Norm Saturation Explains Last-Iterate Convergence in Regret Matching

Regret matching is the update at the core of counterfactual regret minimization; its guarantees concern the average of all strategies played, and for regret matching the last iterate may not converge at all. Scale-invariant extragradient regret matching (IREG-PRM+) normalizes the cumulative regret vector by its own norm and attains optimal regret without knowledge of the payoff scale. Run unmodified on zero-sum matrix games, it converges linearly in the last iterate, and no analysis explains why. The obstacle is that the algorithm has no fixed step size to analyze: the step size is a state variable, the inverse of a regret norm that the trajectory itself moves. Every proved linear rate for regret-matching dynamics comes from restarting or modifying the update. We identify the mechanism as *norm saturation*: the regret norm rises to a finite limit and freezes the step size. We prove that it always does, with an explicit bound, and that saturation forces the last-iterate Nash gap to vanish on every matrix game; pointwise convergence follows whenever the equilibrium is unique. Near a unique strictly complementary equilibrium the active support freezes in one step, and the one-round Jacobian on that support has a closed form. The last-iterate then converges linearly at a closed-form rate, provided one scale-invariant quantity stays below one: the saturated step size times the largest singular value of the value-centered payoff submatrix on the support. On the $216$-instance testbed, the $184$ instances with a resolvable limit all satisfy it. The same analysis gives a ratio certificate: observable norm-increment ratios bound the unobservable Nash-gap ratio up to a constant that enters once and does not accumulate with the iteration count. Its slope-two law holds on $96.1\%$ of the instances where the slope is measurable, and the same increment monitors progress in extensive-form games, where best-response passes can be scheduled sparsely.