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Informationally optimal correlation

    Olivier Gossner, Rida Laraki and Tristan Tomala
    Mathematical Programming series B, 116: 147-172, 2009


    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 min max values of some repeated games with signals.