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Elphego Torres
OPTIMIZACIÓN DINÁMICA
Profesor(a):
YAÑEZ JIMENEZ CARLOS ALBERTO
2018
Z T
máx J = e−δt F (x, u) dt (1.2)
{u(t)} 0
ẋ = g(x, u)
x(0) = x0
x(T ) = xT
Hc = Heδt or H = Hc e−δt
µ = λeδt or λ = µe−δt
Now reconsider our five optimality conditions. Since eδt is a constant for a
change in the control variable, then condition (i) is simply ∂Hc /∂u = 0.
The second condition is less straightforward. We have
∂H ∂Hc −δt
λ̇ = − =− e
∂x ∂x
From λ = µe−δt
λ̇ = µ̇e−δt − δµe−δt
Equating these we have
∂Hc −δt
− e = µ̇e−δt − δµe−δt
∂x
∂Hc
or µ̇ = − + δµ
∂x
Condition (iii) is
∂Hc
δt ẋ = = g(x, u)
Hc (x, u) = H(x, u)e ∂µ
= F (x, u) + µg(x, u) 4
when λ = µe−δt .
Then the x(0) = x0
optimality conditions are:
5
1
∂Hc
=0 0≤t≤T µ(T )e−δt = 0 (or x(T ) = xT )
∂u
Z t1
máx F (t, x, u)e−δt dt
u∈U ⊆R t0
ẋ = g(t, x, u)
x(t0 ) = x0 (1.6)
(a) x(t1 ) = x1
(b) x(t1 ) ≥ x1
(c) x(t1 ) free
The new feature is the explicit appearance of the discount e−δt . For such
problems it often convenient to formulate the maximum principle in a
slightly different form. The ordinary Hamiltonian is
H = p0 F (t, x, u)e−δt + pg(t, x, u). Multiply it by eδt to obtain the current
value Hamiltonian Hc = Heδt = p0 F (t, x, u) + eδt pg(x, t, u). Introducing
µ = eδt p as the current value shadow price for the problem, one can
write Hc in the form (where we put p0 = µ0 )
Theorem (1)
or (more generally)
H
b c (t, x, µ(t)) = máx Hc (t, x, u, µ(t)) is concave in x (Arrow)
u∈U
Z 10
x − u2 e−t dt
1 opt
0
ẋ = x + u
(2.1)
1
x(0) =
2
x(10) = 0
Hc = x − u2 + µ(x + u)
µ(t) = −t + k1 t 9
x∗ (t) = − + 5et
2 2
transversality condition:
and
µ∗ (t) = 10 − t (2.4) u∗ (t) = 5 − 0.5t
so
k1 et (t + 1) + k2 et 3 k1 tet + k2 et
µ(t) = −
2 2
Elphego Torres (IPN) Escuela Superior de Economı́a 2018 14 / 27
Exercises
k1 = −2 k2 = 3
Finally
5
u2 x2
Z
3 opt − + xu − e−3t dt
0 2 2
ẋ = u (2.14)
x(0) = 1
µ(5) = 0
ẋ − x = 0 u∗ (t) = et
Z2 " 2 #
1
4 opt x− + u2 e−3t dt
2
0
(2.17)
ẋ = 3x − 2u
x(0) = 2
µ(2) = 0
The current value Hamiltonian is
2
1
Hc = x − + u2 + µ(3x − 2u)
2
with optimality conditions From (1) we have u = µ, which when
substituted into (3) gives ẋ = 3x + 2µ.
∂Hc Thus we have two differential equations
1 = 2u − 2µ = 0
∂u
2 µ̇ = 1 − 2x
ẋ = 3x − 2µ (2.18)
3 ẋ = 3x − 2u µ̇ = 1 − 2x (2.19)
0
from (2.18): µ = 3x x
2 − 2 : factoring:
3x x0
d
µ= − (r − 1)(r + 4) = 0
dt 2 2
3x0 x00 .
µ0 = − (2.20) The roots r1 = −1 and r2 = 4, are real
2 2
substituting (2.20) in (2.19) and distinct, thus our particular
solution is −2/ − 4 = 1/2, so the
3x0 x00 general solution
− = 1 − 2x
2 2
normalizing
1
x(t) = k1 e−t + k2 e4t + (2.22)
2
x00 − 3x0 − 4x = −2 (2.21)
We can solve the characteristic 3x x0
we know that µ = 2 − 2 ∴
equation
3x(t) x0 (t)
r2 − 3r − 4 = 0 µ= −
2 2
that is to say
3 1 1
k1 e−t + k2 e4t + −k1 e−t + 4k2 e4t
µ(t) = −
2 2 2
simplifying
k2 e4t 3
µ(t) = 2k1 e−t − +
2 4
applying the conditions, we have
" #
e2 + 4 e4t + e10 − e2 e−t
∗ 3 1
x (t) = +
2 e10 + 4 3
" #
3 −e2 − 4 e4t + 4 e10 − e2 e−t
∗ ∗
u (t) = µ (t) = +1
4 e10 + 4
A − δI = 3 − δ −2
−2 −δ
= δ(δ − 3) − 4
= δ 2 − 3δ − 4 = 0
= (δ + 1)(δ − 4) = 0,
δ1 = 4 δ2 = −1.
The eigenvector for δ1 :
−1 −2 a 0
A − δ1 v1 = 0 = = ,
−2 −4 b 0
then:
−1 −2 0 Gauss/Jordan 1 2 0
−−−−−−−−−→ .
−2 −4 0 0 0 0
The eigenvector of δ1 is:
−2
v1 = .
1
4 −2 c 0
A − δ 2 v2 = 0 = = ,
−2 1 d 0
then:
− 12
4 −2 0 Gauss/Jordan 1 0
−−−−−−−−−→ .
−2 1 0 0 0 0
The eigenvector of δ2 is:
1
v2 = .
2
The homogeneous solution is:
x(t) −2 4t 1 −t
= k1 e + k2 e .
µ(t) h 1 2
3x − 2µ = 0 (2.23)
− 2x + 1 = 0 (2.24)
from (2.24):
1
x= ,
2
substituting the value of x in (2.23):
3
µ= .
4
Finally
" #
e2 + 4 e4t + e10 − e2 e−t
∗ 3 1
x (t) = +
2 e10 + 4 3
" #
3 −e2 − 4 e4t + 4 e10 − e2 e−t
∗
µ (t) = +1 .
4 e10 + 4
Z20
4K − u2 e−0.25t dt
5 máx
u≥0
0
(2.25)
K̇ = −0.25K + u
K(0) = K0
K(20) is free
Economic interpretation: K(t) is the value of machine, u(t) is the repair effort,
4K − u2 is the instantaneous net profit at time t, and e−0.25t is the discount
factor
Solution: The current value Hamiltonian is: Hc = 4K − u2 + µ(−0.25K + u)
(with µ0 = 1), and so ∂H ∂Hc
∂u = −2u + µ and ∂K = 4
c
− 0.25µ. Assuming that
∂Hc∗
u (t) > 0 (we thy assumption in the following), ∂u = 0, so u∗ (t) = 0.5µ(t).
∗
It follows that