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.
- Language
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Englisch
- Bibliographic citation
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Series: Working Paper ; No. 62
- Classification
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Wirtschaft
Optimization Techniques; Programming Models; Dynamic Analysis
Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy: General (includes Measurement and Data)
- Subject
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envelope theorem
differentiability
dynamic programming
discrete choice
non-smooth analysis
- Event
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Geistige Schöpfung
- (who)
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Clausen, Andrew
Strub, Carlo
- Event
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Veröffentlichung
- (who)
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University of Zurich, Department of Economics
- (where)
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Zurich
- (when)
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2012
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Clausen, Andrew
- Strub, Carlo
- University of Zurich, Department of Economics
Time of origin
- 2012
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