Contractive Dual Methods for Incentive Problems

Matthias Messner, Nicola Pavoni and Christopher Sleet

No 2012-E26, GSIA Working Papers from Carnegie Mellon University, Tepper School of Business

Abstract: Several recent papers have proposed recursive Lagrangian-based methods for solving dynamic contracting problems. These methods give rise to Bellman operators that incorporate either a dual inf-sup or a saddle point operation. We give conditions that ensure the Bellman operator implied by a dual recursive formulation is contractive.

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Working Paper: Contractive Dual Methods for Incentive Problems (2012)
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