CHAPTER

THE

FUNDAMENTAL

PROBLEM
CALCULUS

OF

OF VARIATIONS

We shall begin the study of the calculus

with the fundamental

Maximize

V [y]

or

THE

of variations

problem:

minimize

lTF[f,
y( f), yr( f)] dt (2.1)

subject to

y(0)

=A

( A given)
and

given)

y(T)

=Z

(T,Z

II

,
- -- -- ---

p(t)

1
-\

'---I/--"

In

based

deal

yields

on

only

2.1

an extremum
an absolute

classical

as

important

result

the

is,

can directly
an extremal

Euler

as

1744,

it
of

in the calculus

Although

remains

its rationale

of

in

its

it

the

mathematics.

the ingenuity

to explain

condition

equation

in this branch
and

with the

paths.

necessary

early

of its impor- tance

is worthwhile

it

That

value of V only in comparison

first-order

formulated

may be
or a

extremum

methods,

THE EULER EQUATION

is

one

V[y],

of

(global)

extrema.

"neighboring9'

variations

FIGURE 2 1

Since the calcu-lus of variations

calculus

relative

an extreme

The basic
of

either

with

immediately

I
T

(local) extremum.

relative

is

of

"">+

"

locating

thinking

was
most

In view

approach,

some

detail.

it

With
y*(t)

property

the

of

extremal

let

We

To do

neighboring

neighboring

paths

through

given

that

is

that

on

0 and T

paths.

by

curve,

the

it be smooth

the horizontal

y*(t),

where

magnitude

of

to various
desired

denoted

for illustration

and

a small number,
we can perturb the

is

neighboring

positions,

neighbor- ing paths.

generally
y(t)

paths

pass

through

so

The

small

~p (tto)

By adding

by

the

that

with relatively

and

is

except for

axis in Fig. 2.1,

one

must
(T, 2)

and

such neighboring

chosen

This

in

chosen arbitrarily

and small slopes throughout.

values

the

some

in (2.11,

(0, A)

(2.3)

path

find

absent

specification

We have

the

solid

to

Such

endpoints

generating

of

perturbing

the restrictions
points

which,

the

way

simple

by using

it

the

seek

a property
constitute a necessary
condition
for an extremal.
this, we need for comparison purposes a family of

would

2.1,

Fig.

extremal.

known

(nonextremal)

pass

to

reference

be

varying

the

y*(t) path, displacing

thereby
latter

generating

can

paths

be

as

= y*(t)

+ ~p (t )

[implying yl(t)

= y*'(t)

pa
constitutes

extremal.

condition

It

follows

property

defining
that

for the extremal.

dV/d

0 is

of

the

a necessary

As

written,

operational
variable

p(t). What

as

To

form.

however,

as

well

of

the definition

where

F(t, x)

derivative

F,(t,

change

hence

as a

in
the

is

of

operational

to

how

form,

take

the

integral

to

assumed

the value

x-Z(x).

of

The effect

dl

-= p
dx

,,
(t

any

F function

and

view

of

continuous

[a, b]. Since

the

we may

integral,

have

interval

the integral is given by the derivative

(2.6)

operational

Integral

x) in the time

definite

an
of

express

is to

integral.

will affect

function

into

Definite

Consider

perturb-ing function

convenient

knowledge

definite

Differentiating

not

is

the arbitrary

of

accomplishes

in

(2.4)

transform

(2.4)

use

the

the arbitrary

equation

condition

requires

derivatives

condition

it involves

the Euler

necessary

this

however,

because

the

change

integral
in

x on

formula:

X)dt

[Leibniz 's rule]

In

to

words,

respect

to

nor a

integration

(t)

can

differentiate

simply

differentiate

variable

which

limit

of

definite

is neither
integration

through

the

integral

with

the variable
(a

integral

or

b),

sign

of

one
with

x.

respect to
The

intuition

from Fig. 2.212,

and
of

the

F(t,

between

behind

where the

after

the

be

seen

F(t, x),

curve represents the displaced position

in x. The vertical distance
two curves (if the- change is infinitesimal)

dotted

x)

rule can
curve represents

Leibniz's
solid

the change

FIGURE 2.2

derivative

Fx(t,x) at each value of t. It follows that the

effect of the change

corresponds
equivalently,

to the

x on

in

area

the definite

integral

interval [a,b].This explains

The value
also be affected

of

the entire integral, dI/dx,

between the two

Defining the integral

curves, or,
over the

Fx(t,x)

the meaning of (2.6)

the definite

by

of

change in

integral

alternatively

in (2.5)

can

limit of integration.

to be

we

have the following pair of derivative

In words, the derivative of

integrand

evaluated

definite integral with respect

b

integration

of

at

formulas:

b; and

is

respect to its lower limit of integration

of

the integrand

In

Fig.

rightward

area

under

right-hand

the

by

the

boundary-F(b,

which

reduces

an

increase

resulting

2.2c, is
there is

rightward
the

negative

The preceding
in combination.
the form

value

the

with

is the negative

= a.

increase

effect

the

at t

in

is

of the right-hand

curve.

the

for (2.8) For

hand,

an

2.2b,

displacement

infinitesimal,

measured

evaluated

to

equal

the derivative

When

the

the

definite

of

the

x ).This

displacement,

provides

move-ment of
area under

limit,

as

integral

is
the

the other

illustrated

curve.

is

the intuition

on

the left-hand
the

at

function

of the

displace-ment

on

in the lower

in

reflected

boundary

in

Fig.

boundary,

This

is why

sign in (2.9)
derivative

formulas

can

also be used

If, for instance, the definite integral takes

where

not only enters into the integrand

but also affects the

upper

limit of integration,

F,

function

then

we can

apply both (2.6) and (2.8), to get the total derivative

on the right, an integral, follows from

(2.6); the second term,
dK
db(x)
representing the chain
is based on (2.8)
db(x)
dx
The first term

