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Stochastic Convexity in Dynamic Programming
Atakan, Alp - 2006
This paper explores sufficient conditions for a continuous stationary Markov optimal policy and a concave value function in stochastic dynamic programming problems. Also, the paper addresses conditions needed for the differentiability of the value function. The paper uses conditions such as...
Persistent link: https://www.econbiz.de/10014055370
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The Deterministic Impulse Control Maximum Principle in Operations Research : Necessary and Sufficient Optimality Conditions
Chahim, Mohammed - 2011
necessary optimality conditions of the Impulse Control Maximum Principle based on the current value formulation. By reviewing … is that the corresponding problem in principle has multiple solutions that satisfy the necessary optimality conditions …. Moreover, we argue that problems with fixed cost do not satisfy the conditions under which the necessary optimality conditions …
Persistent link: https://www.econbiz.de/10013125670
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Numerical Algorithms for Deterministic Impulse Control Models with Applications
Grass, Dieter - 2012
In this paper we describe three different algorithms, from which two (as far as we know) are new in the literature. We take both the size of the jump as the jump times as decision variables. The first (new) algorithm considers an Impulse Control problem as a (multipoint) Boundary Value Problem...
Persistent link: https://www.econbiz.de/10013099159
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Non-Existence of Optimal Programs in Continuous Time
Fabbri, Giorgio - 2016
We report an example of a two-dimensional undiscounted convex optimal growth model in continuous time in which, although there is a unique “golden rule”, no overtaking optimal solutions exists in a full neighbourhood of the steady state. The example confirms a conjecture advanced in 1976...
Persistent link: https://www.econbiz.de/10012984082
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On History-Dependent Optimization Models : A Unified Framework to Analyze Models with Habits, Satiation and Optimal Growth
Morhaim, Lisa; Ulus, Aysegul Yıldız - 2021
In this paper, we first provide a framework for history-dependent utility models. We further consider discrete infinite horizon dynamic optimization programs in which the instantaneous payoff presents such historydependence. Habits are a particular case of history-dependence. An issue about...
Persistent link: https://www.econbiz.de/10013217659
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Optimality Criteria of Economic Growth as Examples of Optimal Resource Allocation Over Time
El-Hodiri, Mohamed Ali - 2015
the integral defining the optimality criterion. Optimal programs were characterized in terms of market equilibria at each … of centralization of planning and decentralization of implementation (this closely relates to polycenterism advocated by …
Persistent link: https://www.econbiz.de/10013030147
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Capital growth under transaction costs : an analysis based on the von Neumann-Gale model
Bahsoun, Wael; Evstigneev, Igor V.; Taksar, Michael I. - 2008
In the recent work of Dempster, Evstigneev and Taksar (2006) it has been shown that the von Neumann-Gale model of economic dynamics can serve as a convenient and natural framework for the analysis of questions of asset pricing and hedging under transaction costs. The present article focuses on a...
Persistent link: https://www.econbiz.de/10003961438
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An Optimal Solution to a Resource Allocation Problem under COVID-19 Financial Constraints
Kamdem, Bruno - 2021
optimal solution under the constraints created by COVID-19. The optimality conditions and KKT conditions are derived under a …
Persistent link: https://www.econbiz.de/10013214164
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On development paths minimizing the aggregate labor-reallocation costs in the threesector framework and an application to structural policy
Stijepic, Denis - 2019
Cross-sector labor reallocation is associated with costs at the micro level ranging from the costs of geographical relocation and skill change/adaptation to unemployment. We show that monotonous reallocation paths minimize the aggregate reallocation costs in the three-sector framework (relating...
Persistent link: https://www.econbiz.de/10012265652
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Infrastructure Shortage : A Gap Approach
Albala-Bertrand, José Miguel - 2002
We propose a method to estimate both whether there is an overall infrastructure shortage and the optimal share of infrastructure in gross fixed capital formation (GFCF). This is based on a two-gap model and linear programming, and is illustrated with the case of Mexico (1950-1985). The results...
Persistent link: https://www.econbiz.de/10014181595