Informationally optimal correlation

Informationally optimal correlation — Mathematical Programming series B, 116: 147-172, 2009
Authors

Olivier Gossner

Rida Laraki

Tristan Tomala

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.

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Mathematical Programming series B, 116: 147-172, 2009

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Citation

BibTeX citation:
@article{gossner2009,
  author = {Gossner, Olivier and Laraki, Rida and Tomala, Tristan},
  title = {Informationally Optimal Correlation},
  journal = {Mathematical Programming series B},
  date = {2009},
  url = {https://gossner.me/papers/informationally-optimal-correlation.html},
  langid = {en},
  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.}
}
For attribution, please cite this work as:
Gossner, Olivier, Rida Laraki, and Tristan Tomala. 2009. “Informationally Optimal Correlation.” Mathematical Programming Series B. https://gossner.me/papers/informationally-optimal-correlation.html.