Saddle points of Hamiltonian systems in convex Lagrange problems having a nonzero discount rate |
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Authors: | R Tyrrell Rockafellar |
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Institution: | Mathematics, University of Washington, Seattle, Washington 98195 USA |
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Abstract: | Problems are studied in which an integral of the form ∫0+∞L(k(t),k(t))e?ptdt is minimized over a class of arcs k: 0, +∞) → Rn. It is assumed that L is a convex function on Rn × Rn and that the discount rate ? is positive. Optimality conditions are expressed in terms of a perturbed Hamiltonian differential system involving a Hamiltonian function H(k, q) which is concave in k and convex in q, but not necessarily differentiable. Conditions are given ensuring that, for ? sufficiently small, the system has a stationary point, in a neighborhood of which one has classical “saddle point” behavior. The optimal arcs of interest then correspond to the solutions of the system which tend to the stationary point as t → +∞. These results are motivated by questions in theoretical economics and extend previous work of the author for the case ? = 0. The case ? < 0 is also covered in part. |
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