Search Results - subject:"Optimal control problem"

Consumption and portfolio optimisation at the end of the life-cycle

Schiess, David (contributor) - 2007

Optimal Stopping and Optimal Control Problem . . . . . . . . . . . . 69 6.3 General Derivation of Lcomg(W (t … in a continuous time setting. Technically, this involves solving a combined optimal stopping and optimal control problem … optimal control problem under the Gompertz-Makeham mortality law. We are able to derive interesting comparisons; however, this …

Persistent link: https://www.econbiz.de/10003717538

Ironing Without Control

Toikka, Juuso - 2007

I extend Myerson's (1981) ironing technique to more general objective functions. The approach can be used to solve quasilinear principal-agent models with a one-dimensional type in the general case where the monotonicity constraint implied by incentive compatibility may be binding at the...

Persistent link: https://www.econbiz.de/10012728931

Methods for Robust Control

Dennis, Richard J. - 2007

Robust control allows policymakers to formulate policies that guard against model misspecification. The principal tools used to solve robust control problems are state-space methods (see Hansen and Sargent, 2006, and Giordani and Soderlind, 2004). In this paper we show that the structural-form...

Persistent link: https://www.econbiz.de/10012731841

Numerical Solution of Optimal Control Problems With Constant Control Delays

Brandt-Pollmann, Ullrich; Winkler, Ralph; Sager, Sebastian - 2007

equation of motion of the differential states. Therefore, we formulate an exemplary optimal control problem with one stock and … optimization problems. In particular, we present two possibilities to reformulate the delayed optimal control problem into an … instantaneous optimal control problem and show how these can be solved numerically with a state-of-the-art direct method by applying …

Persistent link: https://www.econbiz.de/10014054288

Bridging the Gap between Growth Theory and the New Economic Geography : Spatial Ramsey Model

Boucekkine, Raouf; Camacho, Carmen; Zou, Benteng - 2007

We study a Ramsey problem in infinite and continuous time and space. The problem is discounted both temporally and spatially. Capital flows to locations with higher marginal return. We show that the problem amounts to optimal control of parabolic partial differential equations (PDEs). We rely on...

Persistent link: https://www.econbiz.de/10014054575

Diffusion-Induced Instability and Pattern Formation in Infinite Horizon Recursive Optimal Control

Brock, William A.; Xepapadeas, Anastasios - 2006

This paper develops local stability analysis for deterministic optimal control theory for recursive infinite horizon intertemporal optimization problems where there is a continuum of spatial sites and the state variable can diffuse over these sites. We identify sufficient conditions for a type...

Persistent link: https://www.econbiz.de/10014058916

Bridging the gap between growth theory and the new economic geography : the spatial ramsey model

Boucekkine, Raouf (contributor); Camacho, Carmen (contributor) - 2006

by Brito (2004) that capital, the state variable of the optimal control problem, is governed by a parabolic partial … treatment of the associated optimal control problem. We shall precisely identify the source of this complication. Before let us … present brie y our optimal control problem. 2.2 The optimal control problem We can write our optimal control problem as …

Persistent link: https://www.econbiz.de/10003375889

Optimal control of locusts in subsistence farming areas

Levy-Livermore, Amnon (contributor) - 2006

Persistent link: https://www.econbiz.de/10003336692

The making of optimal land consistent policy : an analytical framework for monetary models

Yuan, Huiping (contributor); Miller, Stephen M. (contributor) - 2006

Persistent link: https://www.econbiz.de/10003292366

The making of optimal and consistent policy : an implementation theory framework for monetary policy

Yuan, Huiping (contributor); Miller, Stephen M. (contributor) - 2006

Persistent link: https://www.econbiz.de/10003292379