A nonsmooth approach to envelope theorems
| Autor: | Kevin Reffett, Olivier F. Morand, Suchismita Tarafdar |
|---|---|
| Rok vydání: | 2015 |
| Předmět: |
Mathematical optimization
Economics and Econometrics Markov chain Computer science Applied Mathematics Mathematics::Optimization and Control Regular polygon Parameterized complexity Nonlinear programming Constraint (information theory) Lattice (order) Bellman equation Applied mathematics Differentiable function Mathematics Envelope (motion) |
| Zdroj: | Journal of Mathematical Economics. 61:157-165 |
| ISSN: | 0304-4068 |
| Popis: | We develop a nonsmooth approach to envelope theorems applicable to a broad class of parameterized constrained nonlinear optimization problems that arise typically in economic applications with nonconvexities and/or nonsmooth objectives. Our methods emphasize the role of the Strict Mangasarian–Fromovitz Constraint Qualification (SMFCQ), and include envelope theorems for both the convex and nonconvex case, allow for noninterior solutions as well as equality and inequality constraints. We give new sufficient conditions for the value function to be directionally differentiable, as well as continuously differentiable. We apply our results to stochastic growth models with Markov shocks and constrained lattice programming problems. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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