Reverse Calculus and nested optimization

A-Tier
Journal: Journal of Economic Theory
Year: 2020
Volume: 187
Issue: C

Authors (2)

Clausen, Andrew (not in RePEc) Strub, Carlo

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Nested optimization problems arise when an agent must take into account the effect of their decisions on their own future behaviour, or the behaviour of others. In these problems, calculating marginal costs and benefits involves differentiating the solutions to nested problems. But are these solutions differentiable functions? We develop a tool called Reverse Calculus, and establish first-order conditions for (i) a Stackelberg leader considering the follower's best response function, (ii) a sovereign borrower considering its own future default policy, and (iii) non-convex dynamic programming problems.

Technical Details

RePEc Handle
repec:eee:jetheo:v:187:y:2020:i:c:s0022053120300247
Journal Field
Theory
Author Count
2
Added to Database
2026-01-25