Informationally optimal correlation
Article dans une revue: 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.
Auteur(s)
Olivier Gossner, Rida Laraki, Tristan Tomala
Revue
- Mathematical Programming
Date de publication
- 2009
Mots-clés
- Correlation
- Entropy
- Repeated games
Pages
- pp.147-172
URL de la notice HAL
Version
- 1
Volume
- Vol.116,n°1-2