Informationally optimal correlation

Olivier Gossner; Rida Laraki; Tristan Tomala

doi:10.1007/s10107-007-0129-1

Informationally optimal correlation

Olivier Gossner, Rida Laraki, Tristan Tomala

Economics

Research output: Contribution to journal › Article › peer-review

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.

Original language	English (US)
Pages (from-to)	147-172
Number of pages	26
Journal	Mathematical Programming
Volume	116
Issue number	1-2
DOIs	https://doi.org/10.1007/s10107-007-0129-1
State	Published - Jan 2009

Keywords

Correlation
Entropy
Repeated games

ASJC Scopus subject areas

Software
General Mathematics

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10.1007/s10107-007-0129-1

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title = "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.",

keywords = "Correlation, Entropy, Repeated games",

author = "Olivier Gossner and Rida Laraki and Tristan Tomala",

year = "2009",

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KW - Entropy

KW - Repeated games

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Informationally optimal correlation

Abstract

Keywords

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