Informationally optimal correlation

Journal article: 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.

Author(s)

Olivier Gossner, Rida Laraki, Tristan Tomala

Journal
  • Mathematical Programming
Date of publication
  • 2009
Keywords
  • Correlation
  • Entropy
  • Repeated games
Pages
  • pp.147-172
Version
  • 1
Volume
  • Vol.116,n°1-2