Inference on estimators defined by mathematical programming

We propose an inference procedure for estimators defined by mathematical programming problems, focusing on the important special cases of linear programming (LP) and quadratic programming (QP). In these settings, the coefficients in both the objective function and the constraints of the mathematical programming problem may be estimated from data and hence involve sampling error. Our inference approach exploits the characterization of the solutions to these programming problems by complementarity conditions; by doing so, we can transform the problem of doing inference on the solution of a constrained optimization problem (a non-standard inference problem) into one involving inference based on a set of inequalities with pre-estimated coefficients, which is much better understood. We evaluate the performance of our procedure in several Monte Carlo simulations and an empirical application to the classic portfolio selection problem in finance.

• Publication year

  2017

• Venue

  Journal of Econometrics

• Publication date

  2017-09-21

• Fields of study

  Mathematics, Computer Science, Economics

• Identifiers
  DOI 10.2139/SSRN.3041040arXiv 1709.09115
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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