A PENALTY FUNCTION METHOD FOR THE PRINCIPAL-AGENT PROBLEM WITH AN INFINITE NUMBER OF INCENTIVE-COMPATIBILITY CONSTRAINTS UNDER MORAL HAZARD  

作　　者：Jia LIU Xianjia WANG 刘佳;王先甲(School of Economics and Management,Wuhan University,Wuhan 430072,China;Institute of Systems Engineering,Wuhan University,Wuhan 430072,China)

机构地区：[1]School of Economics and Management,Wuhan University,Wuhan 430072,China [2]Institute of Systems Engineering,Wuhan University,Wuhan 430072,China

出　　处：《Acta Mathematica Scientia》2021年第5期1749-1763,共15页数学物理学报（B辑英文版）

基　　金：supported by National Natural Science Foundation of China(72031009 and 71871171);the National Social Science Foundation of China(20&ZD058).

摘　　要：In this paper,we propose an iterative algorithm to find the optimal incentive mechanism for the principal-agent problem under moral hazard where the number of agent action profiles is infinite,and where there are an infinite number of results that can be observed by the principal.This principal-agent problem has an infinite number of incentive-compatibility constraints,and we transform it into an optimization problem with an infinite number of constraints called a semi-infinite programming problem.We then propose an exterior penalty function method to find the optimal solution to this semi-infinite programming and illustrate the convergence of this algorithm.By analyzing the optimal solution obtained by the proposed penalty function method,we can obtain the optimal incentive mechanism for the principal-agent problem with an infinite number of incentive-compatibility constraints under moral hazard.

关 键 词：principal-agent problem mechanism design moral hazard semi-infinite programming problem penalty function method 

分 类 号：O221[理学—运筹学与控制论]