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Generic Uniqueness of the Solutions to a Continuous Linear Programming Problem

Author

Listed:
  • Nicola Persico

    (Department of Economics, University of Pennsylvania)

Abstract

Consider two continuous functions f,g mapping the interval [0,S] of the real line into R. Let f also be strictly increasing. We are interested in the set of probability distributions on the interval [0,S] that maximize the expectation of f subject to the constraint that the expectation of g be no greater than a constant. We provide a sufficient condition on the pair (f,g) for the solution to this linear programming problem to be unique and show that this sufficient condition is satisfied "generically."

Suggested Citation

  • Nicola Persico, 2005. "Generic Uniqueness of the Solutions to a Continuous Linear Programming Problem," PIER Working Paper Archive 05-010, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    • Handle: RePEc:pen:papers:05-010
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    More about this item

    Keywords

    Linear Programming;

    JEL classification:

    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General

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