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Further Mathematics for
Economic Analysis
2
nd
edition
Arne Strøm
Knut Sydsæter
Atle Seierstad
Peter Hammond
For further supporting resources please visit:
www.pearsoned.co.uk/sydsaeter
Preface
This student’s solutions manual accompanies Further Mathematics for Economic Analysis (2nd edition, FT
Prentice Hall, 2008). Its main purpose is to provide more detailed solutions to the problems marked with
⊂SM ⊃
in the text. The Manual should be used in conjunction with the answers in the book. In some few cases only
a part of the problem is done in detail, because the rest follows the same pattern.
At the end of this manual there is a list of misprints and other errors in the book, and even one or two in
the errata list in the preliminary and incomplete version of this manual released in September this year. We
would greatly appreciate suggestions for improvements from our readers as well as help in weeding out the
inaccuracies and errors that probably remain.
Oslo and Coventry, October 2008
Arne Strøm (arne.strom@econ.uio.no)
Knut Sydsæter (knut.sydsater@econ.uio.no)
Atle Seierstad (atle.seierstad@econ.uio.no)
Peter Hammond (hammond@stanford.edu)
Contents
1 Topics in Linear Algebra . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
2 Multivariable Calculus . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
3 Static Optimization . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
4 Topics in Integration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
5 Differential Equations I: FirstOrder Equations in One Variable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43
6 Differential Equations II: SecondOrder Equations and Systems in the Plane . . . . . . . . . . . . . . . . . . 49
7 Differential Equations III: HigherOrder Equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56
8 Calculus of Variations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60
9 Control Theory: Basic Techniques . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65
10 Control Theory with Many Variables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 81
11 Difference Equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 92
12 Discrete Time Optimization . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96
13 Topology and Separation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 102
14 Correspondences and Fixed Points . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 105
A Sets, Completeness, and Convergence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 107
B Trigonometric Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 109
Corrections to the book . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 112
Version 1.0 28102008 879
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
CHAPTER 1 TOPI CS I N L I NEAR AL GEBRA 1
Chapter 1 Topics in Linear Algebra
1.2
1.2.3 Let A =
⎛
⎝
1 2 0
0 1 1
1 0 1
⎞
⎠
be a matrix with the three given vectors as columns. Cofactor expansion of
[A[ along the ﬁrst row yields
1 2 0
0 1 1
1 0 1
= 1
1 1
0 1
−2
0 1
1 1
÷0 = 1 −2(−1) = 3 ,= 0
By Theorem 1.2.1 this shows that the given vectors are linearly independent.
1.2.6 Part (a) is just a special case of part (b), so we will only prove (b). To show that a
1
, a
2
, . . . , a
n
are
linearly independent it sufﬁces to show that if c
1
, c
2
, . . . , c
n
are real numbers such that
c
1
a
1
÷c
2
a
2
÷· · · ÷c
n
a
n
= 0
then all the c
i
have to be zero. So suppose that we have such a set of real numbers. Then for each i = 1,
2, . . . , n, we have
a
i
· (c
1
a
1
÷c
2
a
2
÷· · · ÷c
n
a
n
) = a
i
· 0 = 0 (1)
Since a
i
·a
j
= 0 when i ,= j, the lefthand side of (1) reduces to a
i
·(c
i
a
i
) = c
i
a
i

2
. Hence, c
i
a
i

2
= 0.
Because a
i
,= 0 we have a
i
 ,= 0, and it follows that c
i
= 0.
1.3
1.3.1 (a) The rank is 1. See the answer in the book.
(b) The minor formed from the ﬁrst two columns in the matrix is
1 3
2 0
= −6 ,= 0. Since this minor
is of order 2, the rank of the matrix must be at least 2, and since the matrix has only two rows, the rank
cannot be greater than 2, so the rank equals 2.
(c) The ﬁrst two rows and last two columns of the matrix yield the minor
−1 3
−4 7
= 5 ,= 0, so the rank
of the matrix is at least 2. On the other hand, all the four minors of order 3 are zero, so the rank is less
than 3. Hence the rank is 2. (It can be shown that r
2
= 3r
1
÷r
3
, where r
1
, r
2
, and r
3
are the rows of the
matrix.)
An alternative argument runs as follows: The rank of a matrix does not change if we add a multiple
of one row to another row, so
⎛
⎝
1 2 −1 3
2 4 −4 7
−1 −2 −1 −2
⎞
⎠
−2 1
←
←
∼
⎛
⎝
1 2 −1 3
0 0 −2 1
0 0 −2 1
⎞
⎠
.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
2 CHAPTER 1 TOPI CS I N L I NEAR AL GEBRA
Here ∼ means that the last matrix is obtained from the ﬁrst one by elementary row operations. The last
matrix obviously has rank 2, and therefore the original matrix also has rank 2.
(d) The ﬁrst three columns of the matrix yield the minor
1 3 0
2 4 0
1 −1 2
= −4 ,= 0, so the rank is 3.
(e)
2 1
−1 4
= 9 ,= 0, so the rank is at least 2. All the four minors of order 3 are zero, so the rank must
be less than 3. Hence the rank is 2. (The three rows, r
1
, r
2
, and r
3
, of the matrix are linearly dependent,
because r
2
= −14r
1
÷9r
3
.)
(f) The determinant of the whole matrix is zero, so the rank must be less than 4. On the other hand, the
ﬁrst three rows and the ﬁrst three columns yield the minor
1 −2 −1
2 1 1
−1 1 −1
= −7 ,= 0
so the rank is at least 3. It follows that the matrix has rank 3.
1.3.2 (a) The determinant is (x ÷1)(x −2). The rank is 3 if x ,= −1 and x ,= 2. The rank is 2 if x = −1
or x = 2.
(a) By cofactor expansion along the ﬁrst row, the determinant of the matrix A =
⎛
⎝
x 0 x
2
−2
0 1 1
−1 x x −1
⎞
⎠
is
[A[ = x · (−1) −0 · 1 ÷(x
2
−2) · 1 = x
2
−x −2 = (x ÷1)(x −2)
If x ,= −1 and x ,= 2, then [A[ ,= 0, so the rank of A equals 3. If x = −1 or x = 2, then [A[ = 0 and
r(A) ≤ 2. On the other hand, the minor we get if we strike out the ﬁrst row and the third column in A is
0 1
−1 x
= 1 ,= 0 for all x, so r(A) can never be less than 2.
