Working Paper Department of Economics "a Dual Maximum Principle for Discrete-time Linear Systems with Economic Applications"
نویسنده
چکیده
A discrete-time linear optimal control problem with given initial and terminal times, state-control constraints, and variable end points is set forth. Corresponding to this primal control problem, or maximization problem, is a dual linear control problem, or minimization problem. The fundamental properties of duality are stated. A dual maximum principle is proved with the aid of the duality theory of linear programming, where the dual of the Hamlltonian of the primal control problem is the Hamiltonian of the dual control problem. A discrete-time analogue of the Kami 1ton-Jacob 1 equation is derived; and economic applications are discussed.
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تاریخ انتشار 2011