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
URL of the HAL notice
Version
- 1
Volume
- Vol.116,n°1-2