Conclusion: r(A) =
¸
2 if x = −1 or x = 2
3 otherwise
(b) A little calculation shows that the determinant of the matrix is t
3
÷4t
2
−4t −16, and if we note that
this expression has t ÷4 as a factor, it follows that the determinant is
t
3
÷4t
2
−4t −16 = t
2
(t ÷4) −4(t ÷4) = (t
2
−4)(t ÷4) = (t ÷2)(t −2)(t ÷4)
Thus, if t does not equal any of the numbers −2, 2, and −4, the rank of the matrix is 3.
If we strike out the second rowand the ﬁrst column of the matrix, we get the minor
5 6
1 t ÷4
= 5t ÷14,
which is different from 0 for all the three special values of t that we found above, and thus the rank of
the matrix is
¸
2 if t = −4, −2, or 2
3 otherwise
(c) The ﬁrst and third rows are identical, as are the second and fourth. But the ﬁrst two rows are always
linearly independent. So the rank is 2 for all values of x, y, z, and w.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
CHAPTER 1 TOPI CS I N L I NEAR AL GEBRA 3
1.4
1.4.2 (a) It is clear that x
1
= x
2
= x
3
= 0 is a solution. The determinant of the coefﬁcient matrix is
D =
1 −1 1
1 2 −1
2 1 3
= 9 ,= 0
Hence, by Cramer’s rule the solution is unique and the system has 0 degrees of freedom. (This agrees
with Theorem 1.4.2: since the rank of the coefﬁcient matrix is 3 and there are 3 unknowns, the system
has 3 −3 = 0 degrees of freedom.)
(b) By Gaussian elimination (or other means) we ﬁnd that the solution is x
1
= a, x
2
= −a, x
3
= −a,
and x
4
= a, with a arbitrary. Thus, there is one degree of freedom. (We could get the number of degrees
of freedom from Theorem 1.4.2 in this case, too. The minor formed from the ﬁrst three columns of the
coefﬁcient matrix has determinant −3 ,= 0, so the rank of the coefﬁcient matrix is 3. Since there are 4
unknowns, the system has 4 −3 = 1 degree of freedom.)
1.4.3 The determinant of the coefﬁcient matrix is a
2
−7a = a(a −7). Thus, if a ,= 0 and a ,= 7, the system
has a unique solution. If a = 0 or a = 7, the rank of the coefﬁcient matrix is 2 (why?), and the system
either has solutions with 1 degree of freedom or has no solutions at all, depending on the value of b. One
way of ﬁnding out is by Gaussian elimination, i.e. by using elementary row operations on the augmented
coefﬁcient matrix:
⎛
⎝
1 2 3 1
−1 a −21 2
3 7 a b
⎞
⎠
1 −3
←
←
∼
⎛
⎝
1 2 3 1
0 a ÷2 −18 3
0 1 a −9 b −3
⎞
⎠
←
−(a ÷2)
∼
⎛
⎝
1 2 3 1
0 0 −a
2
÷7a −ab −2b ÷3a ÷9
0 1 a −9 b −3
⎞
⎠
←
←
∼
⎛
⎝
1 2 3 1
0 1 a −9 b −3
0 0 a(7 −a) −ab −2b ÷3a ÷9
⎞
⎠
This conﬁrms that as long as a ,= 0 and a ,= 7, the system has a unique solution for any value of b. But if
a = 0 or a = 7, the system has solutions if and only if −ab −2b ÷3a ÷9 = 0, and then it has solutions
with 1 degree of freedom. (The rank of the coefﬁcient matrix is 2 and there are 3 unknowns.)
If a = 0, then the system has solutions if and only if b = 9/2.
If a = 7, then the system has solutions if and only if −9b ÷30 = 0, i.e. b = 10/3.
1.4.6 (a) [A
t
[ = (t −2)(t ÷3), so r(A
t
) = 3 if t ,= 2 and t ,= −3. Because the upper left 2 2 minor of
A
t
is −1 ,= 0, the rank of A
t
can never be less than 2, so r(A
2
) = 2, r(A
−3
) = 2.
(b) Let x =
⎛
⎝
x
1
x
2
x
3
⎞
⎠
. The vector equation A
−3
x =
⎛
⎝
11
3
6
⎞
⎠
is equivalent to the equation system
x
1
÷ 3x
2
÷2x
3
= 11 (1)
2x
1
÷ 5x
2
−3x
3
= 3 (2)
4x
1
÷10x
2
−6x
3
= 6 (3)
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
4 CHAPTER 1 TOPI CS I N L I NEAR AL GEBRA
Equation (3) is obviously equivalent to (2), so we can remove it, and then we are left with the two equations
x
1
÷3x
2
÷2x
3
= 11 (1)
2x
1
÷5x
2
−3x
3
= 3 (2)
We can consider these equations as an equation system with x
1
and x
2
as the unknowns:
x
1
÷3x
2
= 11 −2x
3
(1
/
)
2x
1
÷5x
2
= 3 ÷3x
3
(2
/
)
For each value of x
3
this system has the unique solution x
1
= 19x
3
− 46, x
2
= −7x
3
÷ 19. Thus the
vector equation A
3
x = (11, 3, 6)
/
has the solution
x = (19s −46, −7s ÷19, s)
/
where s runs through all real numbers.
1.5
1.5.1 For convenience, let A, B, . . . , F denote the matrices given in (a), (b), . . . , (f), respectively.
(a) The characteristic polynomial of the matrix A =
2 −7
3 −8
is
[A −λI[ =
2 −λ −7
3 −8 −λ
= λ
2
÷6λ ÷5 = (λ ÷1)(λ ÷5)
so the eigenvalues of A are λ
1
= −1 and λ
2
= −5. The eigenvectors corresponding to an eigenvalue λ
are the vectors x =
x
y
,= 0 that satisfy Ax = λx, i.e.
2x −7y = −x
3x −8y = −y
¸
⇐⇒ 3x = 7y for λ = −1
and
2x −7y = −5x
3x −8y = −5y
¸
⇐⇒ 7x = 7y for λ = −5
This gives us the eigenvectors v
1
= s
7
3
and v
2
= t
1
1
, where s and t are arbitrary real numbers
(different from 0).
(b) The characteristic equation of B is [B − λI[ =
2 −λ 4
−2 6 −λ
= λ
2
− 8λ ÷ 20 = 0. B has two
complex eigenvalues, 4 ±2i, and no real eigenvalues.
