Generic Uniqueness of the Solutions to a Continuous Linear Programming Problem

Nicola Persico

PIER Working Paper Archive from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania

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."

Keywords: Linear; Programming (search for similar items in EconPapers)
JEL-codes: C60 (search for similar items in EconPapers)
Date: 2005-01-27

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