All Questions
Tagged with optimization dynamic-optimization
20 questions
1
vote
0
answers
61
views
Durable goods in a (two sector) necolassical growth model
i want to add a firm to a neoclassical growth model that produces a durable good which it rents out in each period to the consumers.
Right now i'm using the following approach:
The firm maximizes: $\...
- 11
1
vote
0
answers
66
views
Expected value in budget constraint
I have been reading this paper by Yang Liu, Lukas Schmid and Amir Yaron, which contains a very elegant mechanism that generates an endogenous liquidity premium for US government debt. However, I got ...
1
vote
0
answers
40
views
Optimization Model for Market Clearing using Uniform Pricing
Dear all, can someone please share a simple example for market clearing via Uniform Pricing using an Optimization Model?
I am trying to simulate a market using bid values with quantity and price, from ...
2
votes
0
answers
42
views
2 dimensional optimization using fminsearch
I have a complicated capital - debt capital structure optimization problem but to start off simple I just added an extra parameter to the stochastic neoclassical growth model to see how the ...
- 31
1
vote
1
answer
33
views
Utility maximization across yield curves?
I'm attempting to solve a utility maximization problem for return-on-investment (ROI) across two different products, where each product experiences a different linear ROI curve.
For product one, the ...
- 11
4
votes
1
answer
62
views
What assumptions can be made to ensure convexity in this optimization problem?
This question is a continuation of the question I asked at:
How can I show convexity of this value function?
Where I came to the conclusion that more assumptions are required to show that the ...
- 183
4
votes
1
answer
389
views
How can I show convexity of this value function?
I have set up an optmization problem as follows:
$$V(A)=\max_{l, C} \quad u(C,l)$$
Where the only constraint is as follows:
$$C=f(l,A)$$
Here $u$ is the utility function which captures social welfare. ...
- 183
3
votes
2
answers
210
views
How can I formulate the following optimization problem?
I want to set up an optmiization problem for global warming in which a planner determines how much carbon dioxide gas is emitted. Let's say we reduce this problem down to two periods, then I ...
user40867
2
votes
0
answers
78
views
Necessary conditions in overlapping generations model (OLG)
The consumer at each period maximizes
\begin{equation}
\displaystyle\sum_{i=1}^{I}\beta^{i-1}U(c^i_{t+i},l^i_{t+i}) , t=0,1,2,3,...
\end{equation}
subject to
\begin{equation}
(1+\eta_t)c^{i}_t+...
- 77
4
votes
0
answers
137
views
Solve the Ben-Porath Model (Optimal Control Problem)
Suppose we have a Ben-Porath style human capital investment model, in which the representative agent maximize her lifetime earnings: $$V(h, a)=\max \int_{a}^{R} e^{-r(t-a)}\left[ w h(t)(1-n(t))-px(t)\...
- 2,516
1
vote
0
answers
487
views
Solving a HJB with additional constraints on control and state variables
I am trying to solve a Hamiltonian-Jacobi-Bellman equation with additional constraints on the state and control variables, but I am a bit confused on how to do that.
In Intrilligator 2002, it is ...
- 41
3
votes
2
answers
232
views
Solving a HJB with a probability to transit to a new state
I am trying to solve the problem of a firm facing the possibility of a future tax, in continuous time.
The firm maximizes $V(k)=\int_{t=0}^{\infty}e^{-rt} \pi_t dt$ with $\pi_t=f(k_t)-i_t$ and $\dot{k}...
- 41
1
vote
1
answer
63
views
Expectational stability: adaptive learning of RE equilibria in dynamic systems
There are two steps in the explanation of the expectational stability concept by Evans and Honkapohja (2001) (see below) that I don't understand.
Step 1.
What does this formula below mean, ...
- 559
4
votes
2
answers
666
views
Dynamic programming, optimal consumption-savings (finite horizon) problem
Let $w_t$ denote a consumer's wealth at time $t$ and $c_t$,
the amount she chooses to consume, so her savings exiting this time period are $w_t-c_t$. Given this savings decision, her savings $w_{t+1}$ ...
- 498
0
votes
1
answer
1k
views
Maximization problem FOC and Euler equation
Can someone please help me with the Lagragian and the derivation of the following objective function ? Beneath I provide the objective function, the constraint and the Euler equation that results from ...
- 41
1
vote
1
answer
46
views
What is the "bequest condition" in a finite-horizon discrete optimization problem?
For a finite-horizon discrete time optimization problem, my textbook provides a condition called the "bequest condition", which I'm not familiar with. Specifically, where the state at time $t$ is ...
- 211
0
votes
2
answers
906
views
Price optimization with demand forecast
I have one year sales data of a retail company and lets say I am forecasting the next month sales for the product. I have got the sales using time series in R. Now I want to forecast the price as well....
4
votes
0
answers
206
views
Dynamic demand model in many good competitive markets and price optimization
This is a question about demand models, price optimization, dynamic pricing, big data, online learning, so I will cross-post in other communities.
$\mathbf{Background}$
I am interested in dynamic ...
- 141
3
votes
1
answer
138
views
Monetary policy optimization
I was wondering if anyone could give me some advice / lectures / introduction to stochastic optimization that could be applied to monetary policy. I have heard of the Dynamic stochastic general ...
- 593
3
votes
1
answer
160
views
Dynamic optimization with assets as state variable: interpreting capital gains and losses
Given a hamiltonian of the form:
\begin{equation}
H_{t} = ln(c_{t}) \dot{} e ^{-\rho t} + \lambda_{t}(w+ra_{t}-c_{t}),
\end{equation}
with $c_{t}$ consumption at time t (the control variable), $\rho &...
- 958