2 edition of **Efficient optimum savings programme in a finite time horizon** found in the catalog.

Efficient optimum savings programme in a finite time horizon

Taradas Bandyopadhyay

- 19 Want to read
- 5 Currently reading

Published
**1975**
by Dept. of Economics, McMaster University in Hamilton, Ont
.

Written in English

- Saving and investment -- Mathematical models.

**Edition Notes**

Bibliography: leaves 18-19.

Statement | Taradas Bandyopadhyay. |

Series | Working paper / Department of Economics, McMaster University -- no. 75-10, Working paper series (McMaster University. Dept. of Economics) -- no. 75-10. |

Classifications | |
---|---|

LC Classifications | HB501 .B227, HB501 B24 |

The Physical Object | |

Pagination | 19 leaves. -- |

Number of Pages | 19 |

ID Numbers | |

Open Library | OL19173549M |

() Finite-horizon optimal consumption and investment problem with a preference change. SIAM Journal on Control and Optimization , () Book Review. Continuous-Time Finance. Robert C. Merton. Review of Financial Studies , Cited by: Constructing the Optimal Solutions to the Undiscounted Continuous-Time Infinite Horizon Optimization Problems Dapeng CAI 1,∗ and Takashi Gyoshin NITTA 2 1 Institute for Advanced Research, Nagoya University, Furo-cho, Chikusa-ku, Nagoya, , Japan; [email protected] 2 Department of Mathematics, Faculty of Education, Mie University, Cited by: 8.

Problem – can be viewed as a finite-time optimal control problem with a performance index based on 1-norm or ∞-norm for a linear time-varying system with time-varying constraints and can be solved by using the multiparametric linear program as described in Borrelli ().Cited by: In finite time horizon, a sufficient condition is derived for the optimal control problem, and an algorithm with the method of binary decomposition is proposed. Moreover, we prove the existence of optimal control for discounted problems over an infinite time horizon, and a new algorithm is presented to design corresponding optimal by:

The Ramsey–Cass–Koopmans model, or Ramsey growth model, is a neoclassical model of economic growth based primarily on the work of Frank P. Ramsey, with significant extensions by David Cass and Tjalling Koopmans. The Ramsey–Cass–Koopmans model differs from the Solow–Swan model in that the choice of consumption is explicitly microfounded at a point in time . Under an infinite-time horizon, an order interval can be of any positive length. If the planning horizon is finite, however, the order interval is restricted by the planning horizon. Since no holding inventory is economical at the end of the horizon, the optimal order interval calculated in the infinite case might not apply to the finite by:

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Chakravarty, S. The existence of an optimum savings program. Econometr January, – CrossRef Google Scholar. Chakravarty, S. Optimal savings with finite planning horizon. International Economic Review C.C.

The existence of optimal programmes of accumulation for an infinite time horizon. Review of Economic. Perhaps the earliest of these was F.

Ramsey who, in his seminal work on a theory of saving inconsidered a dynamic optimization model defined on an infinite time horizon. Briefly, this problem can be described as a "Lagrange problem with unbounded time interval". an optimal savings programme and the property that it is efficient, have nowhere appeared in the literature either in the context of an infinite or in that of a finite time horizon : Taradas Bandyopadhyay.

Furthermore, we have given a rigorous characterization of an optimal savings programme as being efficient. Rigorous proof of uniqueness of an optimal savings programme and the property that it is efficient, have nowhere appeared in the literature either in the context of an infinite or in that of a finite time horizon model.

In this paper, we propose and solve an optimal dividend problem with capital injections over a finite time horizon. The surplus dynamics obeys a linearly controlled drifted Brownian motion that is reflected at the origin: dividends give rise to time-dependent instantaneous marginal profits, whereas capital injections are subject to time-dependent instantaneous marginal by: 2.

