Show simple item record

dc.contributor.authorSingham, D.I.
dc.date.accessioned2019-04-30T16:01:45Z
dc.date.available2019-04-30T16:01:45Z
dc.date.issued2019-06
dc.identifier.citationSingham, Dashi I. "Sample average approximation for the continuous type principal-agent problem." European Journal of Operational Research 275.3 (2019): 1050-1057.en_US
dc.identifier.urihttp://hdl.handle.net/10945/62071
dc.descriptionThe article of record as published may be found at http://dx.doi.org/10.1016/j.ejor.2018.12.032en_US
dc.description.abstractWe develop a method for finding approximate solutions to the continuous agent type principal-agent problem when analytical methods are not available. The solution is calculated by solving a discrete agent type version of the problem using sample average approximation and bootstrapping. We show how a solution to the approximate problem can be used to derive a lower bound and expected upper bound for the optimal objective function, and evaluate the error associated with the approximation. Numerical examples illustrate convergence in the approximate solution to the true solution as the number of samples increases. This works yields a method for obtaining some tractability in continuous type principal-agent problems where solutions were previously unavailable.en_US
dc.format.extent8 p.en_US
dc.publisherElsevier B.V.en_US
dc.rightsThis publication is a work of the U.S. Government as defined in Title 17, United States Code, Section 101. Copyright protection is not available for this work in the United States.en_US
dc.titleSample average approximation for the continuous type principal-agent problemen_US
dc.typeArticleen_US
dc.contributor.corporateNaval Postgraduate School (U.S.)en_US
dc.contributor.departmentOperations Research (OR)en_US
dc.subject.authorPricingen_US
dc.subject.authorMechanism designen_US
dc.subject.authorPrincipal-agent modelsen_US
dc.subject.authorSample average approximationen_US
dc.description.funderNational Science Foundation grant CMMI-1535831en_US


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record