----- -

EXAMPLE

1 The derivative

is, by Leibniz's

of

EXAMPLE

Similarly

EXAMPLE

To differentiate

which

appears

/;e-$

dt with respect

to

rule,

in the

upper

j,2"3t2

limit

dt with respect to

of integration,

we

need

as

the chain rule

For

ease

take

Let

its

(2.8). The result

understanding,

of

is

the Euler

equation

in four steps.

will be developed
Step

as

well

us

first

derivative.

express

in

terms

of

E,

and

(2.3) into the objective

Substituting

functional in (2.1), we have

To

obtain

us to

the

dV/d

derivative

differentiate

through

Leibniz's

rule

the integral sign:

Breaking the last integral in (2.13) into two

separate

more

integrals,

specific

extremal

as

and setting

form of

follows:

the

dV/de

necessary

0,

we get a

condition for

an

tells

(2.14)

i
T

While

this

the

of

curve
To

form

necessary

of

arbitrary

~y p (dt
t )+

variable

p(t) is still present

make

must also eliminate

Step ii
integral

Let

Fytpf(t)dt

condition

E the

is

arbitrary

already

condition

fully

free

perturbing

along with its derivative

necessary

the

operational,

p'(t)

we

p(t) and pl(t)

To that end,

we

first integrate

the second

in (2.14) by parts, by using the formula:

Fy, and

u =-

dv

dv

p(t). Then

we

have

dFyt

= -dtd t = ---ddtt

and

du
dt
dt

= - = ~'(tdt)

du

Substitution

of

these

expressions

into

(2.15)-with

on

term

first

to

the

right

we

condition

first

equals

must

sign

(2.16) to (2.14) and combining

obtain

Although

another

version

of

the two

necessary

the

the

for

no

pl(t) is

arbitrary

p(t)

enters in

an

can

the

vanish under

(2.2) Applying

integrals

of

longer

However,

arbitrary

present

in (2.171, the

precisely

way, conclude

be satisfied only if the bracketed

because

p(t)

that condition

[Fy

(2.17

- dFy,/dt]

is

every value of t on the

otherwise, the integral may not be equal to zero for some
admissi-rbing curve p(t). Consequently, it is a necessary
condition for an that
made

to vanish for

-F -0
dt
d

Fy

for all t

[0, T ]

[Euler equation]

Y'

the Euler equation is completely

expressions,

differentiable

and

be

applied

F(t, y, y')

free of arbitrary

as soon as one

is

given

Euler equation

the result

of the

Euler

(2.18 )can

equation

consists

arguments.

be

made

a more explicit
is a with three arguments (t,y, y'), the
F,, should
function of the same three
dFyt/d t into

clearer when nd the derivative

form. Because F
partial derivative

in the form

(2.18) with respect to t.

of integrating

nature

The

is sometimes also presented

Thetotal derivative

of three terms:

dFyl/d

dFy,
aFyr
aF dy
aF dy'
-+2 +
r

a~

at

dt

= Fty,
Substituting

dt

ayl

+ FyyPyf(t)+ Fyry,y"(

this into (2.18), multiplying

and rearranging,

we

arrive at

a more

the Euler equation:

(2.19)

FY.,,y"(t)

FYyty1(t)

for all t

This

expanded

equation

version

is in general

differential

equation.

contain two arbitrary

(2.1)

and

dt

reveals

through by

+ Ft,. - Fy = 0

[0, T ]

that

second-order

[Euler equation]

the Euler
nonlinear

Its general solution will thus

constants.

comes with two boundary

one terminal), we should

1,

explicit version of

Since

our

conditions

normally

problem in
(one

possess

initial

sufficient

information

to definitize the two arbitrary

constants and obtain the definite solution

EXAMPLE

Find the extremal

with boundary

12ty

conditions

we

f2,

= 12t
Fyy.= F,,* = 0 By

y(0)

integration,

y*(t)
solution]

we
c,;

To definitize

set t

first

0 and y(2)

Fytyt
=2

- 12t

=0

yields y'(t)

t3

3t2

+ clt + c2

y"(t)

+ c,,

2 in the general solution,

c,

that

we get

c, =
y(2)

condition, it follows that

y* (t)
5

= t3

with

boundary

conditions

Here

we

have

3t

y(1)

+ (y')'l2.

=8

c, =

The Euler equation (2.19)

now

of the functional

3 and

Thus,

reduces

to

y(5)

0. Next,

[definite solution]

Find the extremal

c,,

and

The extremal is thus the cubic function

EXAMPLE

6t

[general

constants

the arbitrary

and

0 in the general solution to get y(0)

from the terminal

2c,;

8. Since

and

or

from the initial condition, it follows

setting

(2.191, the Euler equation is

2yU(t)

upon

have the derivatives

Fyt = 2y'

Fy

which,

of the functional

7.

0.

The only

way to

constant

y', in order that y"

c,,

To

1to

condition),

= c,t

+ c,

y(1)

find

and

0. Thus,

we

write yl(t)

then

set

c,

constants

= c,
t

c, =

5 to

c,, we

and

(by

find y(5)

the

5c,

7 (by the terminal condition). These two equations

c, =

1and

form of

c, =

EXAMPLE

with boundary

2.