(c) The characteristic polynomial of Cis [C−λI[ = λ
2
−25, and we see immediately that the eigenvalues
are λ
1
= 5 and λ
2
= −5. The eigenvectors are determined by the equation systems
x ÷4y = 5x
6x − y = 5y
¸
⇐⇒ x = y and
x ÷4y = −5x
6x − y = −5y
¸
⇐⇒ y = −
3
2
x
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
CHAPTER 1 TOPI CS I N L I NEAR AL GEBRA 5
respectively, so the eigenvectors are
v
1
= s
1
1
and v
2
= t
−2
3
where s and t are arbitrary nonzero numbers.
(d) The characteristic polynomial of D is
[D −λI[ =
2 −λ 0 0
0 3 −λ 0
0 0 4 −λ
= (2 −λ)(3 −λ)(4 −λ)
The eigenvalues are obviously λ
1
= 2, λ
2
= 3, λ
3
= 4, and the corresponding eigenvectors are
v
1
= s
⎛
⎝
1
0
0
⎞
⎠
, v
2
= t
⎛
⎝
0
1
0
⎞
⎠
, v
3
= u
⎛
⎝
0
0
1
⎞
⎠
where s, t , u are arbitrary nonzero numbers. (Note: The eigenvalues of a diagonal matrix are always
precisely the diagonal elements, and (multiples of) the standard unit vectors will be eigenvectors. But if
two or more of the diagonal elements are equal, there will be other eigenvectors as well. An extreme case
is the identity matrix I
n
: all (nonzero) nvectors are eigenvectors for I
n
.)
(e) The characteristic polynomial of E is
2 −λ 1 −1
0 1 −λ 1
2 0 −2 −λ
= −λ
3
÷λ
2
÷2λ = −λ(λ
2
−λ −2)
The eigenvalues are the roots of the equation −λ(λ
2
−λ−2) = 0, namely λ
1
= −1, λ
2
= 0 and λ
3
= 2.
The eigenvectors corresponding to λ
1
= −1 are solutions of
Ex = −x ⇐⇒
⎧
⎪
⎨
⎪
⎩
2x
1
÷x
2
− x
3
= −x
1
x
2
÷ x
3
= −x
2
2x
1
−2x
3
= −x
2
⇐⇒
¸
x
1
=
1
2
x
3
x
2
= −
1
2
x
3
⇐⇒
¸
x
2
= −x
1
x
3
= 2x
1
so they are of the form v
1
= s
⎛
⎝
1
−1
2
⎞
⎠
. Similarly, v
2
= t
⎛
⎝
1
−1
1
⎞
⎠
and v
3
= u
⎛
⎝
2
1
1
⎞
⎠
are the eigenvectors
corresponding to λ
2
= 0 and λ
3
= 2.
(f) The characteristic polynomial of F is
1 −λ −1 0
−1 2 −λ −1
0 −1 1 −λ
= −λ
3
÷4λ
2
−3λ = −λ(λ
2
−4λ ÷3) = −λ(λ −1)(λ −3)
The eigenvalues are therefore λ
1
= 0, λ
2
= 1, and λ
3
= 3. By the same method as above we ﬁnd that
the corresponding eigenvectors are v
1
= s
⎛
⎝
1
1
1
⎞
⎠
, v
2
= t
⎛
⎝
−1
0
1
⎞
⎠
, and v
3
= u
⎛
⎝
1
−2
1
⎞
⎠
.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
6 CHAPTER 1 TOPI CS I N L I NEAR AL GEBRA
1.5.2 (a) X
/
AX = X
/
(AX) = (x, y, z)
⎛
⎝
ax ÷ay
ax ÷ay
bz
⎞
⎠
= (ax
2
÷ay
2
÷2axy ÷bz
2
) (a 1 1 matrix),
A
2
=
⎛
⎝
2a
2
2a
2
0
2a
2
2a
2
0
0 0 b
2
⎞
⎠
, A
3
=
⎛
⎝
4a
3
4a
3
0
4a
3
4a
3
0
0 0 b
3
⎞
⎠
(b) The characteristic polynomial of A is p(λ) =
a −λ a 0
a a −λ 0
0 0 b −λ
= (λ
2
−2aλ)(b −λ), so the
eigenvalues of A are λ
1
= 0, λ
2
= 2a, λ
3
= b.
(c) From (b) we get p(λ) = −λ
3
÷ (2a ÷ b)λ
2
− 2abλ. Using the expressions for A
2
and A
3
that we
found in part (a), it is easy to show that p(A) = −A
3
÷(2a ÷b)A
2
−2abA = 0.
1.5.4 (a) The formula in Problem 1.9.7(b) yields
[A −λI[ =
4 −λ 1 1 1
1 4 −λ 1 1
1 1 4 −λ 1
1 1 1 4 −λ
= (3 −λ)
4
1 ÷
4
3 −λ
= (3 −λ)
3
(7 −λ)
Hence, the eigenvalues of A are λ
1
= λ
2
= λ
3
= 3, λ
4
= 7.
(b) An eigenvector x = (x
1
, x
2
, x
3
, x
4
)
/
of A corresponding to the eigenvalue λ = 3 must satisfy the
equation system (A −3I)x = 0. The 4 equations in this system are all the same, namely
x
1
÷x
2
÷x
3
÷x
4
= 0
The system has solutions with 4 −1 = 3 degrees of freedom. One simple set of solutions is
x
1
=
⎛
⎜
⎜
⎝
1
−1
0
0
⎞
⎟
⎟
⎠
, x
2
=
⎛
⎜
⎜
⎝
1
0
−1
0
⎞
⎟
⎟
⎠
. x
3
=
⎛
⎜
⎜
⎝
1
0
0
−1
⎞
⎟
⎟
⎠
These three vectors are obviously linearly independent because if
c
1
x
1
÷c
2
x
2
÷c
3
x
3
=
⎛
⎜
⎜
⎝
c
1
÷c
2
÷c
3
−c
1
−c
2
−c
3
⎞
⎟
⎟
⎠
is the zero vector, then c
1
= c
2
= c
3
= 0.
