Computation of Moral-Hazard Problems
We study computational aspects of moral-hazard problems. We consider deterministic contracts as well as contracts with action and/or compensation lotteries, and formulate each case as a mathematical program with equilibrium constraints (MPEC). We investigate and compare solution properties of the MPEC approach with the linear programming (LP) approach with lotteries. We propose a hybrid procedure that combines the best features of the both. The hybrid procedure obtains a solution that is, if not globally optimal, at least as good as an LP solution. It also preserves the fast local convergence property by applying the SQP algorithm to MPECs. Numerical examples show that the hybrid procedure outperforms the LP approach in both computational time and solution quality in term of the optimal objective value
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||11 Nov 2005|
|Date of revision:|
|Contact details of provider:|| Web page: http://comp-econ.org/Email: |
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:sce:scecf5:411. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.