Informationally optimal correlation

Tomala, Tristan; Laraki, Rida; Gossner, Olivier

Tomala, Tristan; Laraki, Rida; Gossner, Olivier (2009), Informationally optimal correlation, Mathematical Programming, 116, 1-2, p. 147-172. http://dx.doi.org/10.1007/s10107-007-0129-1

Type

Article accepté pour publication ou publié

Date

2009

Journal name

Mathematical Programming

Volume

116

Number

1-2

Publisher

Springer

Pages

147-172

Abstract (EN)

This papers studies an optimization problem under entropy constraints arising from repeated games with signals. We provide general properties of solutions and a full characterization of optimal solutions for 2 × 2 sets of actions. As an application we compute the minmax values of some repeated games with signals.

Subjects / Keywords

Correlation; Entropy; Repeated games