Journal ArticleDOI
A nonsmooth approach to envelope theorems
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TLDR
In this paper, 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 non-smooth objectives was developed.About:
This article is published in Journal of Mathematical Economics.The article was published on 2015-12-01. It has received 10 citations till now. The article focuses on the topics: Differentiable function & Nonlinear programming.read more
Citations
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Journal ArticleDOI
The effect of interest rates on consumption in an income fluctuation problem
Ehud Lehrer,Bar Light +1 more
TL;DR: This paper examined the effect of a change in interest rates on an agent's consumption and savings decisions when her income is fluctuating and showed that lower interest rates encourage the agent to consume more.
Journal ArticleDOI
Generalized Envelope Theorems: Applications to Dynamic Programming
TL;DR: It is shown that the class of Lipschitz functions provides a suitable framework for the generalization of classical envelope theorems for a broad class of constrained programs relevant to economic models, in which nonconvexities play a key role, and where the primitives may not be continuously differentiable.
Book ChapterDOI
Dynamic games in macroeconomics
TL;DR: In this paper, the authors survey how the methods of dynamic and stochastic games have been applied in macroeconomic research, focusing on strategic dynamic programming, which has found extensive application for solving macroeconomic models.
Posted Content
The converse envelope theorem
TL;DR: In this paper, the converse envelope theorem with a converse was shown to be equivalent to a first-order condition for mechanism design, and was used to extend the canonical result in mechanism design that any increasing allocation is implementable.
Journal ArticleDOI
Screening with Endogenous Preferences
Lizi Chen,Casey Rothschild +1 more
TL;DR: In this article, a general framework is developed for studying screening in many-agent discrete type environments where each agent's preferences depend endogenously on the allocations received by the other agents, and the solution to the principal's problem is analyzed by decomposing it, a la Rothschild and Scheuer (2013, 2014b), into an inner problem with fixed preferences and an outer problem with varying preferences.
References
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Book
Optimization and nonsmooth analysis
TL;DR: The Calculus of Variations as discussed by the authors is a generalization of the calculus of variations, which is used in many aspects of analysis, such as generalized gradient descent and optimal control.
Book
Foundations of Economic Analysis
TL;DR: Recent statistical techniques, including nonlinear programming, have been added to a basic survey of equilibrium systems, comparative statistics, consumer behavior theory, and cost and production theory as discussed by the authors, and they have been used in a variety of applications.
Book
Perturbation Analysis of Optimization Problems
TL;DR: It is shown here how the model derived recently in [Bouchut-Boyaval, M3AS (23) 2013] can be modified for flows on rugous topographies varying around an inclined plane.
Book
Supermodularity and Complementarity
TL;DR: In this article, the authors introduce the concept of lattices, supermodular functions, and optimal decision models for cooperative games and non-cooperative games, and present a review of the literature.
Journal ArticleDOI
Envelope Theorems for Arbitrary Choice Sets
Paul Milgrom,Ilya Segal +1 more
TL;DR: The standard envelope theorems apply to choice sets with convex and topological structure, providing sufficient conditions for the value function to be differentiable in a parameter and characterizing its derivative as mentioned in this paper.