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dc.contributor.authorCarlier, Guillaume
dc.contributor.authorDupuis, Xavier
dc.date.accessioned2017-03-18T13:39:33Z
dc.date.available2017-03-18T13:39:33Z
dc.date.issued2017
dc.identifier.issn0095-4616
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/16408
dc.language.isoenen
dc.subjectPrincipal-agent problem
dc.subjectb-convexity constraint
dc.subjectconvexity constraint
dc.subjectconvex envelopes
dc.subjectiterated projections
dc.subjectDykstra’s algorithm
dc.subject.ddc519en
dc.titleAn iterated projection approach to variational problems under generalized convexity constraints
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherLibera Università Internazionale degli Studi Sociali
dc.description.abstractenThe 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, Fi-galli, Kim and McCann [19] 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 [19]. Our method also turns out to be simple for convex envelope computations.
dc.relation.isversionofjnlnameApplied Mathematics and Optimization
dc.relation.isversionofjnlvol76
dc.relation.isversionofjnlissue3
dc.relation.isversionofjnldate2017
dc.relation.isversionofjnlpages565-592
dc.relation.isversionofdoi10.1007/s00245-016-9361-5
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-01242047/
dc.relation.isversionofjnlpublisherSpringer
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2017-10-25T14:03:06Z
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