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Informationally optimal correlation

Abstract : 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.
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Submitted on : Thursday, May 20, 2010 - 2:13:14 PM
Last modification on : Tuesday, September 22, 2020 - 3:58:26 AM

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Olivier Gossner, Rida Laraki, Tristan Tomala. Informationally optimal correlation. Mathematical Programming B, Springer, 2009, Vol.116,n°1-2, pp.147-172. ⟨10.1007/s10107-007-0129-1⟩. ⟨hal-00485282⟩



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