Generic Uniqueness of the Solutions to a Continuous Linear Programming Problem

Research output: Working paper

Abstract

Consider two continuous functions f,g mapping the interval [0,S] of the real line into R. Let f also be strictly increasing. We are interested in the set of probability distributions on the interval [0,S] that maximize the expectation of f subject to the constraint that the expectation of g be no greater than a constant. We provide a sufficient condition on the pair (f,g) for the solution to this linear programming problem to be unique and show that this sufficient condition is satisfied generically.
Original languageEnglish (US)
Number of pages6
StatePublished - Feb 14 2005

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