Journal ArticleDOI
A nonsmooth approach to envelope theorems
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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Almost Sure Uniqueness of a Global Minimum Without Convexity
TL;DR: In this paper, the authors established the argmin of a random objective function to be unique almost surely, without convexity of the objective function, and applied it to a variety of applications in statistics, including uniqueness of M estimators, both classical likelihood and penalized likelihood estimators.
Journal ArticleDOI
The envelope theorem, Euler and Bellman equations, without differentiability
Ramon Marimon,Jan Werner +1 more
TL;DR: In this article, the authors extend the standard Bellman's theory of dynamic programming and the theory of recursive contracts with forward-looking constraints of Marcet and Marimon (2019) to encompass non-differentiability of the value function associated with non-unique solutions or multipliers.
Journal ArticleDOI
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, and was used to extend to general outcomes and preferences.
ReportDOI
Posterior distribution of nondifferentiable functions
TL;DR: In this paper, the authors examined the asymptotic behavior of the posterior distribution of a possibly non-differentiable function g ( θ ), where θ is a finite-dimensional parameter of either a parametric or semiparametric model.
A Generalized Approach to Envelope Theorems
TL;DR: In this paper, a generalized approach to envelope theorems that applies across a broad class of parameterized nonlinear optimization problems that arise typically in economic applications is developed. But the approach is limited to the case where the value function is locally Lipschitz and/or Clarke.
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.