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Infinite Horizon (infinite + horizon)
Selected AbstractsAnchoring Economic Predictions in Common KnowledgeECONOMETRICA, Issue 2 2002R. Guesnerie The paper examines within a unified methodology expectational coordination in a series of economic models. The methodology views the predictions associated with the Rational Expectations Hypothesis as reasonable whenever they can be derived from the more basic Common Knowledge Hypothesis. The paper successively considers a simple non-noisy N -dimensional model, standard models with "intrinsic" uncertainty, and reference intertemporal models with infinite horizon. It reviews existing results and suggests new ones. It translates the formal results into looser but economically intuitive statements, whose robustness, in the present state of knowledge, is tentatively ascertained. [source] Active mode observation of switching systems based on set-valued estimation of the continuous stateINTERNATIONAL JOURNAL OF ROBUST AND NONLINEAR CONTROL, Issue 14 2009M. Baglietto Abstract Mode observability is addressed for a class of discrete-time linear systems that may switch in an unknown and unpredictable way among different modes taken from a finite set. The possible a priori knowledge on the continuous state of the system and the presence of unknown but bounded noises affecting both the system and the measurement equations are explicitly taken into account. The mode observation is performed ,actively': control sequences (discerning control sequences) are searched, which allow to identify the switching sequence on the basis of the observations. Conditions that characterize discerning controls in a finite-horizon setting are obtained. Moreover, a procedure is proposed in order to derive ,persistently discerning' control sequences (over an infinite horizon). A numerical example is reported to clarify the approach. Copyright © 2008 John Wiley & Sons, Ltd. [source] Model predictive control for networked control systemsINTERNATIONAL JOURNAL OF ROBUST AND NONLINEAR CONTROL, Issue 9 2009Jing Wu Abstract This paper investigates the problem of model predictive control for a class of networked control systems. Both sensor-to-controller and controller-to-actuator delays are considered and described by Markovian chains. The resulting closed-loop systems are written as jump linear systems with two modes. The control scheme is characterized as a constrained delay-dependent optimization problem of the worst-case quadratic cost over an infinite horizon at each sampling instant. A linear matrix inequality approach for the controller synthesis is developed. It is shown that the proposed state feedback model predictive controller guarantees the stochastic stability of the closed-loop system. Copyright © 2008 John Wiley & Sons, Ltd. [source] IS FISHING COMPATIBLE WITH ENVIRONMENTAL CONSERVATION: A STOCHASTIC MODEL WITH AN ELEMENT OF SELF-PROTECTIONNATURAL RESOURCE MODELING, Issue 3 2008D. AMI Abstract The purpose of this paper is to introduce the impact of fishing activity on a marine ecosystem. The fishing activity is considered not only through annual harvest but also through a second component, called the degree of protection of the fishery environment. This characterizes the environmental impact of fishing. A stochastic dynamic programming problem is presented in infinite horizon, where a sole owner seeks to maximize a discounted expected profit. The main hypothesis states that the stock,recruitment relationship is stochastic and that both components of the fishing activity have an impact on the probability law of the state of the fishery environment. The optimal fishing policy is obtained and compared with standard models. This optimal policy has the following properties: is not a constant escapement policy and indicates an element of self-protection by the fishery manager. The paper ends with a discussion on the existence of degrees of protection of the fishery environment that take into account the environmental conservation and preservation of economic activity. [source] Capacity expansion under a service-level constraint for uncertain demand with lead timesNAVAL RESEARCH LOGISTICS: AN INTERNATIONAL JOURNAL, Issue 3 2009Rahul R. Marathe Abstract For a service provider facing stochastic demand growth, expansion lead times and economies of scale complicate the expansion timing and sizing decisions. We formulate a model to minimize the infinite horizon expected discounted expansion cost under a service-level constraint. The service level is defined as the proportion of demand over an expansion cycle that is satisfied by available capacity. For demand that follows a geometric Brownian motion process, we impose a stationary policy under which expansions are triggered by a fixed ratio of demand to the capacity position, i.e., the capacity that will be available when any current expansion project is completed, and each expansion increases capacity by the same proportion. The risk of capacity shortage during a cycle is estimated analytically using the value of an up-and-out partial barrier call option. A cutting plane procedure identifies the optimal values of the two expansion policy parameters simultaneously. Numerical instances illustrate that if demand grows slowly with low volatility and the expansion lead times are short, then it is optimal to delay the start of expansion beyond when demand exceeds the capacity position. Delays in initiating expansions are coupled with larger expansion sizes. © 2009 Wiley Periodicals, Inc. Naval Research Logistics, 2009 [source] Optimality of greedy and sustainable policies in the management of renewable resourcesOPTIMAL CONTROL APPLICATIONS AND METHODS, Issue 1 2003A. Rapaport Abstract We consider a discrete-time modelling of renewable resources, which regenerate after a delay once harvested. We study the qualitative behaviour of harvesting policies, which are optimal with respect to a discounted utility function over infinite horizon. Using Bellman's equation, we derive analytically conditions under which two types of policies (greedy and sustainable) are optimal, depending on the discount rate and the marginal utility. For this particular class of problems, we show also that the greedy policy is attractive in a certain sense. The techniques of proof lie on concavity, comparison of value functions and Lyapunov-like functions. Copyright © 2003 John Wiley & Sons, Ltd. [source] | ||||||||||