1.5.5 (c) If λ is an eigenvalue for C with an associated eigenvector x, then C
n
x = λ
n
x for every natural
number n. If C
3
= C
2
÷C, then λ
3
x = λ
2
x÷λx, so (λ
3
−λ
2
−λ)x = 0. Then λ
3
−λ
2
−λ = 0, because
x ,= 0. If C÷I
n
did not have an inverse, [C÷I
n
[ = 0. Then λ = −1 would be an eigenvalue for C, and
so we would have λ
3
−λ
2
−λ = 0, which is not true for λ = −1. Hence −1 is not an eigenvalue for C,
and consequently C ÷I
n
has an inverse.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
CHAPTER 1 TOPI CS I N L I NEAR AL GEBRA 7
1.6
1.6.1 (a) Let A =
2 1
1 2
. The characteristic polynomial of A is
p(λ) =
2 −λ 1
1 2 −λ
= (2 −λ)
2
−1 = λ
2
−4λ ÷3 = (λ −1)(λ −3)
Thus, the eigenvalues are λ
1
= 1 and λ
2
= 3. The associated eigenvectors with length 1 are uniquely
determined up to sign as
x
1
=
1
2
√
2
−
1
2
√
2
and x
2
=
1
2
√
2
1
2
√
2
This yields the orthogonal matrix
P =
1
2
√
2
1
2
√
2
−
1
2
√
2
1
2
√
2
(It is easy to verify that P
/
P = I, i.e. P
−1
= P
/
.) We therefore have the diagonalization
P
−1
AP =
1
2
√
2 −
1
2
√
2
1
2
√
2
1
2
√
2
2 1
1 2
1
2
√
2
1
2
√
2
−
1
2
√
2
1
2
√
2
=
1 0
0 3
(b) Let B =
⎛
⎝
1 1 0
1 1 0
0 0 2
⎞
⎠
. The characteristic polynomial of B is
1 −λ 1 0
1 1 −λ 0
0 0 2 −λ
= (2 −λ)
(1 −λ)
2
−1
= (2 −λ)(λ
2
−2λ) = −λ(λ −2)
2
(use cofactor expansion of the ﬁrst determinant along the last row or the last column). The eigenvalues
are λ
1
= 0 and λ
2
= λ
3
= 2. It is easily seen that one eigenvector associated with the eigenvalue
λ
1
= 0 is x
1
= (1, −1, 0)
/
. Eigenvectors x = (x
1
, x
2
, x
3
)
/
associated with the eigenvalue 2 are given by
(B −2I)x = 0, i.e.
−x
1
÷x
2
= 0
x
1
−x
2
= 0
0 = 0
This gives x
1
= x
2
, x
3
arbitrary. One set of linearly independent eigenvectors with length 1 is then
1
√
2
⎛
⎝
1
−1
0
⎞
⎠
,
1
√
2
⎛
⎝
1
1
0
⎞
⎠
,
⎛
⎝
0
0
1
⎞
⎠
Fortunately, these three vectors are mutually orthogonal (this is not automatically true for two eigenvectors
associated with the same eigenvalue), and so we have a suitable orthogonal matrix
P =
⎛
⎜
⎝
1
2
√
2
1
2
√
2 0
−
1
2
√
2
1
2
√
2 0
0 0 1
⎞
⎟
⎠
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
8 CHAPTER 1 TOPI CS I N L I NEAR AL GEBRA
It is now easy to verify that P
−1
= P
/
and
P
−1
BP =
⎛
⎝
0 0 0
0 2 0
0 0 2
⎞
⎠
(c) The characteristic polynomial of C =
⎛
⎝
1 3 4
3 1 0
4 0 1
⎞
⎠
is
1 −λ 3 4
3 1 −λ 0
4 0 1 −λ
= 4
3 1 −λ
4 0
÷(1 −λ)
1 −λ 3
3 1 −λ
= (1 −λ)
(1 −λ)
2
−25
(cofactor expansion along the last column), and so the eigenvalues are λ
1
= 1, λ
2
= 6, and λ
3
= −4. An
eigenvector x = (x, y, z)
/
corresponding to the eigenvalue λ must satisfy
Cx = λx ⇐⇒
x ÷3y ÷4z = λx
3x ÷ y = λy
4x ÷ z = λz
One set of unnormalized eigenvectors is
u =
⎛
⎝
0
−4
3
⎞
⎠
, v =
⎛
⎝
5
3
4
⎞
⎠
, w =
⎛
⎝
−5
3
4
⎞
⎠
with lengths u = 5, v = w = 5
√
2, and a corresponding orthogonal matrix is
P =
⎛
⎜
⎝
0
5
10
√
2 −
5
10
√
2
−
4
5
3
10
√
2
3
10
√
2
3
5
4
10
√
2
4
10
√
2
⎞
⎟
⎠
A straightforward calculation conﬁrms that P
/
CP = diag(1, 6, −4) = diag(λ
1
, λ
2
, λ
3
).
1.6.5 For the given A, we have A
2
= 5A−5I. Therefore A
3
= A
2
A = (5A−5I)A = 5A
2
−5A = 20A−25I
and A
4
= 20A
2
−25A = 75A −100I =
50 75
75 125
.
1.7
1.7.5 (a) It is clear that Q(x
1
, x
2
) ≥ 0 for all x
1
and x
2
and that Q(x
1
, x
2
) = 0 only if x
1
= x
2
= 0, so Q
is positive deﬁnite.
(b) The symmetric coefﬁcient matrix of Q is
⎛
⎝
5 0 1
0 2 1
1 1 4
⎞
⎠
. The leading principal minors are
D
1
= 5, D
2
=
5 0
0 2
= 10, D
3
=
5 0 1
0 2 1
1 1 4
= 33
Since all the leading principal minors are positive, it follows from Theorem 1.7.1 that Q is positive
deﬁnite. (An alternative way to see this is to write Q as a sum of squares: Q(x
1
, x
2
, x
3
) = (x
1
÷x
3
)
2
÷
(x
2
÷x
3
)
2
÷4x
2
1
÷x
2
2
÷2x
2
3
is obviously nonnegative and it is zero only if all the square terms are zero.
But it is not always easy to see how to rewrite a quadratic form in this fashion.)
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
CHAPTER 1 TOPI CS I N L I NEAR AL GEBRA 9
(c) Since Q(x
1
, x
2
) = −(x
1
− x
2
)
2
≤ 0 for all x
1
and x
2
, Q is negative semideﬁnite. But Q is not
deﬁnite, since Q(x
1
, x
2
) = 0 whenever x
1
= x
2
.
(d) The symmetric coefﬁcient matrix of Q is
⎛
⎝
−3 1 0
1 −1 2
0 2 −8
⎞
⎠
, and the leading principal minors are
D
1
= −3 < 0, D
2
= 2 > 0, and D
3
= −4 < 0. By Theorem 1.7.1, Q is negative deﬁnite.
1.7.7 (a) The symmetric coefﬁcient matrix of Q is
A =
a
11
a
12
a
21
a
22
=
3 −(5 ÷c)/2
−(5 ÷c)/2 2c
Since a
11
> 0, the form can never be negative semideﬁnite. It is
(i) positive deﬁnite if a
11
> 0 and [A[ > 0,
(ii) positive semideﬁnite if a
11
≥ 0, a
22
≥ 0. and [A[ ≥ 0,
(iii) indeﬁnite if [A[ < 0.
