
), and s
l
,
the left slope of V (honest ,
). We rst nd
E
W
(Y ) =
_
p
W
/p
L
for 0 p
L
p
W
+ ( p
L
)(1 p
W
)/(1 p
L
) for p
L
< 1.
(8)
From this we may nd
s
r
() =
_
Pbp
W
/p
L
+ (1 P)(2a +b) for 0 < p
L
Pb(1 p
W
)/(1 p
L
) + (1 P)(2a + b) for p
L
< 1.
(9)
and
s
l
() =
_
bPp
W
/p
L
for 0 < p
L
bP(1 p
W
)/(1 p
L
) for p
L
< 1.
(10)
We may state the solution as follows. Let
0
=
b
2a + b
0
=
p
L
p
W
1 P
P
1
=
1 p
L
1 p
W
1 P
P
and note that
0
<
1
since we are assuming p
L
< p
W
.
19
1. If
0
1
, then
it is optimal for I to blu, and
it is optimal for II to fold.
The value is a.
2. If
0
<
1
and
0
p
L
, then
it is optimal for I to blu w.p.
0
/
1
, and
it is optimal for II to fold with a poor hand and
to fold w.p. (
0
p
L
)/(1 p
L
) with a good hand.
The value is a[1 2(1 P)(1 (
0
/
1
))].
3. If
0
0
<
1
and
0
< p
L
, then
it is optimal for I to blu, and
it is optimal for II to fold with a poor hand and
to call with a good hand.
The value is (2P 1)(a + b) p
L
(1 P)b((
0
/
0
) 1)(2a +b).
4. If
0
<
0
and
0
< p
L
, then
it is optimal for I to blu w.p.
0
/
0
, and
it is optimal for II to call with a good hand and
to fold w.p.
0
/p
L
with a poor hand.
The value is (2P 1)(a + b) +b(1 P)(1 (
0
/
0
)).
Case 1
Case 2 Case 4
Case 3
0 1
0
1
P
p
L
0
Figure 3.
Figure 3 shows the regions of (
0
, P) for the four cases when p
L
= .35 and p
W
= .85.
The mixed strategy cases (Case 2 and Case 4) may be derived from the solution to
Basic Endgame as follows. Player I will be indierent between betting and folding with an L
if Player II folds with overall probability
0
. So II should choose her strategy in such a way
that her overall probability of folding is
0
. In Case 4 if I has an L, II folds w.p. p
L
(
0
/p
L
)
which is
0
. Also in Case 2 if I has an L, II folds w.p. p
L
+ (1 p
L
)(
0
p
L
)/(1 p
L
)
which is also
0
.
Similarly for Player I. In Case 4, he should play to keep II indierent if she has
a poor hand, while in Case 2 he should play to keep her indierent if she has a good
hand. If Player II has a poor hand, she evaluates the probability that I has a W as
20
P
1
= Pp
W
/(Pp
W
+ (1 P)p
L
) = 1/(1 +
0
), so I should replace P in his strategy for
Basic Endgame with P
1
. This is in fact what he does since
0
P
1
/(1 P
1
) =
0
/
0
.
If Player II has a good hand, she evaluates the probability that I has a W as P
1
=
P(1 p
W
) +(1 P)(1 p
L
), so I should blu w.p.
0
P
0
/(1 P
0
) =
0
/
1
, which is what
he does.
Examples.
Example 1. Consider the introductory example of the last round of stud poker with Player
I having a 5, 6, 7 and 8, not suited, showing and Player II having 2, 3, K and K showing.
For the purposes of this example we shall take the probabilities, P, p
L
, and p
W
, to be those
assuming that the down card was dealt last. Since there are exactly 8 cards out of the
remaining 44 cards that can give Player I a straight, we have P = 8/44 = 2/11. Similarly,
p
L
= 35/43 and p
W
= 36/43. Then we may compute
0
= (35/36) (9/2) = 35/8, and
1
= (8/7) (9/2) = 36/7. Suppose we are playing pot limit poker so that b = 2a and
0
= 1/2. Then
0
<
0
and
0
< p
L
so we are in Case 4. If he doesnt have the straight,
Player I should blu w.p.
0
/
0
= 4/35. With a good card (4 or 9), Player II should call.
With a poor card, she should fold w.p.
0
/p
L
= 43/70.
Example 2. An interesting feature of this game is that, unlike Basic Endgame, it may be
optimal to bet less than the maximum allowable bet. One can guess that this will occur in
situations where Player II can sometimes, though rarely, get sure information that Player
I has a losing card. I can gain by blung reasonably often, but with a high enough bet
size this cannot be optimal because Player II will call only when she knows she will win.
Here is an example.
Suppose P = 1/2, p
W
= 1 and p
L
= 1 for some small > 0. This means that
Player II will occasionally (probability ) get accurate information that Player I has a
losing card. Then
1
= so case 1 does not occur. Moreover
0
= p
L
so Case 3 does not
occur. If
0
p
L
(Case 2), then I does not blu and the value is 0. If
0
< p
L
(Case 4),
then I blus w.p.
0
/p
L
, and II calls with a good hand and folds w.p.
0
/p
L
with a poor
hand. The value is (b/2)(1 (
0
/p
L
)) = b(p
L
(b/(2a +b))/(2p
L
). This is positive for
0
in the interval [0, p
L
], and has a maximum at b = 2a((1/
(y) =
_
1 if y
0 if y > .
