  We describe an algorithm for computing best response strategies in a class of
two-player infinite games of incomplete information, defined by payoffs
piecewise linear in agents' types and actions, conditional on linear
comparisons of agents' actions. We show that this class includes many
well-known games including a variety of auctions and a novel allocation game.
In some cases, the best-response algorithm can be iterated to compute
Bayes-Nash equilibria. We demonstrate the efficiency of our approach on
existing and new games.
