Not logged in.
Quick Search - Contribution
Contribution Details
Type | Working Paper |
Scope | Discipline-based scholarship |
Title | Envelope theorems for non-smooth and non-concave optimization |
Organization Unit | |
Authors |
|
Language |
|
Institution | University of Zurich |
Series Name | Working paper series / Department of Economics |
Number | 62 |
ISSN | 1664-7041 |
Number of Pages | 23 |
Date | 2012 |
Abstract Text | 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. |
Official URL | http://www.econ.uzh.ch/static/wp/econwp062.pdf |
Related URLs | |
PDF File | Download from ZORA |
Export |
BibTeX
EP3 XML (ZORA) |
Keywords | Envelope theorem, differentiability, dynamic programming, discrete choice, nonsmooth analysis, diskrete Entscheidung, dynamische Optimierung, Variationsrechnung |
Additional Information | Revised version |