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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 publié
Date
2009
Journal name
Mathematical Programming
Volume
116
Number
1-2
Publisher
Springer
Pages
147-172
Publication identifier
http://dx.doi.org/10.1007/s10107-007-0129-1
Metadata
Show full item record
Author(s)
Tomala, Tristan
Laraki, Rida cc
Gossner, Olivier
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

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