Therefore,

the

extremal

first

initial

c2

give

takes

+ +
y2

+2

the

[definite solution]

Find the extremal

conditions y(O)

of the functional

0 and y(5)

3. Since F

3y1, we have

Fy
By (2.18),

=t

we may

with solution

2y

and

Fy,= 3

write the Euler equation

as

2y

= 0,

us

the linear function

y*(t)

[general solution]

the arbitrary

definitize

set

to the solution

which integrates
y* (t)

satisfy this equation is to have

Note,

however,

consistent

the

terminal

conclude

last

to illustrate

arise

when

One

result,

solution

as

the

automatically

other

solution

because

More

solution.

peculiar

function

satisfied,

an
any

is

it

specifically,

results

linear

is

is

shown

in

identity,

Find the extremal

it

can

that
in

that

y'.

no

Example
and

admissible

optimal.
EXAMPLE

serves

with given

6,

Example

possibility,

equation

must

the set of

to be admissible.

in

we

Thus,

among

problems

two

is

0, it violates

variational

illus-trated

Euler

3.

interest

of

integrand

exists. The

7, is that
is

the

of

y(0)

extremal

consider

is

have

one

to

no

we

that

that certain

attention

this

y(5)

exists

example

may not

endpoints

it

there

curves

This

although

initial condition

condition

that

continuous

calls

that

with the

of the functional

since

path

is

and

It follows that the Euler equation

(2.18) is

always satisfied. In this example, it is in fact clear from

straight

integration

that

V depends

The

value

of

and

initial

states, regardless

only

on

the given

terminal

of the path adjoining

the

two given endpoints.

reason

The

behind these peculiarities

is that when
in y', Fy is a constant, and FyrY r 0, so the

F is linear
first

term

Euler

in the

equation

Euler

then

differ- ential equation,

constants
the

in its

time

through
which

the

(with

when

Fy

Fy

r=

fixed

as an

qualify

to

unless

Consequently,

linear

constant

Euler equation

as

its

(2.19)

status

vanishes.

as a

and will not provide

solution

the
the

to enable

given
by

The

path

only

in

y'

fixed

(implying
(2.18) into

with
together

such

identity,

as

pass

to

it

cannot
under
problem

endpoints)

with the fact

dFyr/d t = O), would

an

adapt

condi-tions.

circumstance
for

and

us to

happens

be guaranteed

well, which,

two arbitrary

coincidence,

can

The

second-order

boundary

solution

endpoints

extremal.

solution

loses

general

path

equation

is
that

turn the

in Example

7.

EXERCISE

2.1

1 In discussing the differentiation

mention was made

of
Is that

the

derivative

of definite integrals,

with

respect

no

to the variable

t.

justifiable

omission?

Find the derivatives of the following definite integrals with

respect to x:

Find the extremals, if

any,

of the following fundionals:

= \$ty + 2yt2)dt, with y(0) = 1and y(1) = 2

7 V[yl = \,'tyyf dt, with y(0) = 0 and y(1) = 1
8
V[yl = /;(2yet + y2
+ yr2)dt, with y(0) = 2 and y(2) = 2e2 -t e-' 9 V[yl = j:(y2
6

V[yl

t2yr)dt, with y(O)

0 and y(2)

se.
AMPLE 1 Find the extremal

boundary

conditions

y(0)

of the functional

= y(1) =

1. Since

us t

20) gives

direct

obtain

[general
conditions

c1= f and

1, it is easily verified
y* (t )=

the quadratic

- :t2 +

ft

c, =

y(0)

1. The

path

+1

[definite solution]

= F(y,y') Since F is free of t in

case, we have = 0, so the Euler equation (2.19)

pecial
this

or

- it2 + clt + c2

extremal is therefore

+ 2y'

Fy, = t

and

Y'2

the help of the boundary

solution]

we

integration,

y* (t )

y(1)

tyr

+ 2y1(t) = constant,

case

simplifies

11: F

to

solution to this equation

is by

no means

obvious, but it

turns out that if

multiply

through

by

y',

new

the left-hand-side
equation

will

be

expression
exactly

- F)/dt, for
d
d
d
-(y1FYt- F) = -(y1FYt)- -F(y, y')

derivative

dt

d(y1FY,

dt

dt

the

Consequently,

- F)/dt

the Euler

or,

constant,

result-the

to be the

handle
Moreover,

the

in

applications,

EXAMPLE

Y'2

number.

y(0)

constant

is

terms

are

denote

it by

a2

not be

would

in Sec. 2.4.

'

1
and y(i-r/2)

0. Since

~F,,=-2y'
us

= a2, say]

nonnegative

squares;
where a is a
all

(2.19).

of the functional

constant

to

easier

computational)

that

be illustrated

in (2.21) gives

y2

already

equation,

equation

against
results

= ~ ~ - and
~

substitution

justifiably

(as

may yield
(2.19), as will

conditions

equation

Euler

Find the extremal

with boundary

last

original

analytical

from

left-hand-side

Euler

(2.21)

discernible

thing,

a first-order differential
some circumstances
be

under

than

same

as
=

- y'Fy, = constant

simplified

once-is

may

which

This

y1FYt- F

integrated

direct

be written

amounts

what

(2.21)
This

can

the solution

equation

= 0, with

d(yfFYt

because

the

we

can

nonnegative

real

thus

y'2

The

y2

reader

= a2

with radius
y'

is

will

can

recognize

be plotted

and with center

plotted

constitutes

the

Moreover,

the

against
phase

circular

'phase

Methods

diagrams
of

are

1984, Sec. 14.6. The phase

in

as

diagram,

the

loop

explained

Mathematical

the

for

suggests that it gives rise to

the

circle,

equation
in Fig. 2.3,

at the point of origin. Since

in

line

that

as a

this

shape

of

this

circle

equation.

differential

phase

line

cyclical time path,'

Alpha

Economics,

C.

Chiang,

Fundamental

3d ed., McGraw-Hill,

line here is similar

New

York,

to phase line C in Fig.

14.3 in that section; the time path it implies is shown in Fig. 14.4
CHAPTER 2: THE FUNDAMENTAL

PROBLEM

OF CALCULUS

OF VARIATIONS

FIGURE

2 3

with

the

[-a,a],

period

y
as

2i-r

values

bounded

in

the

closed

interval

a cos function with amplitude a

Such a cosine function can represented
in

and

in

general by the equation

where,
also

aside

the period

our case,

from

and

amplitude

the phase

the period
shows

function

the

two ot parameters

have

should

c are

still unknown,

given boundary
At t

0,

When

curve

cos

be 2i-r; but

to
In

since cosine

~/ b
(obtained by setting
= 1. But the values of a

they must be determined

= a cos c =

the
and

from the

[by the initial

have

(i
+ =
c)

AZ.

