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Fictitious play (FP) is one of the earliest and most fundamental learning procedures in games, where each agent independently chooses a best response to the empirical distribution of opponents' past actions by maximizing the expected payoff with respect to it. However, learning agents may not always be expected-utility maximizers: they may use nonlinear evaluation functionals to account for the uncertainty induced by the opponents, e.g., via risk measures. In this work, we study nonlinear fictitious play (NL-FP), in which each pure action is evaluated by a general, possibly nonlinear functional of the payoff distribution induced by the opponent's empirical belief. To analyze NL-FP, we first identify a single-crossing property (SCP) of evaluation functionals that preserves the classical geometry of FP in $2\times2$ games. Furthermore, we conduct a novel geometric analysis of the convergence behavior of NL-FP in $2\times2$ games, even when the SCP fails. Beyond $2\times2$ games, we show that the convergence of NL-FP in $2\times n$ ($n\ge3$) games may fail even for continuous-time NL-FP, when the two-action player uses conditional value-at-risk (CVaR) in a $2\times3$ game. In addition, we identify a finite-crossing condition that ensures convergence of the selected continuous-time dynamics and the discrete-time iterates in general $2\times n$ games, which also provides new insights into the global landscape of continuous-time classical FP in such games.

This tutorial provides an accessible and implementation-oriented introduction to Gaussian process learning-based model predictive control (GP-MPC), which combines probabilistic residual modeling with receding-horizon control. Its central tutorial contribution is a detailed, step-by-step derivation of multi-step mean and covariance propagation for GP-augmented prediction models. The derivation shows how commonly used propagation formulas follow from the laws of total expectation and total covariance, and clarifies the roles of the GP posterior mean, GP posterior covariance, uncertain inputs, and query-output cross-covariances. Building on this foundation, the article distinguishes mean-only unconstrained GP predictive control from uncertainty-aware constrained GP-MPC, clarifies regulation and output-tracking formulations, and provides concise implementation and computational-complexity guidance, including practical software-tool references and discussion of the scope of closed-loop guarantees. Mobile-robot path-following examples illustrate mean-only unconstrained implementations, whereas mixed-vehicle platooning illustrates uncertainty-aware constrained GP-MPC with uncertainty-dependent safety-distance tightening. The tutorial is intended to help researchers and practitioners understand, implement, and critically evaluate GP-MPC designs for robotic and autonomous systems operating under modeling uncertainty.