Envelope theorems for non-smooth and non-concave optimization
AbstractWe 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Department of Economics - University of Zurich in its series ECON - Working Papers with number 062.
Date of creation: Apr 2012
Date of revision:
Envelope theorem; differentiability; dynamic programming; discrete choice; non-smooth analysis;
Find related papers by JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- E20 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - General (includes Measurement and Data)
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-05-08 (All new papers)
- NEP-DCM-2012-05-08 (Discrete Choice Models)
- NEP-MIC-2012-05-08 (Microeconomics)
- NEP-UPT-2012-05-08 (Utility Models & Prospect Theory)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Shouyong Shi & Hongfei Sun & Guido Menzio, 2009.
"Monetary Theory with Non-degenerate Distributions,"
2009 Meeting Papers
172, Society for Economic Dynamics.
- Menzio, Guido & Shi, Shouyong & Sun, Hongfei, 2013. "A monetary theory with non-degenerate distributions," Journal of Economic Theory, Elsevier, vol. 148(6), pages 2266-2312.
- Guido Menzio & Shouyong Shi & Hongfei Sun, 2011. "A Monetary Theory with Non-Degenerate Distributions," Working Papers tecipa-425, University of Toronto, Department of Economics.
- Guido Menzio & Shouyong Shi & Hongfei Sun, 2011. "A Monetary Theory with Non-Degenerate Distributions," Working Papers 1264, Queen's University, Department of Economics.
- Shouyong Shi & Hongfei Sun & Guido Menzio, 2010. "A Monetary Theory with Non-Degenerate Distributions," 2010 Meeting Papers 598, Society for Economic Dynamics.
- Guido Menzio & Shouyong Shi & Hongfei Sun, 2011. "A Monetary Theory with Non-Degenerate Distributions," PIER Working Paper Archive 11-009, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Guido Menzio & Shouyong Shi & Hongfei Sun, 2013. "A Monetary Theory with Non-degenerate Distributions," Working Papers tecipa-495, University of Toronto, Department of Economics.
- Giulio Fella, 2011.
"A Generalized Endogenous Grid Method for Non-concave Problems,"
677, Queen Mary, University of London, School of Economics and Finance.
- Giulio Fella, 2011. "A generalized endogenous grid method for non-concave problems," 2011 Meeting Papers 1232, Society for Economic Dynamics.
- Giulio Fella, 2011. "Code for "A generalized endogenous grid method for non-concave problems"," QM&RBC Codes 185, Quantitative Macroeconomics & Real Business Cycles.
- Andrew Clausen (University of Edinburgh), 2013.
"Moral Hazard with Counterfeit Signals,"
ESE Discussion Papers
225, Edinburgh School of Economics, University of Edinburgh.
- Andrew Clausen & Carlo Strub, 2011.
ECON - Working Papers
008, Department of Economics - University of Zurich.
- Christoph Görtz & Afrasiab Mirza, 2014. "On the Applicability of Global Approximation Methods for Models with Jump Discontinuities in Policy Functions," CESifo Working Paper Series 4837, CESifo Group Munich.
- Giulio Fella, 2014.
"A generalized endogenous grid method for non-smooth and non-concave problems,"
Review of Economic Dynamics,
Elsevier for the Society for Economic Dynamics, vol. 17(2), pages 329-344, April.
- Giulio Fella, 2013. "Code and data files for "A generalized endogenous grid method for non-smooth and non-concave problems"," Computer Codes 11-275, Review of Economic Dynamics.
- Chen, Daphne & Qi, Shi & Schlagenhauf, Don E., 2014. "Corporate income tax, legal form of organization, and employment," Working Papers 2014-18, Federal Reserve Bank of St. Louis.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marita Kieser).
If references are entirely missing, you can add them using this form.