Timeline for Optimal Control / Hamilton-Jacobi-Bellman Equation
Current License: CC BY-SA 3.0
4 events
| when toggle format | what | by | license | comment | |
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| Jun 6, 2016 at 2:52 | comment | added | Stephan Sturm | Indeed $a$ is just doing some reallocation, but for that only $\int_0^T a(s) \, ds$ matters. However this might not be chosen arbitrarily, but might depend on the constraints you have. To understand the problem better, could you provide some economic motivation? In particular, are $X_1$ and $X_2$ to be assumed always nonnegative? And more general it would be interesting to understand why you have two different utility functions for the different processes which are nevertheless additive. | |
| Jun 4, 2016 at 13:34 | comment | added | Mark | I guess an optimal control $a$ might be to "reallocate" between processes $X_{1}$ and $X_{2}$, such that the resulting change in terminal utility is maximized, i.e. $a(t)=U_{1}^{'}\big(X_{1}(t)\big) - U_{2}^{'}\big(X_{2}(t)\big)$. | |
| Jun 4, 2016 at 13:27 | history | edited | Mark | CC BY-SA 3.0 |
deleted 329 characters in body
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| Jun 1, 2016 at 14:31 | history | asked | Mark | CC BY-SA 3.0 |