Degeneracy Resolution for Bilinear Utility Functions

Best, Michael J.; Zhang, Xili

doi:10.1007/s10957-011-9846-y

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“…Constraints (3) and (4) are the budget and margin constraints, respectively. We solve the system given by the objective function (1) subject to the constraints (2)-(4) using the algorithm described in Best et al (2014) and Best and Zhang (2011). In order to overcome the problem of non-differentiability at the kink point Best, Grauer, Hlouskova and Zhang transformed the kinked linear utility problem into a higher dimensional linear program which is differentiable.…”

Section: The Modelmentioning

confidence: 99%