Informationally optimal correlation
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 publiéDate
2009Journal name
Mathematical ProgrammingVolume
116Number
1-2Publisher
Springer
Pages
147-172
Publication identifier
Metadata
Show full item recordAbstract (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 gamesRelated items
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Gossner, Olivier; Tomala, Tristan (2008) Article accepté pour publication ou publié
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Tomala, Tristan; Gossner, Olivier (2006) Article accepté pour publication ou publié