Informationally optimal correlation

Olivier Gossner; Rida Laraki; Tristan Tomala

doi:10.1007/s10107-007-0129-1

Informationally optimal correlation

Olivier Gossner
, Rida Laraki
, Tristan Tomala

Paris-Jourdan Sciences Economiques
Northwestern University
Centre national de la recherche scientifique
Université Paris Dauphine

Research output: Contribution to journal › Article › peer-review

7 Citations (Scopus)

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 minmax values of some repeated games with signals.

Original language	English
Pages (from-to)	147-172
Number of pages	26
Journal	Mathematical Programming
Volume	116
Issue number	1-2
DOIs	https://doi.org/10.1007/s10107-007-0129-1
Publication status	Published - 1 Jan 2009
Externally published	Yes

Keywords

Correlation
Entropy
Repeated games

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10.1007/s10107-007-0129-1

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title = "Informationally optimal correlation",

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 minmax values of some repeated games with signals.",

keywords = "Correlation, Entropy, Repeated games",

author = "Olivier Gossner and Rida Laraki and Tristan Tomala",

year = "2009",

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doi = "10.1007/s10107-007-0129-1",

language = "English",

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AU - Gossner, Olivier

AU - Laraki, Rida

AU - Tomala, Tristan

PY - 2009/1/1

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N2 - 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.

AB - 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.

KW - Correlation

KW - Entropy

KW - Repeated games

U2 - 10.1007/s10107-007-0129-1

DO - 10.1007/s10107-007-0129-1

M3 - Article

AN - SCOPUS:45749111814

SN - 0025-5610

VL - 116

SP - 147

EP - 172

JO - Mathematical Programming

JF - Mathematical Programming

IS - 1-2

ER -

Informationally optimal correlation

Abstract

Keywords

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