Linear Optimal Control



In certain problems, control variables enter the Hamiltonian linearly, either via the objective function or the dynamic system or both. This type of problem is called Linear Optimal Control. For example, in the Optimal growth model discussed earlier (see 5.6.2), if the utility funtion is u(c)= c, then the maximization of \(\int\limits_0^T {c{e^{ - rt}}dt}\) subject to \(\mathop k\limits^ \bullet = f(k) - \lambda k - c\) leads to the Hamiltonian \(H \equiv ({e^{ - rt}} - p)c + p[f(k) - \lambda k\) which is linear in the control variable c.


Monetary Policy Optimal Policy Transversality Condition Switching Function Marginal Revenue 
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Copyright information

© Springer-Verlag Berlin Heidelberg 1984

Authors and Affiliations

  1. 1.Department of EconomicsThe University of CalgaryN. W. CalgaryCanada

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