git clone https://gitweb.michael.orlitzky.com/dunshire.git
Dunshire is a CVXOPT-based library for solving linear (cone) games. The notion of a symmetric linear (cone) game was introduced by Gowda and Ravindran in On the game-theoretic value of a linear transformation relative to a self-dual cone. I extended their results to asymmetric cones and two interior points in my dissertation.
The main idea can be gleaned from Gowda and Ravindran, however. Additional details and our problem formulation can be found in the full Dunshire documentation. The state-of-the-art is that only symmetric games can be solved efficiently, and thus the linear games supported by Dunshire are a compromise between the two: the cones are symmetric, but the players get to choose two interior points.
Only the nonnegative orthant and the ice-cream cone are supported at the moment. The symmetric positive-semidefinite cone is coming soon.
For a better introduction, and maybe even how to use it, try the official documentation. It's available as HTML (online) or as a PDF.
I gave a presentation on Dunshire, too.
On Gentoo:
user $ emerge dunshire
Locally with pip (be sure to replace $version with the latest release version; you can find it at the top of this page):
user $ pip install https://michael.orlitzky.com/code/releases/dunshire-$version.tar.gz
Email them to me at michael@orlitzky.com.