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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
Metadata
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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