Informationally optimal correlation
Gossner, O.
, Laraki, R. & Tomala, T.
(2009).
Informationally optimal correlation.
Mathematical Programming,
116(1-2), 147-172.
https://doi.org/10.1007/s10107-007-0129-1
, Laraki, R. & Tomala, T.
(2009).
Informationally optimal correlation.
Mathematical Programming,
116(1-2), 147-172.
https://doi.org/10.1007/s10107-007-0129-1
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.