Envelope Theorems for Arbitrary Choice Sets Export

@article{milgrom-segal-94, abstract = {The standard envelope theorems apply to choice sets with convex and topological structure, providing sufficient conditions for the value function to be differentiable in a parameter and characterizing its derivative. This paper studies optimization with arbitrary choice sets and shows that the traditional envelope formula holds at any differentiability point of the value function. We also provide conditions for the value function to be, variously, absolutely continuous, left- and right-differentiable, or fully differentiable. These results are applied to mechanism design, convex programming, continuous optimization problems, saddle-point problems, problems with parameterized constraints, and optimal stopping problems.}, author = {Milgrom, Paul and Segal, Ilya}, citeulike-article-id = {2221879}, citeulike-linkout-0 = {http://www.blackwell-synergy.com/doi/abs/10.1111/1468-0262.00296}, citeulike-linkout-1 = {http://dx.doi.org/10.1111/1468-0262.00296}, doi = {10.1111/1468-0262.00296}, journal = {Econometrica}, keywords = {412-2, evelope\_theorem}, number = {2}, pages = {583--601}, posted-at = {2008-01-12 07:05:24}, priority = {2}, title = {Envelope Theorems for Arbitrary Choice Sets}, url = {http://dx.doi.org/10.1111/1468-0262.00296}, volume = {70}, year = {2002} }

TY - JOUR ID - milgrom-segal-94 L3 - citeulike-article-id:2221879 N2 - The standard envelope theorems apply to choice sets with convex and topological structure, providing sufficient conditions for the value function to be differentiable in a parameter and characterizing its derivative. This paper studies optimization with arbitrary choice sets and shows that the traditional envelope formula holds at any differentiability point of the value function. We also provide conditions for the value function to be, variously, absolutely continuous, left- and right-differentiable, or fully differentiable. These results are applied to mechanism design, convex programming, continuous optimization problems, saddle-point problems, problems with parameterized constraints, and optimal stopping problems. IS - 2 JF - Econometrica EP - 601 TI - Envelope Theorems for Arbitrary Choice Sets VL - 70 SP - 583 KW - 412-2 KW - evelope_theorem AU - Milgrom, Paul AU - Segal, Ilya PY - 2002/// UR - http://dx.doi.org/10.1111/1468-0262.00296 ER -