2-STAGE OPTIMAL-CONTROL PROBLEMS WITH AN EXPLICIT SWITCH POINT DEPENDENCE - OPTIMALITY CRITERIA AND AN EXAMPLE OF DELIVERY LAGS AND INVESTMENT
2-STAGE OPTIMAL-CONTROL PROBLEMS WITH AN EXPLICIT SWITCH POINT DEPENDENCE - OPTIMALITY CRITERIA AND AN EXAMPLE OF DELIVERY LAGS AND INVESTMENT
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DOI：
10.1016/0165-1889(89)90027-4
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发表时间：
1989-07-01
影响因子：
1.9
通讯作者：
ROSSANA, RJ
中科院分区：
文献类型：
--
作者：
TOMIYAMA, K;ROSSANA, RJ
本文为解决两阶段最优控制问题提供了必要条件，其中切换点是选择变量，并且切换点作为每个积分中被积函数的自变量出现，其中包括要最大化的准则指标。这类问题已经出现在可耗竭资源和新古典投资文献中。利用解决这些问题所需的条件，我们分析了存在交付滞后情况下的最优投资示例，并展示了最佳切换点（交付滞后）如何响应外生参数的变化。
This paper provides necessary conditions for the solution of two-stage optimal control problems where the switch point is a choice variable and where the switch point appears as an argument of the integrands in each integral which comprise the criterion index to be maximized. Problems of this variety have arisen in the exhaustible resource and neoclassical investment literature. Using the conditions necessary for the solution of these problems, we analyze an example of optimal investment in the presence of delivery lags and show how the optimal switch point (delivery lag) responds to shifts in exogenous parameters.