Publication: An algorithm for computing solutions of variational problems with global convexity constraints
An algorithm for computing solutions of variational problems with global convexity constraints
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Ekeland, I., & Moreno-Bromberg, S. (2010). An algorithm for computing solutions of variational problems with global convexity constraints. Numerische Mathematik, 115(1), 45–69. https://doi.org/10.1007/s00211-009-0270-2
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We present an algorithm to approximate the solutions to variational problems where set of admissible functions consists of convex functions. The main motivation behind the numerical method is to compute solutions to Adverse Selection problems within a Principal-Agent framework. Problems such as product lines design, optimal taxation, structured derivatives design, etc. can be studied through the scope of these models. We develop a method to estimate their optimal pricing schedules.
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- Ekeland, Ivar
- Moreno-Bromberg, Santiago
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Ekeland, I., & Moreno-Bromberg, S. (2010). An algorithm for computing solutions of variational problems with global convexity constraints. Numerische Mathematik, 115(1), 45–69. https://doi.org/10.1007/s00211-009-0270-2