Optimal Control: Solving Continuous Time Optimization Problems скачать в хорошем качестве

Optimal Control: Solving Continuous Time Optimization Problems

Here we discuss the optimal control approach to solving continuous time optimization problems. The approach follows Section 2 of Part II of "Dynamic Optimization", a classic book by Kamien and Schwartz. In the future and in class we will discuss applications. Not discussed here is the terminal condition. In many contexts there will be a steady state to which we converge. In others there will be a transversality condition. Note that here I wrote that the limit of lambda(t) should go to zero, this would be correct if the horizon were finite. The appropriate terminal conditions in general for these problems with an infinite horizon is an open topic.