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LQG Information Design

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  • Masaki Miyashita
  • Takashi Ui

Abstract

A linear-quadratic-Gaussian (LQG) game is an incomplete information game with quadratic payoff functions and Gaussian payoff states. This study addresses an information design problem to identify an information structure that maximizes a quadratic objective function. Gaussian information structures are found to be optimal among all information structures. Furthermore, the optimal Gaussian information structure can be determined by semidefinite programming, which is a natural extension of linear programming. This paper provides sufficient conditions for the optimality and suboptimality of both no and full information disclosure. In addition, we characterize optimal information structures in symmetric LQG games and optimal public information structures in asymmetric LQG games, with each structure presented in a closed-form expression.

Suggested Citation

  • Masaki Miyashita & Takashi Ui, 2023. "LQG Information Design," Papers 2312.09479, arXiv.org.
    • Handle: RePEc:arx:papers:2312.09479
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    References listed on IDEAS

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