2 papers
econ.TH2026
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…
econ.TH2025
Recursive contracts in non-convex environments
Chengfeng Shen, Felix Kübler, Zhennan Zhou
In this paper we examine non-convex dynamic optimization problems with forward looking constraints. We prove that the recursive multiplier formulation in \cite{marcet2019recursive}…