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MathGroup Archive 2002

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dynamic optimization

  • To: mathgroup at smc.vnet.net
  • Subject: [mg35268] dynamic optimization
  • From: "anna in the sky" <annainthesky at mac.com>
  • Date: Fri, 5 Jul 2002 02:21:11 -0400 (EDT)
  • Sender: owner-wri-mathgroup at wolfram.com

Hi,

hopefully somebody is able to help me with this (probably pretty easy )
thing:
I need to do a dynamic maximization over a couple of periods, where the
objective function is nonlinear, and the constraint is linear differential
equation. The problem looks like this and I tried some things but dont know
how to solve it actually

objective function: U:= Exp[-rho*t]*Log(Ct/1+(S(t)*P-4C(t))^2
constraint: Constr:= (S(t+1)-S(t))*P(t)+C(t)= = W(t)*L(t)+pi(t)*S(t)*P
where P=1
rho=0.6
pi(t)=0.03
w(t)=4
L(t)=10
the given values can actually be something else, too.
We seek C and S.
does anyone have an idea how to fix this? Just a idea, hint or anything, I
would be more than glad :)

Thanks
//anna




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