Note—Sensitivity Analysis in Leontief Substitution Systems

In this note we investigate extremal optimization over Leontief substitution systems. Such problems arise naturally in discounted Markov decision problems and in problems involving the control of economic systems. We develop both bounds on the objective value of a Leontief substitution system subject to perturbations and an algorithm for finding and improving perturbations.

• 저널Management Science · 26(12) · 1272–1280
• 토픽Stochastic processes and financial applications · Finance
• DOI10.1287/mnsc.26.12.1272
• 저자Gary J. Kœhler, Andrew B. Whinston