Since this equation has complex characteristic

relate

respectively.

have

= ~/ 2we

(%) = a

of function,

which

conditions

we

y(0)
condition]

period of 2

term 2 ~1
we infer that b

bt

a, we

parameter

b and

'

i,the general solution takes the form of

roots

'

r,, r,

y*(t)

and

up

= a cos

conditions

same

with the

fur the arbitrary

definite solution:

y*(t)
For this example,

or

= cos t

the original

(2.19) turns out to be easier

an

alternative,

techniques
2.3).

(such

The

version

but

as

reader

to

also

the circular

will

of the Euler

Euler

use

to

to

have

equation

to

only

phase

diagram

choose

one

present

some

illustrate

the

it

other

in Fig.

appropriate

any

to apply to

equation

(2.18)

than the special

the latter, not

in (2.21). We illustrate

as

+ p sin t

constants a
63 at the values of 1and 0, respectively. Thus, we end

The boundary

particular

problem.

EXAMPLE

points

fixed

smallest

surface

horizontal

may

be

problems

Among

axis?

of

of

revolution

This

interest

curves

the

is

in the development

it

the t

axis

for the desired

through

two

will

generate

the

rotated

about

in physics,

one

is

of

AZ

in
When

manner,

it

earliest

variations

it

Fig.

the

but

the
of

functional,

extremal.

in the stipulated

pass

of the calculus

construct
the
objective
helpful
to consider
the curve
candidate

when

problem

because

To

that

curve

2, which

and

may be
as a

2.4

rotated

each point

about

on curve

traces out a circle parallel to the xy plane, with its

center on the t axis, and with radius R equal to the value
AZ
of

at that point. Since the circumference

of such

circle

calculate

our present case,

we have to do to
sum (integrate)
the circumference over the entire length of the curve AZ.
An expression for the length of the curve AZ can be
obtained with the help of Fig. 2.5. Let us imagine that M
and N represent two points that are located very close to
each
other
on curve AZ. Because of the extreme
proximity
of M and N, arc MN can be approximated
by a straight line, with its length equal to the differential
ds. In order to express ds in terms of the variables y and
t, we resort to Pythagoras' theorem to write (ds)' (dy)'
=
(dt)'.
It follows
that
(d~)~/(d t)
='
(dy)'/(dt)'
1.
is 2aR (in

the surface

of

2ay)

revolution

all

is

to

Taking

or

an

the

explanation

Fundamental

of complex

Methods

t.

roots,

see

Alpha C. Chiang,

of Mathe-matzcal Econom~cs, 3d ed., McGraw-Hill

New York, 1984, See. 15.3. Here

and vt

we

have h

0, and

1; thus, eh'

FIGURE 2.4

\x

1D(Yt; 811

both sides,

we get

dt
yields the desired

as

for ds in terms of

expression

and t

follows:

ds

entire length

+ds,

over

namely
the

functional

of

(1

curve

AZ

+ y'2)1/2 dt.

length

of

yt2)1/2

must

TO

curve

dt

sum
ill

[arc length]

then be

the integral

the circumference
therefore

result

in

of

2~r
the

The

c,, at a ny
legitimate

expression

reader

to "factor

out"

~T R the

should

note

the "2

~ (constant)

that,

while

(variable)

part

must

minimization,

we

may

"y"

it

is

part of the
remain

within the integral sign.

purposes

For

expression

Since F

for the F

is free of

This equation

can

square

t,

2ar and take y(1

+ y'2)1/2

the left-hand

side,

and (4) take the

actually
to.be the

function, with

we may

apply (2.21) to get

be simplified

by taking the following

out yyt2 and -yy'2

both sides and solve for yt2 in terms of

steps: (1) multiply

c,

of

+ y'2)1/2, (2) cancel

through by (1

(3)

the constant

disregard

on
and

square root.

In

The result is

this

last

have

and

integrated
the integral

note

that

the

so

that

each

by itself. The right-hand

side

been

separated,

variables

can

be

side

poses no

of dt being in the simple form t

+ k,

problem,
where

constant. But the left-hand side is more

complicated. In fact, to attempt to integrate it "in the
raw"
would take too much effort; hence, one
should
is

an

we

equation,

arbitrary

consult
find

prepared

tables

of

integration

+k

(and subsuming

Equating

this result

constant

c,

to

with t

Mathematical

William H. Beyer, CRC Press, Boca

in the denominator

without

the

under the

3~e e,
for example, CRC Standard

formulas

the re~ul

affecting

on

the right

the formula,

because

of the log expression

the validity

of

Tables

28th ed., ed. by

Raton, FL, 1987, Formula

may
its

157. The
be omitted

presence or

absence

merely

can

which

makes

be absorbed

any rate. However, by

will come out in a more
2

CHAPTER

difference

amounting

inserting

the

symmetrical

of integration

in the denominator,

our

In c,
c,, at
result

form

PROBLEM

THE FUNDAMENTAL

-c

to the constant

constant

into the arbitrary

OF CALCULUS

OF VARIATIONS

43
k), we have

constant

or

e("k)/c

+ ,ly2- c2
C

[by definition

Multiplying
sides,

of natural log]

both

squaring

sides
both

term, and solving for

desired

by

c,

sides

subtracting

and

canceling

in terms

of

t,

we

from

out

both

the

extremal to be

y* (t)

[e(t+h)/c

e-"+k'/c]

2
[general solution]

where the two constants

using the boundary
This extremal

catenary
[catenary]

curve,

and k

are to

be definitized

conditions.
is

(2.23)

modified

y2

finally find the

form of the so-called

y=i(et+e-')

by

whose

distinguishing

average

the

exponent

one

of

exponent

the

hang

shape

that
fixed

the

from

that

curve

Latin

has been

the

2.4, if

new

we

curve

larger surface
catenoid

have

or

by

it is not certain

the
be

can
a

case

111: F

= F(yf)

on

alone,

many

so

in

make

catenoid)

geometrical

it

clear

be generated.

that

to Fig.

drawn by,

curvature,

When the F

of the derivatives

say, a
a

then

Hence,

the

3''.

function
in (2.19) will

In fact, only the

the Euler equation

becomes

(2.24)

To satisfy this equation,

whether

With reference

already

including
F,,,,and
3''. Fyy,,

2.4.

maximum.

depends

FypPyw(t)

as a

However,

opposite

of revolution

first term remains,

(known

should

curve

the AZ
with

produces

curve AZ in Fig.
our extremal

minimized.

