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An Iterated Projection Approach to Variational Problems Under Generalized Convexity Constraints.
- Source :
-
Applied Mathematics & Optimization . Dec2017, Vol. 76 Issue 3, p565-592. 28p. - Publication Year :
- 2017
-
Abstract
- The principal-agent problem in economics leads to variational problems subject to global constraints of b-convexity on the admissible functions, capturing the so-called incentive-compatibility constraints. Typical examples are minimization problems subject to a convexity constraint. In a recent pathbreaking article, Figalli et al. (J Econ Theory 146(2):454-478, 2011) identified conditions which ensure convexity of the principal-agent problem and thus raised hope on the development of numerical methods. We consider special instances of projections problems over b-convex functions and show how they can be solved numerically using Dykstra's iterated projection algorithm to handle the b-convexity constraint in the framework of (Figalli et al. in J Econ Theory 146(2):454-478, 2011). Our method also turns out to be simple for convex envelope computations. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 00954616
- Volume :
- 76
- Issue :
- 3
- Database :
- Academic Search Index
- Journal :
- Applied Mathematics & Optimization
- Publication Type :
- Academic Journal
- Accession number :
- 125840936
- Full Text :
- https://doi.org/10.1007/s00245-016-9361-5