Open AccessNote—Sensitivity Analysis in Leontief Substitution Systems
Author(s) -
Gary J. Kœhler,
Andrew B. Whinston
Publication year - 1980
Publication title -
management science
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 4.954
H-Index - 255
eISSN - 1526-5501
pISSN - 0025-1909
DOI - 10.1287/mnsc.26.12.1272
Subject(s) - substitution (logic) , mathematical economics , sensitivity (control systems) , markov chain , mathematical optimization , markov process , economics , computer science , mathematics , statistics , engineering , electronic engineering , programming language
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.programming: Leontief substitution