Special

disappear,

rate,

increasing

term

minimized.

cannot possibly

y'

the

term

found

family,

indeed

replace

AZ

the

of

catena, meaning "chain.")

considerations
is

surface

negative

an

at

increases

of revolution

surface

maximized

and intuitive

involves

the positive-exponent

word

we

though

the resulting

it

in which

the

the catenary

of

exact

the

This general shape is illustrated

Even

that

an
average of the two has a
portrays the way a flexible rope will
pegs. (In fact, the name catenary

curve,

on two

comes

is

negative-exponent

ever-decreasing
general

term

a curve

gives rise to

is

terms,

exponential

the other. Since

of

whereas

characteristic

two

of

we must

either have y"(t)

or F

,.,

and y(t)

= 0. If y"(t) = 0, then obviously

= c,t f c2, indicating that the

y'(t)

= c,

EXAMPLE

Find the extremal

with boundary

astute

reader

encountered

conditions
will note

in

that

y(0)
that

this

and

y(T)

in

is

therefore

shortest

distance

functional

with

the

of finding

that

The integrand

dependent

immediately

y'

alone.

the Euler equation,

the

Euler

solution

is

= yl/(l

F,,

We

that the extremal

to examine

is desired
by

on

equation

Fy

r=

this

is

particular

simply

can

In

(1

can therefore
a straight line.

we can use
is

constant.

+ y'2)1/2, we

function,

example

(2.18)

view

of

0,

the

botb sides by

rn

yf in hrms of

+ yt2), rearranging,

(1

and factoring

out y',

we

and

+fact

write (after squaring)

Yt2

Multiplying

conclude

But if

it

explicitly

with

dF,,/dt

y'2)1/2

is

two

of

between

points.
those

3.

of

this

of

curve

the

finding

been

arc length leading to (2.22), we

measures the total length of a curve

(2.25)

extremal

2. The

Example

passing through two given points. The problem

the

has

functional

guise

different

Recalling the discussion

know

of the functional

0,
its

that

c as follows: yt2 = c2/(1

y1=

,,
. ,

- c2). Equivalently,
,/, =

constant

(1- c2)

as

Inasmuch

yl(t)

desired extremal
Strictly

may

which

functional

distance

either

it

the

y(t)

of

is

or

two

an

rather

than

maximized

because

there

is

between

two given points

no

"extremal"

the

obvi ous

given

the

line

minimize

intuitively

a constant

is

straight

have only found

maximize

However

minimized
distance"

we

speaking

between

extremal

the slope

y*(t) must be

points

by

the

such thing

given

that
is

the

indeed

straight-line

as

"the longes

XERCISE 2.2
Find the extremals
1 V[yl
2

V[y]

/i(t2

/,27y'3

of the following functionals

+ y'2)dt, with
dt, with y(0)

y(0)

0 and y(1)

9 and y(2)

11

V[yl
4

y(1)
6

+ yy' + y' +

/,'(y

V[yl

/,bt-3y'2 dt

V[yl

/,'(y2

iYr2)
dt, with

y(0)

2 and y(1)

=5

(Find the general solution only.)

+ 4yy' + 4y'2) dt, with

y(O)

2e1/2 and

+e

V[yl

\,"'2(y2

- Yr2)dt, with

y(O)

0 and y(~r/2)= 1

OF THE

TWO GENERALIZATIONS

EULER EQUATION
previous

discussion

the Euler

of

on an

integral ctional

with

Simple

generalizations

can

of several state variables

the
be

however,

and to the

appear as arguments

derivatives

equation

integrand

case

is based
F(t,

y, y').
case

to the

where her-order

in the F function.

Case of Several State Variables

>

1
state variables

in

given problem, the

functional becomes

46

PART 2. THE CALCULUS

and there will be

pair

of

initial

Any

extremal
yield

the

...,

condition

and terminal

n state variables.
y,*(t),
(4 = 1,
n),
ex-treme path value relative

condition for each of the

definition

OF VARIATIONS

must

by

to all the

paths. One type of neighborone of the functions yJ(t) at a time, say,

y,(t), while all the other yJ(t) functions are kept fixed. Then the functional
depends only on the variation in y,(t) as if we are dealing with the case of a

neighboring

ing path arises from varying only

single

state

(2.18) must

we

variable.

change the

Consequently,

the

Euler

as a necessary condition,
y symbol to y, to reflect the new

still hold

equation

provided
problem.

Moreover,

similarly

functions,

time,

yj

Euler

equations.

the single Euler

set of

can be
one at a

this procedure

other

Thus,

for the

vary

generate

n state

of

(2.18) should

equation

simultaneous

case

used to

to

the

other

variables,

be replaced

by

Euler equations:

[Euler equations]

These

equations

conditions,

will,

us to

enable

along

determine

with

the

boundary

the solutions

y:(t),

y,*(t).

(2.27 )is a straightforward

generalization
equa-tion (2.18)-replacing
the symbol y by
yj-the
same procedure cannot be used to generalize
(2.19) To see why not, assume for simplicity that there
are only two state variables, y and z, in our new
problem. The F function will then be a function with five
of

Although

the Euler

F(t, y,

arguments,
F,,,

and
of

will

be,

z, y',

z'), and the partial derivatives

too.

Therefore,

Fyr( t,
y,z, y', 2') with

terms:

d
-Fyv(t,y, Z y', z')
dt
FyFy'yn(t) Fiy,zn(t

with

similar

five-term

respect

Fty

the

to t

total
will

include

Fyy'yf( t)

expression

for

Fy

derivative
five

FZypzt (t)

dF,,/dt.

