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Value function for regional control problems via dynamic programming and Pontryagin maximum principle
Necessary conditions for infinite horizon optimal control problems with state constraints
| 1. | Dipartimento di Matematica, Università degli Studi di Roma "Tor Vergata", Via della Ricerca Scientifica, 1 - 00133 Roma, Italy |
| 2. | IMJ-PRG, UMR 7586 CNRS, Sorbonne Université, case 247, 4 place Jussieu, 75252 Paris, France |
Partial and full sensitivity relations are obtained for nonauto-nomous optimal control problems with infinite horizon subject to state constraints, assuming the associated value function to be locally Lipschitz in the state. Sufficient structural conditions are given to ensure such a Lipschitz regularity in presence of a positive discount factor, as it is typical of macroeconomics models.
References:
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K. Arrow and M. Kurz,
Optimal growth with irreversible investment in a Ramsey model, Econometrica, 38 (1970), 331-344.
doi: 10.2307/1913014. |
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S. M. Aseev,
On some properties of the adjoint variable in the relations of the Pontryagin maximum principle for optimal economic growth problems, Tr. Inst. Mat. Mekh., 19 (2013), 15-24.
|
| [3] |
S. M. Aseev and V. M. Veliov,
Maximum principle for infinite-horizon optimal control problems under weak regularity assumptions, Tr. Inst. Mat. Mekh., 20 (2014), 41-57.
|
| [4] |
J.-P. Aubin and H. Frankowska, Set-valued Analysis, Modern Birkhäuser Classics, Birkhäuser Boston, Inc., Boston, MA, 2009.
doi: 10.1007/978-0-8176-4848-0. |
| [5] |
V. Basco and H. Frankowska, Lipschitz continuity of the value function for the infinite horizon optimal control problem under state constraints, (submitted). |
| [6] |
J. P. Bénassy, Macroeconomic Theory, Oxford University Press, 2010. |
| [7] |
L. M. Benveniste and J. A. Scheinkman,
Duality theory for dynamic optimization models of economics: the continuous time case, J. Econom. Theory, 27 (1982), 1-19.
doi: 10.1016/0022-0531(82)90012-6. |
| [8] |
P. Bettiol, H. Frankowska and R. B. Vinter,
Improved sensitivity relations in state constrained optimal control, Appl. Math. Optim., 71 (2015), 353-377.
doi: 10.1007/s00245-014-9260-6. |
| [9] |
O. J. Blanchard and S. Fischer, Lectures on Macroeconomics, MIT press, 1989. |
| [10] |
P. Cannarsa and C. Sinestrari, Semiconcave Functions, Hamilton-Jacobi Equations, and Optimal Control, Birkhäuser Boston, Inc., Boston, MA, 2004. |
| [11] |
A. Cernea and H. Frankowska,
A connection between the maximum principle and dynamic programming for constrained control problems, SIAM J. Control Optim., 44 (2005), 673-703.
doi: 10.1137/S0363012903430585. |
| [12] |
H. Frankowska and M. Mazzola,
On relations of the adjoint state to the value function for optimal control problems with state constraints, Nonlinear Differential Equations Appl., 20 (2013), 361-383.
doi: 10.1007/s00030-012-0183-0. |
| [13] |
P. Loreti and M. E. Tessitore,
Approximation and regularity results on constrained viscosity solutions of Hamilton-Jacobi-Bellman equations, J. Math. Systems Estim. Control, 4 (1994), 467-483.
|
| [14] |
F. P. Ramsey,
A mathematical theory of saving, The Economic Journal, 38 (1928), 543-559.
doi: 10.2307/2224098. |
| [15] |
R. T. Rockafellar and R. B. Wets, Variational Analysis, Springer-Verlag, Berlin, 1998.
doi: 10.1007/978-3-642-02431-3. |
| [16] |
A. Seierstad,
Necessary conditions for nonsmooth, infinite-horizon, optimal control problems, J. Optim. Theory Appl., 103 (1999), 201-229.
doi: 10.1023/A:1021733719020. |
| [17] |
A. Seierstad and K. Sydsæter, Optimal Control Theory with Economic Applications, North-Holland Publishing Co., Amsterdam, 1987. |
| [18] |
G. Sorger,
On the long-run distribution of capital in the Ramsey model, J. Econom. Theory, 105 (2002), 226-243.