The determinant of A is
[A[ = 6c −
1
4
(5 ÷c)
2
= −
1
4
(c
2
−14c ÷25) = −
1
4
(c −c
1
)(c −c
2
)
where c
1
= 7 − 2
√
6 ≈ 2.101 and c
2
= 7 ÷ 2
√
6 ≈ 11.899 are the roots of the quadratic equation
c
2
−14c ÷25 = 0. It follows that
(1) Q is positive deﬁnite if c
1
< c < c
2
, i.e. if c lies in the open interval (c
1
, c
2
);
(2) Q is positive semideﬁnite if c
1
≤ c ≤ c
2
, i.e. if c lies in the closed interval [c
1
, c
2
];
(3) Q is indeﬁnite if c < c
1
or c > c
2
, i.e. if c lies outside the closed interval [c
1
, c
2
].
1.7.10 (b) If x satisﬁes the Lagrange conditions, then Q(x) = x
/
Ax = x
/
(λx) = λx
/
x = λx
2
= λ,
because the constraint is simply x
2
= 1. Hence, the maximum and minimum values of Q(x) are
simply the largest and smallest eigenvalue of Q, which are λ
1
= 9 and λ
2
= −5. The corresponding
maximum and minimum points (eigenvectors) are ±
1
2
√
2 (1, 1) and ±
1
2
√
2 (1, −1), respectively.
1.8
1.8.3 Negative deﬁnite subject to the constraint, by Theorem 1.8.1:
0 0 1 1 1
0 0 4 −2 1
1 4 −5 1 2
1 −2 1 −1 0
1 1 2 0 −2
= −180 <
0.
1.8.4 Positive deﬁnite subject to the constraint, by Theorem 1.8.1:
0 0 1 2 1
0 0 2 −1 −3
1 2 1 1 0
2 −1 1 1 0
1 −3 0 0 1
= 25 > 0.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
10 CHAPTER 1 TOPI CS I N L I NEAR AL GEBRA
1.9
1.9.3 The obvious partitioning to use in (a) is with A
11
as 22 matrix in the upper left corner of A, and in (b)
it is natural to let A
11
be the upper left 11 matrix. In both cases the partitioned matrix will be of the form
A
11
0
0 A
22
, i.e. A
12
and A
21
will both be zero matrices. If we use formula (1.9.4) we get = A
22
,
whereas formula (1.9.5) gives
˜
= A
11
. In either case we ﬁnd that
A
11
0
0 A
22
−1
=
A
−1
11
0
0 A
−1
22
,
and the answers to (a) and (b) are as given in the book.
The matrix in (c) can be partitioned as A =
A
11
A
12
A
21
A
22
=
I
4
v
v
/
I
1
, where I
4
and I
1
are the
identity matrices of orders 4 and 1, respectively, and v
/
= (1, 1, 1, 0) is the transpose of the 4 1
matrix (column vector) v. If we use formula (1.9.4) in the book, we get = I
1
−v
/
v = (−2) = −2I
1
.
Then A
−1
11
÷A
−1
11
A
12
−1
A
21
A
−1
11
= I
4
−
1
2
vv
/
= I
4
−
1
2
⎛
⎜
⎜
⎝
1 1 1 0
1 1 1 0
1 1 1 0
0 0 0 0
⎞
⎟
⎟
⎠
=
1
2
⎛
⎜
⎜
⎝
1 −1 −1 0
−1 1 −1 0
−1 −1 1 0
0 0 0 2
⎞
⎟
⎟
⎠
,
and −
−1
A
21
A
−1
11
=
1
2
I
1
v
/
I
4
=
1
2
v
/
=
1
2
(1, 1, 1, 0). Further, −A
−1
11
A
12
−1
=
1
2
v, so we ﬁnally get
A
−1
=
I
4
−
1
2
vv
/ 1
2
v
1
2
v
/
−
1
2
I
1
=
1
2
⎛
⎜
⎜
⎜
⎜
⎝
1 −1 −1 0 1
−1 1 −1 0 1
−1 −1 1 0 1
0 0 0 2 0
1 1 1 0 −1
⎞
⎟
⎟
⎟
⎟
⎠
.
An alternative partitioning is A =
I
3
W
W
/
I
2
, where W
/
=
0 0 0
1 1 1
. Then = I
2
−WW
/
=
I
2
−
0 0
0 3
=
1 0
0 −2
, so
−1
=
1
2
2 0
0 −1
. A bit of calculation shows that −
−1
W
/
=
1
2
W
and WW
/
=
⎛
⎝
1 1 1
1 1 1
1 1 1
⎞
⎠
, so A
−1
=
I
3
−
1
2
WW
/ 1
2
W
1
2
W
/
−1
=
1
2
2I
3
−WW
/
W
W
/
2
−1
, as before.
(Note that because A is symmetric, A
−1
must also be symmetric. Thus the upper right submatrix of A
−1
must be the transpose of the lower left submatrix, which helps us save a little work.)
1.9.4 The matrix B =
⎛
⎜
⎜
⎝
1 −x
1
. . . −x
n
x
1
a
11
. . . a
1n
.
.
.
.
.
.
.
.
.
.
.
.
x
n
a
n1
. . . a
nn
⎞
⎟
⎟
⎠
can be partitioned as B =
I
1
−X
/
X A
, where A and X
are as given in the problem. We evaluate the determinant of B by each of the formulas (6) and (7): By
formula (6),
[B[ = [I
1
[ · [A −XI
−1
1
(−X
/
)[ = [A ÷XX
/
[
and by formula (7),
[B[ = [A[ · [I
1
−(−X
/
)A
−1
X[ = [A[ · [I
1
÷X
/
A
−1
X[
where the last factor is the determinant of a 1 1 matrix and therefore equal to the single element
1 ÷X
/
A
−1
X of that matrix.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
CHAPTER 1 TOPI CS I N L I NEAR AL GEBRA 11
1.9.6 (a) Let A =
A
11
A
12
0 A
22
, where A
11
is a k k matrix and A
22
is (n−k) (n−k). We will consider
two ways to demonstrate that [A[ = [A
11
[ [A
22
[.
(I) By deﬁnition, the determinant of the n n matrix A is a sum
A
of n! terms. Each of these terms
is the product of a sign factor and n elements from A, chosen so that no two elements are taken from
the same row of A or from the same column. The sign factor ±1 is determined by the positions of the
elements selected. (See EMEA or almost any book on linear algebra for details.)
