Sample average approximation for the continuous type principal-agent problem

DOI10.1016/J.EJOR.2018.12.032MaRDI QIDQ1719641zbMATH OpenOpenAlexWikidataFDO

Authors Dashi I. Singham

Publication date 11 February 2019

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2018.12.032

zbMATH Keywords

mechanism designpricingprincipal-agent modelssample average approximation

Mathematics Subject Classification ID

Stochastic programming (90C15) Hierarchical games (including Stackelberg games) (91A65) Microeconomic theory (price theory and economic markets) (91B24) Economics of information (91B44)

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Cites work

• A polynomial optimization approach to principal-agent problems
• A principal-agent problem with heterogeneous demand distributions for a carbon capture and storage system
• An adjustment scheme for nonlinear pricing problem with two buyers
• Assessing solution quality in stochastic programs
• Computing optimal incentives via bilevel programming
• Contracting with asymmetric demand information in supply chains
• Controlling for supplier switching in the presence of real options and asymmetric information
• Fixed-width sequential stopping rules for a class of stochastic programs
• Group-buying and channel coordination under asymmetric information
• Lectures on Stochastic Programming
• On the implementation of an interior-point filter line-search algorithm for large-scale nonlinear programming
• Optimal design of uptime-guarantee contracts under IGFR valuations and convex costs
• Pyomo -- optimization modeling in Python
• Solving nonlinear principal-agent problems using bilevel programming
• The resource allocation problem for demand forecasting and performance measurement

Cited in

(5)

• Robustness and approximation for the linear contract design
• Principal-agent problem under the linear contract
• A Bayesian approach to continuous type principal-agent problems
• An inexact semismooth Newton SAA-based algorithm for stochastic nonsmooth SOC complementarity problems with application to a stochastic power flow programming problem
• Developing reward-risk aversion distributionally robust contract design models under ambiguous output probabilities

Describes a project that uses

Uses Software

• Ipopt
• Pyomo

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