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econ.TH2025
Recursive contracts in non-convex environments
Chengfeng Shen, Felix Kübler, Zhennan Zhou
Many dynamic contracting problems in economics are non-convex, and deterministic optima can be dominated by randomized solutions. We develop a recursive method to compute optimal l…
econ.TH2025
A Lagrangian Approach to Optimal Randomization
Chengfeng Shen, Felix Kübler, Yucheng Yang +1
We develop an efficient method for solving non-convex constrained optimization problems that are pervasive in economics. The optimal solution to these problems often involves rando…