The

expanded

version

of

to

corresponding

simultaneous

(2.19)

thus

Euler

looks

equations

much

more

than (2.19) itself:

complicated

+ F,#ytz"(t) + FyyFy1(t) + F,.z'(t) + Fty

Fytypy"(t)

- Fy

(2.28)

Fytz,yn(

+ FztzI~"(t)+ FyZryl(t)+ FZz,zr(t) + FtZt - F,

forall t

1 Find the extremal

EXAMPLE

k om the integrand,
CHAPTER

we

[O,T

of

find that

2: THE FUNDAMENTAL

PROBLEM

OF CALCULUS

OF VARIATIONS

47
Thus, by (2.27),

we

have two simultaneous

Euler

equations

The

same

result

can

also be obtained

In this particular
the Euler
Upon

equations

integration,

Analogously,

case,

one

contains

the

first

the extremal

of

from (2.28)

it happens
yields

is

that each of

variable

=+

y' i
t

exclusively.

c,,

and hence,

constants

The four arbitrary

definitized with the help of

(c,,

..,

c4) can be

four boundary

conditions

relating to y(O), z(0), y(T ), and z(T ).

The Case of Higher-Order

As another
contains

can

generalization,

,. .,

terminal

y', y",

making

values

in this

not only of

up to

and

y,

case, we

single state variable

can

the nth order

containing

present,

the

prescribe
the

Euler

take

care

EXAMPLE

be transformed

into the
the

form

(2.27)
said

or

into

an

in (2.26)

(2.28)

can

F function
of

y up

equivalent

to

form

Transform

conditions

in (2.29 )can be

Consequently,

again

can

transformation

of the boundary

an

and derivatives

state variables and their first-order deriva-

equation

Moreover,

y(*-'),

derivative

tives only. In other words, the functional

transformed

and

conditions.

first note that

boundary

the initial

but also of the derivatives

including

total of 2n boundary

To tackle this

with

are
case

derivatives

should

that

functional

as

many

conditions

derivatives of y(t). Generally, this

high-order

be written

Since

Derivatives

consider

as

the functional

well.

be

the

applied.

automatically

V [y ]= lT(ty2

+ yy' + yr'2)

dt

with

boundary

a, and

yr(T)

this task,

we

conditions

y(0)

A, y(T)

2,

~'( 0=)

P, into the format of (2.26) To achieve

only have to introduce

a new

variable

now

which

new

two state variables

contains

derivatives

higher

than the first

F into the functional

order.

z, with no

and

the

Substitwing

turn the latter into the

will

format of (2.26)
What

y(T)

about

can

can be
new state

y'

for
the

complete

with

format

variable

the

Euler

as

can

the

z:

two conditions

other

as the conditions
= a and z(T) = /3.

(2.291 it

procedure

found

is

also

and

similar

for

(2.29)

[0, T ]

to

it into the

to that

a necessary

for
This

possible

of transforming

Euler-Poisson equation, is

for all t

the

The

z(0)

equation,
be

y(0)

rewritten

instead

(2.26) By
the

For

conditions?

conditions

intact.

functional

directly

extremal

known

kept

directly

the

it

of

deriving

an

be

boundary

y,

the transformation.

Given

deal

the

state variable

original

used

condition

The

in
for

condition,

[Euler-Poisson

equation]

This
order

equation

is

2n. Thus

in general
its

solution

differential

will

involve

equation

2n

of

arbitrary

constants,

can

which

2n boundary
EXAMPLE

an extremal
we have

Find

2. Since

Example

Fy

+ y'

2ty

the Euler-Poisson

which is

with the help

of

of the functional

Fyr= y

Ff

in

= 2y"

differential

equation.

2.3

1 Find the extremal

=
= ~'(1)
=

of

V[y]

/,'(I

yr2) dt, with

y(0)

yf(0)

y(1)

Find

the

extremal

of

only).

the

first

the

equation is

fourth-order

EXERCISE

and

be definitized

conditions.

quadrant,

giving

us an

upward-sl

oping

OPTIMIZATION
OF A MONOPOLIST

.4

DYNAMIC

et

us turn now to

economic applications

of the Euler

=0

equation. As the first xample,

Evans

model

applications

no

ince

shall discuss

firm,

calculus

ne

to economics.*

with

inventory

firm

that

the output

is considered,

single symbol Q(t) to denote both uantities.

on

also

is assumed

(a b

>

to depend not only

the rate of change of price

2.32)

0; h

=+

=a

produces

single

uadratic total cost function5

set equal to the uantity demanded. Hence,

demanded

the classic

of the earliest

Profit Function

monopolistic

commodity

we

monopolistic

of variational

Dynamic
onsider

of

Q is always

we

shall

use a

The quantity

on

price (t),but

P1(t)

- bP(t) + hP1(t

0)he firm's

profit is thus

?T=PQ-C

bP

= P(a - bP + hP') - a(a - bP + hP')' - /3(a + b P) - ywhich is a function of P and P'.

we

have the dynamic

2.33)

out the above expression

Multiplying

r (P

ah2P'2

P')

h(2aa

and ollecting terms,

profit function

+ ab)P2 + (a + 2aab + pb)P

+ @)PI + h(l + 2ab)PP' - (aa2 + pa

-b(l

in the general format

of

50
PART

2: THE CALCULUS

OF VARIATIONS

The Problem
The

objective

of

the firm

is

to find

an

optimal

path

price

of

that maximizes

sufficiently
demand

short to justify

the assumption

and cost functions,

discount

the total profit

rI over a

[0,TI. This period is assumed

finite time period

factor. Besides,

as

as

as,the

well

to be

of fixed
omission

of

the first approach to the

problem, both the initial price Po and the terminal price

are

P,

assumed

to be given

The objective

of the monopolist

Maximize

II[P]

subject to

(2.34)

is therefore

LTT(p, P') dt
P(0)

given)

=P

P(T )

and

to

= Po

(P

(T,PTgiven

The Optimal Price Path

(2.34) pertains

Although

to Special Case 11, it turns out

that for computa tion with specific

to

use

the original

should obviously

Euler equation

substitute

functions

it is simpler

(2.19), where

.rr for F, and

P for

we

y.