Then g() = E
)
at =
0
= b/(2a + b), so
0
is optimal for Player II. The value may be computed
as V (honest ,
0
) = (2P 1)a + 4a
2
Pb/(2a + b)
2
. As a function of b, the value has a
maximum at b = 2a, again pot limit poker.
21
6. Endgame with Imprecise Information for Player I.
We consider the generalization of basic endgame achieved by allowing the card received
by Player I to indicate only his probability of winning. This models situations in which
there are still cards to be drawn, which with some probability may change a winning hand
into a losing one. We model this by denoting the card Player I receives by the probability of
win. Thus, if he receives a card marked p, then p is his probability of win. The distribution
of p on [0, 1] is arbitrary however, and may be discrete or continuous. The distribution
function of p is denoted by F. In Basic Endgame, p is either 0 or 1, and the probability
that p = 1 is P. It is assumed that both players know F but only Player I learns the value
of p. Other than this, the form of the game with one possible bet and then a call or fold
is the same as it was in Basic Endgame.
Player II has the same two pure strategies of fold or call. But now Player I may use
a distinct strategy for each card he receives. A mixed strategy for Player I is a function,
(p), that denotes the probability that Player I bets when he observes that his probability
of win is p. We have 0 (p) 1 for all p. The expected payo to Player I if he uses
and II uses one of her pure strategies is
V (, fold) = E[(p)a (1 (p))a(2p 1)] = 2aE(1 p)(p) + a(2 1)
V (, call ) = E[(p)(2p 1)(a + b) +(1 (p))a(2p 1)]
= bE(p) 2bE(1 p)(p) + a(2 1)
where = Ep denotes the overall probability that I wins. Out of the class of (with
0 (p) 1) such that E(1p)(p) is held xed, I will choose to maximize E(p), since
that will maximize V (, call ) with V (, fold) held xed. This is equivalent to maximizing
Ep(p) out of the class of such that E(p) is held xed equal to some number . By the
Neyman-Pearson Lemma, we may nd such a of the form
(p) =
_
1 if p > k
if p = k
0 if p < k
where k and are chosen so that E(p) = . Player I may restrict his choice of strategy to
the class of
. This shows that Player I will bet with cards having a high value of p and
check with cards having a low value of p. Any randomization will occur only for those p on
the boundary between betting and checking. If the distribution function F is continuous,
Player I will have an optimal pure strategy. Note that both V (, fold) and V (, call ) are
increased by putting (p) = 1 for p 1/2. Therefore in the model, Player I should always
bet if his probability of win is at least 1/2.
Let g() = Ep
, call )
is concave and increasing in as long as k > 1/2 and nonincreasing thereafter. Moreover,
these functions are equal at = 0 and there is at most one other value of in (0, 1] at
which they are equal.
22
From these observations, we may write down the solution of the game. The form of
the optimal strategies diers in three dierent regions of the space of parameters.
Case 1. (2a +b)/(2a + 2b). In this case, V (
, fold) V (
0
(p)/
0
. Note that
V (
0
is the indicator of the set
{p 1/2}. Also note that
0
.
Case 2.
0
= 0, or
0
> 0 and
0
(2a + b)/(2a + 2b). In this case, V (
0
, call )
V (
0
, fold), so that the maximum of the minimum of these two functions occurs at
0
.
Therefore, calling is optimal for II, and
0
is optimal for I. If
0
= 0, then V (
, call ) is
decreasing in , so that checking always is optimal for I. Otherwise, the strategy that bets
if and only if p 1/2 is optimal for I. The value is
0
(2b
0
1) + a(2 1).
The last case is the main case, requiring mixed strategies for Player II. The minimax
value of occurs at the point of intersection of V (
, fold) and V (
, call ), call it
1
.
Then
1
satises the equation g(
1
)/
1
= (2a + b)/(2a + 2b).
Case 3. < (2a + b)/(2a + 2b) <
0
. In this case, the maximin occurs at
1
. Therefore,
mixing fold and call in the proportions b 2bg
(
1
) : 2a 2ag
(
1
) is optimal for II, and
1
is optimal for I. (Here g
23
and the payo functions. The strategies
(p) =
_
/ if p = p
H
0 if p = p
L
For ,
(p) =
_
1 if p = p
H
( )/(1 ) if p = p
L
From this we may nd g() = Ep
(p).
g() =
_
p
H
for
p
H
+( )p
L
for
and from this we may nd the expected payos.
V (
1
=
p
H
p
L
Q
0
p
L
.
Is optimal strategy is
1
. This strategy calls for betting with a high card and randomizing
with a low card, betting w.p. (
1
)/(1) and checking otherwise. The optimal strategy
for Player II is to mix calling and folding in proportions |s
c
| : s
f
, where s
c
and s
f
are the
slopes at
1
of the payo functions for calling and folding. Since s
1
= 2a(1 p
L
) and
s
2
= b(2p
L
1), we have that II should call with probability
b(1 2p
l
)
(2a +b) (2a + 2b)p
l
=
1 Q
0
Q
0
1 2p
L
1 p
L
and fold otherwise. The value is
2a(
1
g(
1
)) +a(2 1) = 2a
(p
H
p
L
)(1 Q
0
)
Q
0
p
L
+a(2 1).
It is interesting to note that IIs optimal strategy in Case 3 (the general case) does
not depend on or p
H
. Player IIs strategy depends only on Q
0
and p
L
. It should also be
noted that in all cases Player Is optimal strategy does not randomize with a high card.
24
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26