Early on June 29, 1942, the 8,032-ton British steam tanker HMS Empire Mica cruised east through calm waters toward Key West, Florida, where it planned to join a convoy bound for the United Kingdom.

It was the most expensive war game in US military history, and the outcome was a disaster. Conducted in 2002 and costing roughly $250 million to plan over two years, the so-called Millennium Challenge ...