Existence of finitely optimal solutions for infinite-horizon optimal control problems Article (PDF Available) in Journal of Optimization Theory and Applications 51(1). Consumption and habit formation when time horizon is finite. This paper provides a closed-form solution under labour uncertainty for optimal consumption and the value function in a finite horizon life-cycle model with habit : Viola Angelini.

We clarify the conditions under which the limit of the solutions for. the finite horizon problems is optimal among all attainable paths for the infinite horizon. problems under the overtaking criterion, as well as the conditions under which such a.

limit is the unique optimum under the sum-of-utilities by: 7. The limit of the solutions for the finite horizon problems is not always optimal for the infinite horizon problems. In this paper, we provide some special conditions that ensure its validity. Limit of the Solutions for the Finite Horizon Problems as the Optimal Solution to the Infinite Horizon Optimization Problems.

A 'read' is counted each time someone views a publication summary (such as the title, abstract, and list of authors), clicks on a.

Optimal Control and Observation Locations for Time-Varying Systems on a Finite-Time Horizon Quasiconvexification in W 1,1 SIAM Journal on Numerical AnalysisAn efficient and long-time accurate third-order algorithm for the Stokes–Darcy by: We model this savings allocation problem as a two-dimensional dynamic program and iteratively solve this finite-horizon problem, starting at the termination time (the last period of individual life) and working backwards to the by: Suppose the cost up to the time horizon h is given by C = G(U h−1) = G(u 0,u 1,u h−1).

Then the principle of optimality is expressed in the following theorem. Abstract. For a one sector model with the planner’s preferences given by a sum of one period concave utility functions with arbitrary time dependence and production conditions given by concave production functions with completely general technical change we show: (i) in an optimal T period program an increase in final stock requirements implies investments must be Cited by: Sequential Strategy Finite Horizon Gaussian Process Model Approximate Dynamic Program Finite Time Horizon These keywords were added by machine and not by the authors.

This process is experimental and the keywords may Cited by: This paper is concerned with the necessary and sufficient conditions for the Pareto optimality in the finite horizon stochastic cooperative differential game.

Based on the necessary and sufficient characterization of the Pareto optimality, the problem is transformed into a set of constrained stochastic optimal control problems with a special Cited by: 5. While the above authors consider maintenance strategies over an infinite time horizon, Cheng et.

al develop finite time models for TBM and CBM strategies in [11] and[12]. In their models, the. Part of the Lecture Notes in Computer Science book series (LNCS, volume ) In the context of Markov decision processes running in continuous time, one of the most intriguing challenges is the efficient approximation of finite horizon reachability by: Optimal Policy A policy ˇ is an optimal policy if vˇ N (s) vˇ N(s); 8s 2S;ˇ2 HR: The value of a Markov decision problem is de ned by v N(s) sup ˇ2 HR vˇ N(s); 8s 2S: We have vˇ N (s) = v N (s) for all s 2S.

Dan Zhang, Spring Finite Horizon MDP 4. This shows that it is only the initial conditions that determine the relevant turnpike for long-time finite-horizon programs.

s One can verify these statements rigorously by noting that if T is made sufficiently large, we can reach in finite time any kT from any ko over the range 0 5 k Cited by:.

Abstract. How much should a nation save or, to put it differently, what is the optimal rate of growth? This question is at the heart of the extensive literature on ‘optimum savings’ which developed as a complement to the literature on descriptive growth models in the s and s.Optimal Purchasing Policy For Mean-Reverting Items in a Finite Horizon Alon Dourban and Liron Yedidsion Technion ŒIsrael Institute of Technology Abstract In this research we study a –nite horizon optimal purchasing problem for items with a mean reverting price process.

Under this model a –xed amount of identical items are bought under a.Finite Horizon Problems means that if it is optimal to stop with a candidate at j, then it is optimal to stop with a candidate at j +1,since (j +1)/n > j/n ≥ W j ≥ W j+ore, an optimal rule may be found among the rules of the following form, N r for some r ≥ 1: NFile Size: KB.