From

the profit function (2.339, it is easily found that

and

,,

- = -2 a h2

r rP

= h(l+ 2 a b )

OThese expression turn (2.19)-after

the specific form

,,

normalizing-into

(2.35)

P"

b(l

+ ab) p = - a + 2aab + pb

ah2

2ah2

[Euler equation]
This is a second-order

linear differential

coef- ficients and

with constant
general format

equation

a constant term,

in the

of

Its general solution is known to be6

his type

of differential

Fundamental

Methods

Mathematical

Economics,

equation

is discussed

in Alpha C. Chiang,

of

3d ed., McGraw-Hill,

where the characteristic

roots

New York, 1984, Sec.

r, and r,

take the

values

r,, r2 =
and the particular

integral

Thus, for the Euler equation

(where

a,

0),

we

have

+(-a,

J-)

is

of the present

model

+ ab)

b(l

rl,r2

where

[characteristic

5~

roots]

and

= + 2aab + fib
2b(l + ab)

[particular

the two characteristic

our

common

rewrite

absolute

the solution

(2.36'

may

of each other. We

value

Note that

real and distinct

sign specifications. Moreover,

negatives
the

are

roots

integral]

they

are

the exact

let

therefore

the two roots,

of

under

denote

and

as

P*(t)

= Aler'

+ A2e-rt + F

[general

A, and

A, in (2.36'

solution]
The

can
and

two arbitrary

be definitized

via

P(T )= P,.

successively
equations

in

constants

,
,,,

the boundary

When

(2.36'1

we set t
we get

in the two variables

P
P,

=A

= AlerT

conditions

two

A, and A2

+A +P

+ A2eWrT + F

with solution values

(2.37

P,
A,

-H

(P,

e2rT

P(0 )= Po

0 and

P)erT

simultaneous

-H -

P,

A,

The

solution

P*(t

,
, , , ,, , ,, . .
, ,

parameters

parameters,

Po

h enters

we

our

excep t

into

path

known

h Of these

and

r and only in
can see that its

results, although

price

the

of

signs

specified

completes

entire

through

h2

affect

constants

the

terms

in

the parameter

term

not

for

a P y a

PT

have

(2.36' ) only

path

squared

two

these

specified

al

as

inasmuch

of

the problem

of

now

) is

- F)e-rT

e-2rT

determination

the

will

(P,

the

But

solution

the form

of

algebraic

sign

its numerical value

will

A More General View

Evans'
and

of

formulation

linear

the

are

simply

formulation,

function.

left

written

as

dP

it turns out that

can be used to good

necessary condition

that

can

be given

To

see

the constant

clear-cut

quadratic
In

a more

problem

~nspecified

Case I11

simple

specifies

demand

dynamic-monopolist

functions
is

of the Problem

by

.~
Thus,

P').

cost

study

Tintner,

these

the profit

In

formula

such

advantage. It directly

economic

function
general

(2.21) [for Special

yields

interpretation.

this, first look into the economic

c.

function

general

If profit rr does not depend

on

meaning

of

the rate of

change
static

of price

P'-that

monopoly

dynamic

as

arr/aP'

model-then

we are dealing
a special case

is, if

problem

the
the

of

So the constant

profit.

us therefore denote it
we note that if (2.38)
second term on the left-hand

represents

the static

Let

by

rr,

monopoly

s for

(subscript

static). Next,

is divided through

rr,

side will involve

the

which represents

the partial elasticity

to P'. Indeed, after performing

equation

can

be rearranged

to

0, and (2.38) reduces

rr = c.

with

of

rr

by

with respect

the indicated

division, the

into the

7~erhardTintner, "Monopoly over Time," Econornetnca, 1937, pp.

160-170. Tintner also tried to generalize the Evans model to the case
where T depends on higher-order derivatives of P, but the economic
meaning of the result is difficult to interpret.

The Matter of the Terminal

Price

The foregoing

on

discussion

is based

the assumption

the terminal price P(T) is given. In reality,

firm is likely to have
though the terminal
face

the

Fig.

1.5a, where

must

be

condition.

discretionary
time T

replaced
We

boundary

by
shall

an

over

has been preset.

variable-terminal-point
the

control

situation
condition

appropriate

develop

such

that

however,

If

P(T)

so,

the

even

it will

depicted
P(T)

in

P,

transversality
transversality

in the next chapter.

conditions

EXERCISE

2.4

the monopolistic

1 If

linear demand
(h

O)

price

and

P,,

compare

values

price

will

the

model faces

firm

charge

for

static

profit

Call that

maximization?

Then

what

firm in the Evans

of

checkthat

it has the

correct

algebraic

sign

the
P,

and

P, and

give

the

particular

integral

in

an

economic
interpretation

(2.36)
2

that

Verify

A, and A, should indeed have the values

shown

in (2.37)
3

Show that

the extremal

the direction of
price movement
to
T

<

P*(t )will not involve

that

A,erLo

A,eCr'0

[i.e. satisfying

that the first two

terms
4

If

on

the right-hand side of (2.36')

the coefficients

the P*(t)

,
.

A, and

will take the shape of

are

A, in (2.36')

curve

the lowest point

reversal in

in the time interval (0, T 1unless there is

<

such

a catenary

the

equal at t

are

Compare

both

a value

condition

= to]
positive

the location

of

on

curve

the price

(b)A,

= A,,

involve

Find

formula
6

the

the remaining

equation

of

cases?

the Evans

for

type

[O,T] ? What

interval

characterizes

the Euler

cases :(a )A, > A,,

cases can possibly

three

Which of these

problem

by

using

(2.18)

If

< A,.

price reversal in

movement

price

in the following

and (c )A,

rate p

discount

any

P') at

integrand

point
in

of

>

D is used to convert

to

time

(2.34 ) will

present

its

take

the

general

dP

the profit

value,

then

the

form

dP

P')e-pf

case,

(a) In that
(b )Apply

new

is formula (2.21) still applicable?

