Mathematics for Economists

(Greg DeLong) #1

Optimal control


Example


Study the problem
Z 2
0

u^2 xdt!max, x=u,x( 0 )= 0 , 0 u 1.

The Hamiltonian isH(t,x,u,p)=u^2 x+pu.One cannot use the
Mangasarian theorem asu^2 is convex and not concave.
dp
dt =H

0
x=^1. )p(t)=t+C.

Asx( 2 )is freep( 2 )=0 that is 2+C=0 soC= 2 ,

p(t)=t 2.
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