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Article #144

#144

From: Debojyoti A Sarkar
Date: Fri, 11 Dec 1992 18:01

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I have the following problem:

min J=summation t=0 to inf 1/2(r* - r(t))**2
s.t. q(t+1) = (1-d)q(t)+c(t)+h(t)
r(t)=f(q(t)), f'<0
h(t)=g(r(t-1))
q0 (initial q) given.

Is it possible to get a closed form solution for (c(t) and h(t)) t=0 to inf?
The control variables are c and h and the state variable is q.  Initially I
am interested in a deterministic setup, but later on I would like to have a
stochastic system where the uncertainty would entre as follows :

r(t)=f(q(t), w(t)) where w would be the source of uncertainty.

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From: das18@cunixa.cc.columbia.edu (Debojyoti A Sarkar)
Subject: Help
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Date: Fri, 11 Dec 1992 18:01:53 GMT
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