A method, computer system, and a computer program product for invariant risk minimization games is provided. The present invention may include defining a plurality of environment-specific classifiers corresponding to a plurality of environments. The present invention may also include constructing an ensemble classifier associated with the plurality of environment-specific classifiers. The present invention may further include initiating a game including a plurality of players corresponding to the plurality of environments. The present invention may also include calculating a nash equilibrium of the initiated game. The present invention may further include determining an ensemble predictor based on the calculated nash equilibrium. The present invention may include deploying the determined ensemble predictor associated with the calculated nash equilibrium to make predictions in a new environment.