&

2009

(Optimal Control
Theory) Ramsey

Ronald SHONE (2002),

Economic Dynamics: Phase Diagrams and Their Economic Application,
Cambridge University Press, 2 .

Ramsey
(optimal control theory).
.
, (state variables)
(control variables).
,
state variables. n
x1 (t ), , xn (t ) n-

x(t ) = { x1 (t ), , xn (t )} m u1 (t ), , um (t )

m- u(t ) = {u1 (t ), , um (t )}

J
.
t0 , , t1

. t0 t1 , 0 .

, Optimal control Ramsey, . 1

 :
t0 t1 , V (x(t ), u(t ), t )
(intermediate function)
,
. ,
,

.
.

(final function),
, ., x(t1 ) = x1 .

F (x1 , t ) .


. :
( )
.

(equation of motion)
,
( ).

x(t ), u(t ) t. ., x = f (x, u, t ) . ,
U .

, Optimal control Ramsey, . 2

 ( )

t1
max J = V (x(t ), u(t ), t )dt + F (x1 , t )
{u ( t )} t0

x = f (x, u, t )
x(t0 ) = x0
x(t1 ) = x1
{u(t )} U

t0 (or t = 0 ) (initial time)

t1 (or T) (terminal time)
x(t ) = { x1 (t ), , xn (t )} n (state variables)
u(t ) = {u1 (t ), , um (t )} m (control variables)
{u(t )} (continuous control trajectory) t0 < t < t1
U (set of admissible control
trajectories)
x = f (x, u, t ) (equations of motion)
J (objective function)
V (x(t ), u(t ), t ) (intermediate function)
F (x1 , t ) (final function)

,
.
.,
T
max J = V (x, u )dt
{u ( t )} 0

x = f ( x, u )

, Optimal control Ramsey, . 3

 . x = x(t ), u = u (t ) .,
,
. t .

Lev Semenovich Pontryagin (
) (19081988) 1959.

Pontryagin
(Hamiltonian function)

H ( x, u ) = V ( x , u ) + f ( x , u )

(costate variable),
Lagrange .
,
, Hamiltonian H ( x, u ) = V ( x, u ) + f ( x, u )
{u (t )} , { (t )} , { x(t )}
:

H
(1) =0 0t T
u
H
(2) = 0t T
x
H
(3) x= = f ( x, u )

(4) x(0) = x 0
(5) (T ) = 0 ( x(T ) = xT , xT ).

1
max u 2 dt
{u} 0

x = u
x(0) = 1
x(1) = 0

Hamiltonian H ( x, u ) = V ( x, u ) + f ( x, u ) = u 2 + (u )

, Optimal control Ramsey, . 4



H
(1) = 2u = 0 0 t 1
u
H
(2) = =0 0 t 1
x
(3) x = u
(4) x(0) = 1
(5) x(1) = 1

(1) u = . x = and = 0 .
2 2
t
: x(t ) = c1 = c2 .
2
0
x(0) = 1 1 = c1 c1 = 1 .
2
x(1) = 1
t t 1
x(1) = c1 = 1 = 1 = 1 = 0 = 2 c2 = 2
2 2 2 2

t 2t
x* = c1 = 1 = 1 t
2 2
2
u* = = = 1
2 2

V ( x, u )
(., )
, .
e t

:
T
max J = e tV ( x, u )dt
[u ( t ) ] 0

x = f ( x, u ), x(0) = x 0 , x(T ) = xT

Hamiltonian

, Optimal control Ramsey, . 5

 H ( x, u ) = e tV ( x, u ) + f ( x, u )

Hamiltonian (current value Hamiltonian

function) H c .
H ( x, u ) = V ( x, u ) + f ( x, u )

H c = He t H = H c e t
= e t = e t

. e t
(1) H c u = 0 .
H H
(2) = = c e t . = e t = e t e t .
x x
( ).
H
= c + , (2). (3)
x
H H c t H c
x= = e = = f ( x, u ) .

(4) x(0) = x 0 (5) (T ) = (T )e t = 0 (
x(T ) = xT , xT ).

, Hamiltonian
),
H c ( x, u ) = H ( x, u )e t = V ( x, u ) + f ( x, u ) , = e t

H c
(1) =0 0t T
u
H
(2) = c + 0t T
x
H c
(3) x= = f ( x, u )

(4) x(0) = x 0
(5) (T )e t = 0 ( x(T ) = xT , xT ).

u (1) ,
, x, , .

, Optimal control Ramsey, . 6


Ramsey.

Ramsey.

[: .
.
.

.]

: Y(t), , C(t) , I(t) , K(t) , L(t)

. ,
., L.
: , , n,
() ( L L = n ) , , .

Y (t ) = C (t ) + I (t ) K (t )
y (t ) = c(t ) + + k (t )
I (t ) = K (t ) + K (t ) L(t )

d K LK KL K K L K K
k= = 2
= = kn = k + kn .
dt L L L L L L L

y (t ) = c(t ) + k (t ) + (n + )k (t ) .

Solow
y = f (k ) ,

: k = f (k ) ( n + ) k c

(breakeven
investment)
.

U(c(t))
instantaneous utility function ( felicity function).

, Optimal control Ramsey, . 7


max J = e tU (c)dt
c 0

Solow .
k = f (k ) (n + )k c

t=0 k0
.
k (0) = k0
0 c f (k )

, k,
, c, .

Hamiltonian

H c = U (c ) + [ f ( k ) ( n + ) k c ]

H c
= U (c) = 0 U (c) =
c
= f (k ) + (n + ) +
k = f (k ) (n + )k c

dU (c)
= U (c)c = = f (k ) + (n + ) +
dt
U (c)c U (c)
= c = f (k ) + (n + + ) = U (c)
U (c)

Pratt-Arrow (Pratt-Arrow measure of relative risk aversion):

cU (c)
(c ) =
U (c)

(c ) 1
c = f (k ) (n + + ) or c = [ f (k ) (n + + )] c
c (c )

, Optimal control Ramsey, . 8

[:
(constant risk aversion) (
, constant intertemporal elasticity of substitution) Pratt-
Arrow , ., (c) = , c .
c1 1 . David Romer Advanced Macroeconomics
Euler .
=1 U (c) = ln c ].

.
1
c= [ f (k ) (n + + )] c
(c )
k = f (k ) (n + )k c

c = 0 f (k * ) = n + + . , k = 0 ,
c* = f ( k * ) ( n + ) k * .

c > 0 f (k * ) > n + + k < k * .

c = 0 k . c = 0 k .
k = 0 c . k = 0
c . (c* , k * )
(saddle point solution).
.. k0 (.,
)

. k , K
, L, ., n. ( Shone
). k y
Y .
(balanced-growth equilibrium).

, Optimal control Ramsey, . 9

 Excel
.

= 0, 02 f (k ) = k 0,25 n = 0, 01 = 0, 05 k (0) = 2
1
c
U (c ) = = 0,5 U (c) = 2 c
1

1,4

1,2
= 0, 02, f ( k ) = k 0,25 , n = 0, 01
= 0, 05, k (0) = 2
1 c1
U (c ) = , = 0, 5
1

0,8

0,6

0,4

0,2

0
0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45
k

, Optimal control Ramsey, . 10

 () Wikipedia
Ramsey saddle path.

, Optimal control Ramsey, . 11