Arbeitspapier
Envelope theorems for non-smooth and non-concave optimization
We study general dynamic programming problems with continuous and discrete choices and general constraints. The value functions may have kinks arising (1) at indifference points between discrete choices and (2) at constraint boundaries. Nevertheless, we establish a general envelope theorem: first-order conditions are necessary at interior optimal choices. We only assume differentiability of the utility function with respect to the continuous choices. The continuous choice may be from any Banach space and the discrete choice from any non-empty set.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 62
- Klassifikation
-
Wirtschaft
Optimization Techniques; Programming Models; Dynamic Analysis
Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy: General (includes Measurement and Data)
- Thema
-
envelope theorem
differentiability
dynamic programming
discrete choice
non-smooth analysis
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Clausen, Andrew
Strub, Carlo
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Zurich, Department of Economics
- (wo)
-
Zurich
- (wann)
-
2012
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Clausen, Andrew
- Strub, Carlo
- University of Zurich, Department of Economics
Entstanden
- 2012
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