[R] Proof of Lemma 5.1 in 'Bayesian Design Principles for Frequentist Sequential Learning'

This paper won ICML 2023 outstanding paper award, its idea is really interesting and I want to follow the details. Lemma 5.1 significantly paves towards the core theoretical results, but the paper does not provide a formal proof. I do not have a deep background on game theory, maybe the proof is obvoius to the professional.

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https://preview.redd.it/ih6u3wiyr0gb1.png?width=464&format=png&auto=webp&s=cc895b9701e3600213825c34ef3b542f53d65233

I undersand this lemma tries to construct a Nash equilibrium upon the additional assumption of strong convexity, but why this maximin solution …

bayesian core design game icml machinelearning paper