A multi-level method is proposed to solve the matrix games of a special class. The essence of the paper is the adaptation of ideas of the Fedorenko-Bakhvalov method, well known as a multi-grid method for solving elliptic differential problems, to the iterative solution of matrix games. The work was supported by the Russian Foundation for Basic Research (project no. 09–01–00625a).

Keywords: matrix games, iterative methods, direct solver, basic iterative method, procedure of restriction, procedure of prolongation, multi-level method

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