(2.19 ) to this

formula

F expression

to derive

the

equation

and

Euler
equation

(el

Apply

express

result

derive

the

Euler

as a

rule regarding the rate of growth of q,

AND

TRADING OFF INFLATION

UNEMPLOYMENT

2.5

The
economic
unemployment
tradeoff

exists

combination
The

(2.18 ) to

formula

the

simple

paper

of

inflation

this

by Taylor.'

as

and

question

variations.

formulation

variable

the two, what

between

of

answer to

calculus

maladies
of
both
inflation
and
inflict
social losses. When
a Phillips

of

In
such

may

be

this

included;

sought

section

problem

In this formulation,

such is not

would

unemployment

we

be the best

over

time?

through

the

a
a

present

adapted

from

the unemployment

instead,

it is proxied

by

(Yf

Y)-the

shortfall

current

of

from its full-employment

national

income

level Yf.

The Socid Loss Function

Let

the

coupled

or

economic

negative,

of actual

undesirable,

and

inflation

p from

function

as

Because

the

weights,
degrees

income

deviation

income

level

deviation,
Yf

from

Prob.

do

enter

are

2).

the

in the ratio

are

expressions

devia-tions

is

Policiea

ofMacroeconomics,

considered

rate

actual

of

the social loss

of

counted

However,

loss

1
to

squared,

deviations

function

a,

positive

same way

the

with

reflecting

(cf.

and

different

the different

Inflation in the Dornbusch

Model: Optimal

with Alternate Price-Adjustment Equations," Journal

Spring 1989,

pp.

199-216.

In

our

adapted version,
CHAPTER

FUNDAMENTAL

55

Yf

positive

of distaste for the two types of deviations.

"~ean
Taylor, "Stopping
Monetary

the

of

so is any deviation of
zero. Then we can write

1.3,

deviations

consist

follows:

and negative
Exercise

ideal

the inflation rate 0. Any

with

PROBLEM

OF CALCULUS

OF VARIATIONS

we

THE

The expectations-augmented

- Y) and

between (Yf

is captured

Phillips tradeoff

in the equation

p=

-p(Yf

+a

Y)

where

n, unlike its usage in the preceding

means

the

inflation

tion.

expected

expectations

The

(p > 0)
section,

now

formation

of

to be

is assumed
dP

z)
= j(p -n)

i(=

(O

< j i1)

If the actual

rate of
then

n'

>

rate of inflation

inflation

0, and

be

an

an

be

will be revised

other hand, the actual rate

ng .rr to

exceeds

a to

(proving

the expected
underestimate),

upward; if,

on

overestimate),

then n'

< 0,

and rr will be revised

The last two equations

together
n'

which

can

be rearranged

the

falls short of the expected

imply that

-pj(Yf

- Y)

as

P
n'

Yf-Y=

When substituted

into (2.401, (2.42) yields

n'

p=

+n

And, by plugging (2.42) and (2.43) into (2.39),

to

express

the loss function entirely

2

(2.44)

A(P, n')

( $) +

we are

in terms of

a(;

able

n and

nl

P)

[loss function]

The Problem
The

problem

optimal

over
of

path

is

importance

discount

at

[O, TI

of the present

to

The

is

( rr,

>

over

the future

present

their

kT~(rr,
lip)e-@ d
subject

0 given

to

find

social

value

of

an

loss
value

n a

to be set at 0 To recognize the

values

rate p

(2.45)

total

initial (current)

Minimiz
A[rr]

then

the

no and the terminal

is assumed

discounted

. .
,

government

n that minimizes

interval

given

target

the

, ,

the time

policy

are

for
of

to

rr(0)

= rr

all social losses

via

positive

and

a(T)

=0

( T given

The Solution Path

On the basis of the loss function

A(P, .rrr)e-fi

function

with

ma dderivatives
Fvri

F,,

(2.44), the integrand

yields the first derivatives

e-pt

2(%)

2a

-e-~t
J

and

+ ap2

Consequently,

simplification)

necessary
(2.46)

formula

(2.19)

gives

us

the specific

condition

rr"

- prr'

fi
r

(after

[Euler equation]

where

ap2j(p

Since this differential

particular

is

zero,

+ j)

+ apZ

equation

is homogeneous,

integral

and its general solution is simply its

complementary

function:

(2.47)

rr*(t)

= Aler''

A2er2'

r,, r, = f

where
The characteristic
Moreover,

inasmuch

square root

has

roots

as

are

(p k

[general

solution]

dm

real and distinct.

the

numerical

value greater

than

p, we

know that
(2.48)

r, >

and

r,<O

its

To definitize
successively

boundary

the arbitrary

set= 0 and t

constants

A, and A,,

T in (2.47), and

A, +Az

= rr,

us

-rroerzT
A,

the

to get the pair of lations

conditions

AlerlT
A2erzT = 0
olved simultaneously, these relations give

.49)

use

IT

rroerlT

- e r~

A2

erlT

er

we

verified Prom the derivative

Having

some

+ r2A2erz'

rr*'(t)

= r,A,erlt

found

rr*(t) and rr*'(t),

conclusions

regarding

<

we can

and (Yf

also derive

Y). For these,

(2.43) and (2.42), respectively.

we can

use

simply

the relations

in

2.5

EXERCISE

1 Verify the result in (2.46) by using Euler equation

(2.18).

.45)

be

Let

the

objective

j:ih(~,
(a) Do

functional

in

problem

(2

to

changed

rr)e-pt dt.

you

think the solution of the problem will be

different?

you

(b) Can

coefficient

changed

of

any

advantage

in including

Let the terminal

condition

in problem

(2.45) be

to T(T)= rT
0

<

TT

< TO

(a9 What

(b) Can

and A,?

think

in the
integrand?

would be the values of

you

ambiguously

A, and A,?

evaluate the signs of

A,