Focusing on the coverage optimization of small cell networks (SCN), this chapter starts with a detailed analysis on various coverage problems, based on which the coverage optimization problem is formulated. Then centralized and distributed coverage optimization methods based on game theory are described. Firstly, considering the coverage optimization with a control center, a modified particle swarm optimization (MPSO) is presented for the self-optimization of SCN, which employs a heuristic power control scheme to search for the global optimum solution. Secondly, distributed optimization using game theory (DGT) without a control center is concerned. Considering both throughput and interference, a utility function is formulated. Then a power control scheme is proposed to find the Nash Equilibrium (NE). Simulation results show that MPSO and DGT significantly outperform conventional schemes. Moreover, compared with MPSO, DGT uses much less overhead. Finally, further research directions are discussed and conclusions are drawn.