Dear all, I would like to solve the following problem, which can be done with optimal control theory or dynamic programming:
max(x,y) a*u1+b*u2+c*f1(u2) s.t. 0<u1<x, 0<u2<f2(x,u2), x'=f3(u1,u2,x) which can be rewritten if optimal control theory should be applied as H=a*u1+b*u2+c*f1(u2)+lambda*(x') s.t. 0<u1<x, 0<u2<f2(x,u2) The maximum principle conditions would solve the problem. However in steady state conditions the system simplifies further with u1=x' und lambda=a. Is it possible to solve this problem in R and if yes then how? It might be sufficient for me to maximize a simple nonlinear function f(x,y) w.r.t. x and y. Does anyone know how to do it? I tried optim and genoud but untill now it did not work. Best wishes Frederik -- Jetzt 1 Monat kostenlos! GMX FreeDSL - Telefonanschluss + DSL für nur 17,95 Euro/mtl.!* http://dsl.gmx.de/?ac=OM.AD.PD003K11308T4569a ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
