Penetration testing is the practice of performing a simulated attack on a computer system in order to reveal its vulnerabilities. The most common approach is to gain information and then plan and execute the attack manually, by a security expert. This manual method cannot meet the speed and frequency required for efficient, large-scale secu- rity solutions development. To address this, we formalize penetration testing as a security game between an attacker who tries to compro- mise a network and a defending adversary actively protecting it. We compare multiple algorithms for finding the attacker’s strategy, from fixed-strategy to Reinforcement Learning, namely Q-Learning (QL), Extended Classifier Systems (XCS) and Deep Q-Networks (DQN). The attacker’s strength is measured in terms of speed and stealthi- ness, in the specific environment used in our simulations. The results show that QL surpasses human performance, XCS yields worse than human performance but is more stable, and the slow convergence of DQN keeps it from achieving exceptional performance, in addition, we find that all of these Machine Learning approaches outperform fixed-strategy attackers.