| 来源类型 | Article |
| 规范类型 | 其他 |
| DOI | 10.1016/j.amc.2008.05.031 |
| Shadow prices in infinite-horizon optimal control problems with dominating discounts. | |
| Aseev SM; Kryazhimskiy AV | |
| 发表日期 | 2008 |
| 出处 | Applied Mathematics and Computation 204 (2): 519-531 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | We consider a nonlinear optimal control problem, in which an integrated discounted utility index is maximized over an infinite time interval. The problem statement is motivated by various optimization problems arising in economics. Assuming that the discount parameter dominates the growth rates in the state variables and in the gradient of the current utility, we develop a version of the Pontryagin maximum principle providing a complete set of necessary optimality conditions and also suggesting an analytic expression for the values of the adjoint variables often viewed as shadow prices in the economic literature. We illustrate the proposed methodology by applying it to the problem of optimal capital accumulation for a stylized model of an enterprise. |
| 主题 | Dynamic Systems (DYN) |
| 关键词 | Optimal control Infinite horizon The Pontryagin maximum principle Transversality conditions |
| URL | http://pure.iiasa.ac.at/id/eprint/8573/ |
| 来源智库 | International Institute for Applied Systems Analysis (Austria) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/128852 |
| 推荐引用方式 GB/T 7714 | Aseev SM,Kryazhimskiy AV. Shadow prices in infinite-horizon optimal control problems with dominating discounts.. 2008. |
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