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sidenav header background[4月7日] 计量金融与大数据分析workshop
发布日期：2023-04-03 01:32 来源：
The Information Projection in Moment Inequality Models: Existence, Dual Representation, and Approximation
时间：4月7日（周五）10:00 AM -- 11:30 AM
参会方式：zoom线上会议
会议号码：860 6735 3149，密码：629765
主讲人：Rami Tabri
主持人：（国发院）黄卓、张俊妮、孙振庭
（北大新结构经济学研究院）胡博
（经济学院）王一鸣、王熙、刘蕴霆、王法
摘要：This paper presents new existence, dual representation, and approximation results for the information projection in the infinite-dimensional setting for moment inequality models. These results are established under a general specification of the moment inequality model, nesting both conditional and unconditional models, and allowing for an infinite number of such inequalities. An essential innovation of the paper is the exhibition of the dual variable as a weak vector-valued integral to formulate an approximation scheme of the I-projection’s equivalent Fenchel dual problem. In particular, it is shown under suitable assumptions that the dual problem’s optimum value can be approximated by the values of finite-dimensional programs and that, in addition, every accumulation point of a sequence of optimal solutions for the approximating programs is an optimal solution for the dual problem. This paper illustrates the verification of assumptions and the construction of the approximation scheme’s parameters for the cases of unconditional and conditional first-order stochastic dominance constraints and dominance conditions that characterize selectionable distributions for a random set. The paper also includes numerical experiments based on these examples that demonstrate the simplicity of the approximation scheme in practice and its straightforward implementation using off-the-shelf optimization methods.
主讲人简介：Dr Rami Tabri is a senior lecturer in the School of Economics at the University of Sydney, Australia. Before joining the University of Sydney, he was a Postdoctoral Fellow at the Cowles Foundation, Yale University. He completed his PhD in Economics at McGill University.
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首页
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教学项目展开 / 收起
sidenav background教学项目
sidenav header background[4月7日] 计量金融与大数据分析workshop
发布日期：2023-04-03 01:32 来源：
The Information Projection in Moment Inequality Models: Existence, Dual Representation, and Approximation
时间：4月7日（周五）10:00 AM -- 11:30 AM
参会方式：zoom线上会议
会议号码：860 6735 3149，密码：629765
主讲人：Rami Tabri
主持人：（国发院）黄卓、张俊妮、孙振庭
（北大新结构经济学研究院）胡博
（经济学院）王一鸣、王熙、刘蕴霆、王法
摘要：This paper presents new existence, dual representation, and approximation results for the information projection in the infinite-dimensional setting for moment inequality models. These results are established under a general specification of the moment inequality model, nesting both conditional and unconditional models, and allowing for an infinite number of such inequalities. An essential innovation of the paper is the exhibition of the dual variable as a weak vector-valued integral to formulate an approximation scheme of the I-projection’s equivalent Fenchel dual problem. In particular, it is shown under suitable assumptions that the dual problem’s optimum value can be approximated by the values of finite-dimensional programs and that, in addition, every accumulation point of a sequence of optimal solutions for the approximating programs is an optimal solution for the dual problem. This paper illustrates the verification of assumptions and the construction of the approximation scheme’s parameters for the cases of unconditional and conditional first-order stochastic dominance constraints and dominance conditions that characterize selectionable distributions for a random set. The paper also includes numerical experiments based on these examples that demonstrate the simplicity of the approximation scheme in practice and its straightforward implementation using off-the-shelf optimization methods.
主讲人简介：Dr Rami Tabri is a senior lecturer in the School of Economics at the University of Sydney, Australia. Before joining the University of Sydney, he was a Postdoctoral Fellow at the Cowles Foundation, Yale University. He completed his PhD in Economics at McGill University.
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