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
TypeArticle accepté pour publication ou publié
Journal nameMathematical Programming
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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 / KeywordsCorrelation; Entropy; Repeated games
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