doi: 10.1006/jeth.2001.2841. |
| [19] |
R. Vinter, Optimal Control, Modern Birkhäuser Classics, Birkhäuser Boston, Inc., Boston, MA, 2010.
doi: 10.1007/978-0-8176-8086-2. |
show all references
References:
| [1] |
K. Arrow and M. Kurz,
Optimal growth with irreversible investment in a Ramsey model, Econometrica, 38 (1970), 331-344.
doi: 10.2307/1913014. |
| [2] |
S. M. Aseev,
On some properties of the adjoint variable in the relations of the Pontryagin maximum principle for optimal economic growth problems, Tr. Inst. Mat. Mekh., 19 (2013), 15-24.
|
| [3] |
S. M. Aseev and V. M. Veliov,
Maximum principle for infinite-horizon optimal control problems under weak regularity assumptions, Tr. Inst. Mat. Mekh., 20 (2014), 41-57.
|
| [4] |
J.-P. Aubin and H. Frankowska, Set-valued Analysis, Modern Birkhäuser Classics, Birkhäuser Boston, Inc., Boston, MA, 2009.
doi: 10.1007/978-0-8176-4848-0. |
| [5] |
V. Basco and H. Frankowska, Lipschitz continuity of the value function for the infinite horizon optimal control problem under state constraints, (submitted). |
| [6] |
J. P. Bénassy, Macroeconomic Theory, Oxford University Press, 2010. |
| [7] |
L. M. Benveniste and J. A. Scheinkman,
Duality theory for dynamic optimization models of economics: the continuous time case, J. Econom. Theory, 27 (1982), 1-19.
doi: 10.1016/0022-0531(82)90012-6. |
| [8] |
P. Bettiol, H. Frankowska and R. B. Vinter,
Improved sensitivity relations in state constrained optimal control, Appl. Math. Optim., 71 (2015), 353-377.
doi: 10.1007/s00245-014-9260-6. |
| [9] |
O. J. Blanchard and S. Fischer, Lectures on Macroeconomics, MIT press, 1989. |
| [10] |
P. Cannarsa and C. Sinestrari, Semiconcave Functions, Hamilton-Jacobi Equations, and Optimal Control, Birkhäuser Boston, Inc., Boston, MA, 2004. |
| [11] |
A. Cernea and H. Frankowska,
A connection between the maximum principle and dynamic programming for constrained control problems, SIAM J. Control Optim., 44 (2005), 673-703.
doi: 10.1137/S0363012903430585. |
| [12] |
H. Frankowska and M. Mazzola,
On relations of the adjoint state to the value function for optimal control problems with state constraints, Nonlinear Differential Equations Appl., 20 (2013), 361-383.
doi: 10.1007/s00030-012-0183-0. |
| [13] |
P. Loreti and M. E. Tessitore,
Approximation and regularity results on constrained viscosity solutions of Hamilton-Jacobi-Bellman equations, J. Math. Systems Estim. Control, 4 (1994), 467-483.
|
| [14] |
F. P. Ramsey,
A mathematical theory of saving, The Economic Journal, 38 (1928), 543-559.
doi: 10.2307/2224098. |
| [15] |
R. T. Rockafellar and R. B. Wets, Variational Analysis, Springer-Verlag, Berlin, 1998.
doi: 10.1007/978-3-642-02431-3. |
| [16] |
A. Seierstad,
Necessary conditions for nonsmooth, infinite-horizon, optimal control problems, J. Optim. Theory Appl., 103 (1999), 201-229.
doi: 10.1023/A:1021733719020. |
| [17] |
A. Seierstad and K. Sydsæter, Optimal Control Theory with Economic Applications, North-Holland Publishing Co., Amsterdam, 1987. |
| [18] |
G. Sorger,
On the long-run distribution of capital in the Ramsey model, J. Econom. Theory, 105 (2002), 226-243.
doi: 10.1006/jeth.2001.2841. |
| [19] |
R. Vinter, Optimal Control, Modern Birkhäuser Classics, Birkhäuser Boston, Inc., Boston, MA, 2010.
doi: 10.1007/978-0-8176-8086-2. |
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