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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
Nom de la revue
Mathematical Programming
Volume
116
Numéro
1-2
Éditeur
Springer
Pages
147-172
Identifiant publication
Métadonnées
Afficher la notice complète
Auteur(s)
Tomala, Tristan
Laraki, Rida cc
Gossner, Olivier
Résumé (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.
Mots-clés
Correlation; Entropy; Repeated games