A term in this sum will automatically be zero unless the factors from the ﬁrst k columns are taken
from A
11
and the last n −k factors from A
22
. If the factors are selected in this way, the term in question
will be a product of one term in the sum
1
making up [A
11
[ and one from the sum
2
that makes up
[A
22
[. (The sign factors will match.) All such pairs of terms will occur exactly once and so
A
=
1
2
,
that is, [A[ = [A
11
[ [A
22
[.
(II) Suppose that A is upper triangular, i.e. all elements below the main diagonal are 0. Then A
11
and
A
22
are also upper triangular. We know that the determinant of a triangular matrix equals the product
of the elements on the main diagonal. (Just think of cofactor expansion along the ﬁrst column, then the
second column, etc.) In this case it is clear that [A[ = [A
11
[ [A
22
[.
Of course, in the general case A need not be upper triangular at all, but we can make it so by means
of elementary row operations, more speciﬁcally the operations of (i) adding a multiple of one row to
another row and (ii) interchanging two rows. Operation (i) does not affect the value of the determinant,
while operation (ii) multiplies the value by −1. We perform such operations on the ﬁrst k rows of A in
such a way that A
11
becomes upper triangular, and then operate on the last n − k rows of A such that
A
22
becomes upper triangular. The number σ of sign changes that [A[ undergoes is then the sum of the
numbers σ
1
and σ
2
of sign changes inﬂicted on [A
11
[ and [A
22
[, respectively. By the formula we showed
for the upper triangular case, (−1)
σ
[A[ = (−1)
σ
1
[A
11
[ · (−1)
σ
2
[A
22
[, and since σ
1
÷ σ
2
= σ, we get
[A[ = [A
11
[ [A
22
[ in the general case too.
To show the formula
A
11
0
A
21
A
22
= [A
11
[ [A
22
[, simply look at the determinant
A
/
11
A
/
21
0 A
/
22
of the
transposed matrix.
(b) The equality follows by direct multiplication. By the result in (a), the ﬁrst factor on the left has
determinant [I
k
[ [I
n−k
[ = 1, and so, by (a) again,
A
11
A
12
A
21
A
22
=
A
11
−A
12
A
−1
22
A
21
0
A
21
A
22
= [A
11
−A
12
A
−1
22
A
21
[ [A
22
[
1.9.7 (a) With D =
I
n
A
0 I
m
and E =
I
n
−A
B I
m
we get
DE =
I
n
÷AB 0
B I
m
and ED =
I
n
0
B I
m
÷BA
Cofactor expansion of the determinant of DE along each of the last m columns shows that [DE[ =
[I
n
÷AB[. Similarly, cofactor expansion along each of the ﬁrst n rows shows that [ED[ = [I
m
÷BA[.
Alternatively, we could use formula (7) with A
22
= I
m
to evaluate [DE[ and formula (6) with A
11
= I
n
to evaluate [ED[.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
12 CHAPTER 2 MUL TI VARI ABL E CAL CUL US
(b) With A and B as in the hint, AB is an n n matrix with every column equal to A. Therefore
F = I
n
÷AB =
⎛
⎜
⎜
⎜
⎜
⎜
⎜
⎜
⎜
⎝
a
1
a
1
−1
1
a
1
−1
. . .
1
a
1
−1
1
a
2
−1
a
2
a
2
−1
. . .
1
a
2
−1
.
.
.
.
.
.
.
.
.
.
.
.
1
a
n
−1
1
a
n
−1
. . .
a
n
a
n
−1
⎞
⎟
⎟
⎟
⎟
⎟
⎟
⎟
⎟
⎠
and
G =
⎛
⎜
⎜
⎝
a
1
1 . . . 1
1 a
2
. . . 1
.
.
.
.
.
.
.
.
.
.
.
.
1 1 . . . a
n
⎞
⎟
⎟
⎠
=
⎛
⎜
⎜
⎝
a
1
−1 0 . . . 0
0 a
2
−1 . . . 0
.
.
.
.
.
.
.
.
.
.
.
.
0 0 . . . a
n
−1
⎞
⎟
⎟
⎠
(I
n
÷AB)
From the result in (a) it follows that
[G[ = (a
1
−1)(a
2
−1) · · · (a
n
−1) [I
n
÷AB[ = (a
1
−1)(a
2
−1) · · · (a
n
−1) [I
1
÷BA[
= (a
1
−1)(a
2
−1) · · · (a
n
−1)
1 ÷
n
¸
i=1
1
a
i
−1
Chapter 2 Multivariable Calculus
2.1
2.1.3 (a) The unit vector in the direction given by v = (1, 1) is a =
1
v
v =
1
√
2
(1, 1). By formula (2.1.8)
the directional derivative of f in this direction at (2, 1) is
f
/
a
(2, 1) = ∇f (2, 1) · a =
1
√
2
∇f (2, 1) · (1, 1) =
1
√
2
(2, 1) · (1, 1) =
3
√
2
=
3
√
2
2
Note: It is pure coincidence that the gradient of f at (2,1) equals (2,1).
(b) The gradient of g is ∇g(x, y, z) = ((1 ÷ xy)e
xy
− y, x
2
e
xy
− x, −2z), and the unit vector in the
direction given by (1, 1, 1) is b =
1
√
3
(1, 1, 1). Formula (2.8.1) gives
g
/
b
(0, 1, 1) = ∇g(0, 1, 1) · b =
1
√
3
(0, 0, −2) · (1, 1, 1) = −
2
√
3
= −
2
√
3
3
2.1.5 (a) The vector from (3, 2, 1) to (−1, 1, 2) is (−1, 1, 2) −(3, 2, 1) = (−4, −1, 1), and the unit vector
in this direction is a =
1
√
18
(−4, −1, 1). The gradient of f is
∇f (x, y, z) =
y ln(x
2
÷y
2
÷z
2
)÷
2x
2
y
x
2
÷y
2
÷z
2
, x ln(x
2
÷y
2
÷z
2
)÷
2xy
2
x
2
÷y
2
÷z
2
,
2xyz
x
2
÷y
2
÷z
2
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
CHAPTER 2 MUL TI VARI ABL E CAL CUL US 13
By formula (2.1.8) the directional derivative of f at (1, 1, 1) in the direction a is
f
/
a
(1, 1, 1) = (1/
√
18 ) ∇f (1, 1, 1) · (−4, −1, 1)
= (1/
√
18 ) (ln 3 ÷2/3, ln 3 ÷2/3, 2/3) · (−4, −1, 1) = −(5 ln 3 ÷8/3)/
√
18
(b) At (1, 1, 1) the direction of fastest growth for f is given by ∇f (1, 1, 1) = (ln 3÷2/3, ln 3÷2/3, 2/3).
