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Author Weber, Thomas A
Title Optimal Control Theory with Applications in Economics
Imprint Cambridge : MIT Press, 2011
©2011
book jacket
Descript 1 online resource (373 pages)
text txt rdacontent
computer c rdamedia
online resource cr rdacarrier
Series The MIT Press Ser
The MIT Press Ser
Note Cover -- Contents -- Foreword -- Acknowledgments -- 1- Introduction -- 1.1- Outline -- 1.2- Prerequisites -- 1.3- A Brief History of Optimal Control -- 1.4- Notes -- 2- Ordinary Differential Equations -- 2.1- Overview -- 2.2- First-Order ODEs -- 2.2.1 Definitions -- 2.2.2- Some Explicit Solutions When n = 1 -- 2.2.3- Well-Posed Problems -- 2.2.4- State-Space Analysis -- 2.2.5- Exact ODEs and Potential Function -- 2.2.6- Autonomous Systems -- 2.2.7- Stability Analysis -- 2.2.8- Limit Cycles and Invariance -- 2.3- Higher-Order ODEs and Solution Techniques -- 2.3.1- Reducing Higher-Order ODEs to First-Order ODEs -- 2.3.2- Solution Techniques -- 2.4- Notes -- 2.5- Exercises -- 3- Optimal Control Theory -- 3.1- Overview -- 3.2- Control Systems -- 3.2.1- Linear Controllability and Observability -- 3.2.2- Nonlinear Controllability -- 3.3- Optimal Control-A Motivating Example -- 3.3.1- A Simple Optimal Control Problem -- 3.3.2- Sufficient Optimality Conditions -- 3.3.3- Necessary Optimality Conditions -- 3.4- Finite-Horizon Optimal Control -- 3.5- Infinite-Horizon Optimal Control -- 3.6- Supplement 1: A Proof of the Pontryagin Maximum Principle -- 3.6.1- Problems without State-Control Constraints -- 3.6.2- Problems with State-Control Constraints -- 3.7- Supplement 2: The Filippov Existence Theorem -- 3.8- Notes -- 3.9- Exercises -- 4- Game Theory -- 4.1- Overview -- 4.2- Fundamental Concepts -- 4.2.1- Static Games of Complete Information -- 4.2.2- Static Games of Incomplete Information -- 4.2.3- Dynamic Games of Complete Information -- 4.2.4- Dynamic Games of Incomplete Information -- 4.3- Differential Games -- 4.3.1- Markovian Equilibria -- 4.3.2- Non-Markovian Equilibria -- 4.4- Notes -- 4.5- Exercises -- 5- Mechanism Design -- 5.1- Motivation -- 5.2- A Model with Two Types -- 5.3- The Screening Problem -- 5.4- Nonlinear Pricing -- 5.5- Notes
5.6- Exercises -- Appendix A: Mathematical Review -- A.1- Algebra -- A.2- Normed Vector Spaces -- A.3- Analysis -- A.4- Optimization -- A.5- Notes -- Appendix B: Solutions to Exercises -- B.1- Numerical Methods -- B.2- Ordinary Differential Equations -- B.3- Optimal Control Theory -- B.4- Game Theory -- B.5- Mechanism Design -- Appendix C: Intellectual Heritage -- References -- Index
A rigorous introduction to optimal control theory, with an emphasis on applications in economics
Description based on publisher supplied metadata and other sources
Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2020. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries
Link Print version: Weber, Thomas A. Optimal Control Theory with Applications in Economics Cambridge : MIT Press,c2011 9780262015738
Subject Economics -- Mathematical models.;Control theory.;Mathematical optimization.;Game theory
Electronic books
Alt Author Kryazhimskiy, A. V
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