LQG Information Design

Takashi Ui
Additional contact information
Takashi Ui: Hitotsubashi University

No 18, Working Papers on Central Bank Communication from University of Tokyo, Graduate School of Economics

Abstract: A linear-quadratic-Gaussian (LQG) game is an incomplete information game with quadratic payoff functions and Gaussian information structures. It has many applications such as a Cournot game, a Bertrand game, a beauty contest game, and a network game among others. LQG information design is a problem to find an information structure from a given collection of feasible Gaussian information structures that maximizes a quadratic objective function when players follow a Bayes Nash equilibrium. This paper studies LQG information design by formulating it as semidefinite programming, which is a natural generalization of linear programming. Using the formulation, we provide sufficient conditions for optimality and suboptimality of no and full information disclosure. In the case of symmetric LQG games, we characterize the optimal symmetric information structure, and in the case of asymmetric LQG games, we characterize the optimal public information structure, each of which is in a closed-form expression.

Keywords: incomplete information games; optimal information structures; information design; Bayesian persuasion (search for similar items in EconPapers)
JEL-codes: C72 D82 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2020-03
New Economics Papers: this item is included in nep-gth, nep-mic and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://www.centralbank.e.u-tokyo.ac.jp/wp-content/uploads/2020/03/cb-wp018.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:upd:utmpwp:018

Access Statistics for this paper

More papers in Working Papers on Central Bank Communication from University of Tokyo, Graduate School of Economics University of Tokyo 702 Faculty of Economics, The University of Tokyo, 7-3-1 Hongo, Bunkyo-ku, Tokyo, 113-0033, Japan. Contact information at EDIRC.
Bibliographic data for series maintained by Yayoi Hatano ().