Calculus of variations on time scales and applications to economics

We consider some problems of the calculus of variations on time scales. On the beginning our attention is paid on two inverse extremal problems on arbitrary time scales. Firstly, using the Euler-Lagrange equation and the strengthened Legendre condition, we derive a general form for a variation functional that attains a local minimum at a given point of the vector space. Furthermore, we prove a necessary condition for a dynamic integro-differential equation to be an Euler-Lagrange equation. New and interesting results for the discrete and quantum calculus are obtained as particular cases. Afterwards, we prove Euler-Lagrange type equations and transversality conditions for generalized infinite horizon problems. Next we investigate the composition of a certain scalar function with delta and nabla integrals of a vector valued field. Euler-Lagrange equations in integral form, transversality conditions, and necessary optimality conditions for isoperimetric problems, on an arbitrary time scale, are proved. In the end, two main issues of application of time scales in economic, with interesting results, are presented. In the former case we consider a firm that wants to program its production and investment policies to reach a given production rate and to maximize its future market competitiveness. The model which describes firm activities is studied in two different ways: using classical discretizations; and applying discrete versions of our result on time scales. In the end we compare the cost functional values obtained from those two approaches. The latter problem is more complex and relates to rate of inflation, p, and rate of unemployment, u, which inflict a social loss. Using known relations between p, u, and the expected rate of inflation π, we rewrite the social loss function as a function of π. We present this model in the time scale framework and find an optimal path π that minimizes the total social loss over a given time interval.

Calculus of Variations with Classical and Fractional Derivatives

MSC 2010: 49K05, 26A33

Cálculo das variações fraccional generalizado

Nesta tese de doutoramento apresentamos um cálculo das variações fraccional generalizado. Consideramos problemas variacionais com derivadas e integrais fraccionais generalizados e estudamo-los usando métodos directos e indirectos. Em particular, obtemos condições necessárias de optimalidade de Euler-Lagrange para o problema fundamental e isoperimétrico, condições de transversalidade e teoremas de Noether. Demonstramos a existência de soluções, num espaço de funções apropriado, sob condições do tipo de Tonelli. Terminamos mostrando a existência de valores próprios, e correspondentes funções próprias ortogonais, para problemas de Sturm- Liouville.

Optimality Conditions for D.C. Vector Optimization Problems under D.C. Constraints

2000 Mathematics Subject Classification: Primary 90C29; Secondary 49K30.

Nonsmooth continuous-time optimization problems: Necessary conditions

We consider Lipschitz continuous-time nonlinear optimization problems and provide first-order necessary optimality conditions of both Fritz John and Karush-Kuhn-Tucker types. (C) 2001 Elsevier B.V. Ltd. All rights reserved.

Novel developments in process optimisation using predictive control

In industrial practice, constrained steady state optimisation and predictive control are separate, albeit closely related functions within the control hierarchy. This paper presents a method which integrates predictive control with on-line optimisation with economic objectives. A receding horizon optimal control problem is formulated using linear state space models. This optimal control problem is very similar to the one presented in many predictive control formulations, but the main difference is that it includes in its formulation a general steady state objective depending on the magnitudes of manipulated and measured output variables. This steady state objective may include the standard quadratic regulatory objective, together with economic objectives which are often linear. Assuming that the system settles to a steady state operating point under receding horizon control, conditions are given for the satisfaction of the necessary optimality conditions of the steady-state optimisation problem. The method is based on adaptive linear state space models, which are obtained by using on-line identification techniques. The use of model adaptation is justified from a theoretical standpoint and its beneficial effects are shown in simulations. The method is tested with simulations of an industrial distillation column and a system of chemical reactors.

Calculus of variations on time scales and discrete fractional calculus

Estudamos problemas do cálculo das variações e controlo óptimo no contexto das escalas temporais. Especificamente, obtemos condições necessárias de optimalidade do tipo de Euler–Lagrange tanto para lagrangianos dependendo de derivadas delta de ordem superior como para problemas isoperimétricos. Desenvolvemos também alguns métodos directos que permitem resolver determinadas classes de problemas variacionais através de desigualdades em escalas temporais. No último capítulo apresentamos operadores de diferença fraccionários e propomos um novo cálculo das variações fraccionário em tempo discreto. Obtemos as correspondentes condições necessárias de Euler– Lagrange e Legendre, ilustrando depois a teoria com alguns exemplos.

Necessary conditions of optimality for vector-valued impulsive control problems

A vector-valued impulsive control problem is considered whose dynamics, defined by a differential inclusion, are such that the vector fields associated with the singular term do not satisfy the so-called Frobenius condition. A concept of robust solution based on a new reparametrization procedure is adopted in order to derive necessary conditions of optimality. These conditions are obtained by taking a limit of those for an appropriate sequence of auxiliary standard optimal control problems approximating the original one. An example to illustrate the nature of the new optimality conditions is provided. © 2000 Elsevier Science B.V. All rights reserved.

Necessary conditions of optimality for state constrained infinite horizon differential inclusions

This article presents and discusses necessary conditions of optimality for infinite horizon dynamic optimization problems with inequality state constraints and set inclusion constraints at both endpoints of the trajectory. The cost functional depends on the state variable at the final time, and the dynamics are given by a differential inclusion. Moreover, the optimization is carried out over asymptotically convergent state trajectories. The novelty of the proposed optimality conditions for this class of problems is that the boundary condition of the adjoint variable is given as a weak directional inclusion at infinity. This improves on the currently available necessary conditions of optimality for infinite horizon problems. © 2011 IEEE.

Fractional calculus on time scales - Cálculo fraccional em escalas temporais

Introduzimos um cálculo das variações fraccional nas escalas temporais ℤ e (hℤ)!. Estabelecemos a primeira e a segunda condição necessária de optimalidade. São dados alguns exemplos numéricos que ilustram o uso quer da nova condição de Euler–Lagrange quer da nova condição do tipo de Legendre. Introduzimos também novas definições de derivada fraccional e de integral fraccional numa escala temporal com recurso à transformada inversa generalizada de Laplace.

Optimality conditions for infinite horizon control problems with state constraints

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Sufficient Conditions of Optimality for Control Pproblem Governed by Variational Inequalities

* This work was completed while the author was visiting the University of Limoges. Support from the laboratoire “Analyse non-linéaire et Optimisation” is gratefully acknowledged.

Second Order Optimality Conditions in Nonsmooth Unconstrained Optimization

AMS subject classification: 49J52, 90C30.