2.1.6 The unit vector in the direction of maximal increase of f at (0, 0) is a =
1
√
10
(1, 3) and therefore
∇f (0, 0) = t a for a number t ≥ 0. We also know that f
/
a
(0, 0) = 4. On the other hand, by (2.1.8),
f
/
a
(0, 0) = ∇f (0, 0) · a = t a · a = t a
2
= t . Hence, t = 4 and
∇f (0, 0) = 4a =
4
√
10
(1, 3) =
4
√
10
10
(1, 3) =
2
√
10
5
(1, 3)
2.1.9 (a) We know that y
/
= −F
/
1
(x, y)/F
/
2
(x, y), and by the chain rule for functions of several variables,
y
//
=
d
dx
(y
/
) = −
∂
∂x
F
/
1
(x, y)
F
/
2
(x, y)
dx
dx
−
∂
∂y
F
/
1
(x, y)
F
/
2
(x, y)
dy
dx
= −
F
//
11
F
/
2
−F
/
1
F
//
21
(F
/
2
)
2
· 1 −
F
//
12
F
/
2
−F
/
1
F
//
22
(F
/
2
)
2
−
F
/
1
F
/
2
=
−(F
//
11
F
/
2
−F
/
1
F
//
21
)F
/
2
÷(F
//
12
F
/
2
−F
/
1
F
//
22
)F
/
1
(F
/
2
)
3
=
−F
//
11
(F
/
2
)
2
÷2F
//
12
F
/
1
F
/
2
−F
//
22
(F
/
1
)
2
(F
/
2
)
3
(Remember that F
//
21
= F
//
12
.) Expanding the determinant in the problem yields precisely the numerator
in the last fraction.
2.2
2.2.6 (a) If x and y are points in S and λ ∈ [0, 1], then x ≤ r, y ≤ r, and by the triangle inequality,
λx ÷ (1 − λ)y ≤ λx ÷ (1 − λ)y ≤ λr ÷ (1 − λ)r = r. Hence, λx ÷ (1 − λ)y belongs to S. It
follows that S is convex.
(b) S
1
is the interior of the ball S, i.e. what we get when we remove the spherical “shell” {x : x = r}
from S. The triangle inequality shows that S
1
is convex. The set S
2
is the spherical shell we mentioned,
while S
3
consists of the shell and the part of ޒ
n
that lies outside S. Neither S
2
nor S
3
is convex.
2.2.7 (a) Let us call a set S of numbers midpoint convex if
1
2
(x
1
÷ x
2
) whenever x
1
and x
2
belong to S.
The set S = ޑof rational numbers is midpoint convex, but it is not convex, for between any two rational
numbers r
1
and r
2
there are always irrational numbers. For example, let t = r
1
÷(r
2
−r
1
)/
√
2. Then t
lies between r
1
and r
2
. If t were rational, then
√
2 = (r
2
− r
1
)/(t − r
1
) would also be rational, but we
know that
√
2 is irrational.
(b) Suppose S is midpoint convex and closed. Let x
1
and x
2
be points in S, with x
1
< x
2
, and let λin (0, 1).
We shall prove that the point z = λx
1
÷(1−λ)x
2
belongs to S. Since S is midpoint convex, it must contain
y
1
=
1
2
(x
1
÷x
2
), and then it contains y
21
=
1
2
(x
1
÷y
1
) =
3
4
x
1
÷
1
4
x
2
and y
22
=
1
2
(y
1
÷x
2
) =
1
4
x
1
÷
3
4
x
2
.
We can continue in this fashion, constructing new midpoints between the points that have already been
constructed, and we ﬁnd that S must contain all points of the form
k
2
n
x
1
÷
2
n
−k
2
n
x
2
=
k
2
n
x
1
÷
1 −
k
2
n
x
2
, n = 1, 2, 3, . . . , k = 0, 1, . . . , 2
n
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
14 CHAPTER 2 MUL TI VARI ABL E CAL CUL US
Thus, for each n we ﬁnd 2
n
÷ 1 evenly spaced points in the interval [x
1
, x
2
] that all belong to S. The
distance between two neighbouring points in this collection is (x
2
− x
1
)/2
n
. Now let r be any positive
number, and consider the open rball (open interval) B = B(z: r) = (z −r, z ÷r) around z. Let n be so
large that (x
2
− x
1
)/2
n
< 2r. Then B must contain at least one of the points (k/2
n
)x
1
÷ (1 − k/2
n
)x
2
constructed above, so B contains at least one point from S. It follows that z does indeed belong to
cl(S) = S.
2.2.8 Let S be a convex subset of ޒ containing more than one point, and let a = inf S, b = sup S (where
a and b may be ﬁnite or inﬁnite). Then a < b. In order to prove that S is an interval, it sufﬁces to show
that S contains the open interval (a, b). Let x be a point in (a, b). Since x < b = sup S, there exists a β
in S with x < β. Similarly, there is an α in S with α < x. Then x is a convex combination of α and β,
and since S is convex, x belongs to S.
2.3
2.3.5 (a) z
//
11
(x, y) = −e
x
− e
x÷y
, z
//
12
(x, y) = −e
x÷y
, and z
//
22
(x, y) = −e
x÷y
, so z
//
11
(x, y) < 0 and
z
//
11
z
//
22
−(z
//
12
)
2
= e
2x÷y
> 0. By Theorem 2.3.1, z is a strictly concave function of x and y.
(b) z is strictly convex, because z
//
11
= e
x÷y
÷e
x−y
> 0 and z
//
11
z
//
22
−(z
//
12
)
2
= 4e
2x
> 0.
(c) w = u
2
, where u = x ÷ 2y ÷ 3z. So w is a convex function of an afﬁne function, hence convex
according to (2.3.8). It is not strictly convex, however, because it is constant on every plane of the form
x ÷2y ÷3z = c, and therefore constant along each line joining two points in such a plane.
2.3.6 (b) Let λ
2
> λ
1
> 0 and deﬁne μ = λ
1
/λ
2
. Then μ ∈ (0, 1) and by the concavity of f we have
μf (λ
2
x) ÷ (1 − μ)f (0) ≤ f (μλ
2
x ÷ (1 − μ)0), i.e. (λ
1
/λ
2
)f (λ
2
x) ≤ f (λ
1
x), so f (λ
2
x)/λ
2
≤
f (λ
1
x)/λ
1
. It also follows that if f is strictly concave, then f (λx)/λ is strictly decreasing as a function
of λ.
