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infinite horizon

A Maximum Principle for Smooth Infinite Horizon Optimal Control Problems with State Constraints and with Terminal  Constraints at Infinity

A Maximum Principle for Smooth Infinite Horizon Optimal Control Problems with State Constraints and with Terminal Constraints at Infinity

... smooth infinite horizon optimal control prob- lems with unilateral state constraints (pathwise constraints) and with terminal conditions on the states at the infinite ...

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Equilibria Immune to Deviations by  Coalitions in Infinite Horizon Non Cooperative Games

Equilibria Immune to Deviations by Coalitions in Infinite Horizon Non Cooperative Games

... most infinite horizon non-cooperative games with discounting of future single period payoffs studied in the literature all players are at the same ...an infinite horizon game with different ...

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Infinite Horizon Discrete Time Control Problems for Bounded Processes

Infinite Horizon Discrete Time Control Problems for Bounded Processes

... For continuous time problems, one does not need conditions to obtain a strong Pontryagin maximum principle, both in the finite horizon case see, e.g., 18 and in the infinite horizon case see, e.g., 5 ...

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Optimality criteria for deterministic discrete time infinite horizon optimization

Optimality criteria for deterministic discrete time infinite horizon optimization

... We consider the problem of selecting an optimality criterion, when total costs diverge, in deterministic infinite horizon optimization over discrete time. Our formulation allows for both discrete and ...

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Energy Portfolio Management with Entry Decisions over an Infinite Horizon

Energy Portfolio Management with Entry Decisions over an Infinite Horizon

... Climate change is now recognized as the major environ- mental problem facing the world. The factor of most concern that causes climate change is the increase in carbon dioxide levels due to emissions from fossil fuel ...

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Infinite horizon optimal impulsive control with applications to Internet congestion control

Infinite horizon optimal impulsive control with applications to Internet congestion control

... investigate infinite horizon deterministic optimal control problems with both gradual and impulsive controls, where any finitely many impulses are allowed ...

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An infinite horizon stochastic maximum principle for discounted control problem with Lipschitz coefficients

An infinite horizon stochastic maximum principle for discounted control problem with Lipschitz coefficients

... A BSTRACT . In the present work, a stochastic maximum principle for discounted control of a certain class of degenerate diffusion processes with global Lipschitz coefficient is investigated. The value function is given ...

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A linear programming approach to constrained nonstationary infinite horizon Markov decision processes

A linear programming approach to constrained nonstationary infinite horizon Markov decision processes

... of infinite-horizon constrained MDPs with nonstationary problem data, finite state space, and discounted cost ...countably infinite linear program (CILP), ...countably infinite number of ...

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Optimal Preview Control for a Class of Linear Continuous Stochastic Control Systems in the Infinite Horizon

Optimal Preview Control for a Class of Linear Continuous Stochastic Control Systems in the Infinite Horizon

... the infinite horizon cannot be directly employed when solving the optimal regulation problem in this ...finite horizon with the new performance index and then the time was set to approach ...

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Revealing the naked truth behind price determinacy, infinite horizon rational expectations, and inflation targeting

Revealing the naked truth behind price determinacy, infinite horizon rational expectations, and inflation targeting

... to infinite horizon problems generally with the use of examples and models from ...conditions. Infinite horizon existence results generally follow from carefully relating a finite ...

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Convergence of trajectories in infinite horizon optimization

Convergence of trajectories in infinite horizon optimization

... an infinite time ...to infinite horizon optimization which is the problem of selecting an infinite sequence of decisions such that the associated cost over an unbounded horizon is ...

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An infinite horizon model of dynamic membership of international environmental agreements

An infinite horizon model of dynamic membership of international environmental agreements

... There is now an extensive literature on international environmental agreements (see Barrett (2002) and Finus (2001) for excellent recent books summarising this literature). Yet, with a few exceptions discussed below, ...

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An Algorithm for Infinite Horizon Lot Sizing with  Deterministic Demand

An Algorithm for Infinite Horizon Lot Sizing with Deterministic Demand

... finite horizon inventory models with deterministic but non-stationary demand (see, for example, ...planning horizon with the life cycle of the purchased ...planning horizon of the ...an ...

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Dividend taxation in an infinite horizon general equilibrium model

Dividend taxation in an infinite horizon general equilibrium model

... The interplay between financial market and production sector is an important issue to understand the real effects of the financial sector. On the one hand, as mentioned in Kiyotaki and Moore (1997), the financial ...

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Infinite horizon stopping problems with (nearly) total reward criteria

Infinite horizon stopping problems with (nearly) total reward criteria

... We study an infinite horizon optimal stopping Markov problem which is either undiscounted (to- tal reward) or with a general Markovian discount rate. Using ergodic properties of the underlying Markov ...

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The compromise efficiency vs  egalitarianism among generations with an infinite horizon

The compromise efficiency vs egalitarianism among generations with an infinite horizon

... This paper concerns ethical aggregation of infinite utility streams. Position i is typ- ically interpreted as the endowment of generation i. We analyze the broad question: In order for the social welfare to ...

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Existence and uniqueness of solutions for a class of
infinite horizon systems derived from optimal control

Existence and uniqueness of solutions for a class of infinite horizon systems derived from optimal control

... The existence and uniqueness of solutions for system (1.3) is a very interesting ques- tion; if solutions to (1.3) are unique, then the optimal control for system (1.1)-(1.2) can be solved analytically or numerically ...
A Bayesian DSGE Model with Infinite Horizon Learning: Do "Mechanical" Sources of Persistence Become Superfluous?

A Bayesian DSGE Model with Infinite Horizon Learning: Do "Mechanical" Sources of Persistence Become Superfluous?

... Milani (2004b), following most of the adaptive learning litera- ture (Evans and Honkapohja 2001, Bullard and Mitra 2002, among others), derives the model under rational expectations; he then intro- duces subjective ...

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Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE

Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE

... 1. Introduction. This paper contributes to the study of homothetic forward performance processes, namely, of power, exponential and logarithmic type, in a stochastic factor market model. Stochastic factors are frequently ...

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InfSOCSol2: an updated MATLAB package for approximating the solution to a continuous time infinite horizon stochastic optimal control problem

InfSOCSol2: an updated MATLAB package for approximating the solution to a continuous time infinite horizon stochastic optimal control problem

... SimulationTimeStep: For 10000 equidistant time steps each of size 0.01 this can be specified as ones(1,10000)/1000. This determines a horizon of length 10. In order to obtain a good approximation for the problem, ...

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