(c) Take any x ,= 0 in the domain of f . Then x ,= 2x and f (
1
2
x ÷
1
2
2x) = f (
3
2
x) =
3
2
f (x) =
1
2
f (x) ÷f (x) =
1
2
f (x) ÷
1
2
f (2x). Therefore f cannot be strictly concave.
2.3.8 The challenge here is mainly in getting the derivatives right, but with care and patience you will ﬁnd
that
f
//
11
(v
1
, v
2
) = −Pv
2
2
, f
//
12
(v
1
, v
2
) = Pv
1
v
2
, f
//
22
(v
1
, v
2
) = −Pv
2
1
where
P = (ρ ÷1)δ
1
δ
2
A(v
1
v
2
)
−ρ−2
δ
1
v
−ρ
1
÷δ
2
v
−ρ
2
−(1/ρ)−2
These formulas show that for all v
1
and v
2
, the “direct” second derivatives f
//
11
and f
//
22
have the same sign
as −(ρ ÷1). Also, f
//
11
f
//
22
−(f
//
12
)
2
= 0 everywhere. It follows from Theorem 2.3.1 that f is convex if
ρ ≤ −1, and concave if ρ ≥ −1. If ρ = −1 then f (v
1
, v
2
) = A(δ
1
v
1
÷δ
2
v
2
) is a linear function, which
indeed is both convex and concave.
The equation f
//
11
f
//
22
−(f
//
12
)
2
= 0 is a consequence of the fact that f is homogeneous of degree 1,
see e.g. Section 12.6 on homogeneous functions in EMEA. Since f is homogeneous of degree 1, it is
linear along each ray from the origin and therefore it cannot be strictly convex or strictly concave for any
value of ρ.
2.3.9 (a) This is mainly an exercise in manipulating determinants. If you feel that the calculations below
look frightening, try to write them out in full for the case k = 3 (or k = 2). Note that z
//
ij
= a
i
a
j
z/x
i
x
j
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
CHAPTER 2 MUL TI VARI ABL E CAL CUL US 15
for i ,= j, and z
//
ii
= a
i
(a
i
−1)z/x
2
i
. Rule (1.1.20) tells us that a common factor in any column (or row)
in a determinant can be “moved outside”. Therefore,
D
k
=
z
//
11
z
//
12
. . . z
//
1k
z
//
21
z
//
22
. . . z
//
2k
.
.
.
.
.
.
.
.
.
.
.
.
z
//
k1
z
//
k2
. . . z
//
kk
=
a
1
(a
1
−1)
x
2
1
z
a
1
a
2
x
1
x
2
z · · ·
a
1
a
k
x
1
x
k
z
a
2
a
1
x
2
x
1
z
a
2
(a
2
−1)
x
2
2
z · · ·
a
2
a
k
x
2
x
k
z
.
.
.
.
.
.
.
.
.
.
.
.
a
k
a
1
x
k
x
1
z
a
k
a
2
x
k
x
2
z · · ·
a
k
(a
k
−1)
x
2
k
z
(1)
=
a
1
a
2
. . . a
k
x
1
x
2
. . . x
k
z
k
a
1
−1
x
1
a
1
x
1
· · ·
a
1
x
1
a
2
x
2
a
2
−1
x
2
· · ·
a
2
x
2
.
.
.
.
.
.
.
.
.
.
.
.
a
k
x
k
a
k
x
k
· · ·
a
k
−1
x
k
(2)
=
a
1
a
2
. . . a
k
(x
1
x
2
. . . x
k
)
2
z
k
a
1
−1 a
1
· · · a
1
a
2
a
2
−1 · · · a
2
.
.
.
.
.
.
.
.
.
.
.
.
a
k
a
k
· · · a
k
−1
where equality (1) holds because a
j
z/x
j
is a common factor in column j for each j and equality (2) holds
because 1/x
i
is a common factor in row i for each i.
(b) More determinant calculations. Let s
k
=
¸
k
i=1
a
i
= a
1
÷· · · ÷a
k
. We use the expression for D
k
that
we found in part (a), and add rows 2, 3, . . . , k to the ﬁrst row. Then each entry in the ﬁrst row becomes
equal to s
k
−1. Afterwards we take the common factor s
k
−1 in row 1 and move it outside.
D
k
=
a
1
a
2
. . . a
k
(x
1
x
2
. . . x
k
)
2
z
k
s
k
−1 s
k
−1 · · · s
k
−1
a
2
a
2
−1 · · · a
2
.
.
.
.
.
.
.
.
.
.
.
.
a
k
a
k
· · · a
k
−1
= (s
k
−1)
a
1
a
2
. . . a
k
(x
1
x
2
. . . x
k
)
2
z
k
1 1 · · · 1
a
2
a
2
−1 · · · a
2
.
.
.
.
.
.
.
.
.
.
.
.
a
k
a
k
· · · a
k
−1
Now subtract column 1 from all the other columns. Rule (1.1.22) says that this does not change the value
of the determinant, so
D
k
= (s
k
−1)
a
1
a
2
. . . a
k
(x
1
x
2
. . . x
k
)
2
z
k
1 0 · · · 0
a
2
−1 · · · 0
.
.
.
.
.
.
.
.
.
.
.
.
a
k
0 · · · −1
= (−1)
k−1
(s
k
−1)
a
1
a
2
. . . a
k
(x
1
x
2
. . . x
k
)
2
z
k
(c) By assumption, a
i
> 0 for all i, so if
¸
n
i=1
a
i
< 1, then s
k
=
¸
k
i=1
a
i
< 1 for all k. Therefore D
k
has the same sign as (−1)
k
. It follows from Theorem 2.3.2(b) that f is strictly concave.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
16 CHAPTER 2 MUL TI VARI ABL E CAL CUL US
2.4
2.4.3 We shall show that Jensen’s inequality (2.4.2) holds for all natural numbers m, not just for m = 3. Let
f be a function deﬁned on a convex set S in ޒ
n
and for each natural number m let A(m) be the following
statement: “The inequality
f (λ
1
x
1
÷· · · ÷λ
m
x
m
) ≥ λ
1
f (x
1
) ÷· · · ÷λ
m
f (x
m
)
holds for all x
1
, . . . , x
m
in S and all λ
1
≥ 0, . . . , λ
m
≥ 0 with λ
1
÷· · · ÷λ
m
= 1.”
We shall prove that A(m) is true for every natural number m. It is obvious that A(1) is true, since
it just says that f (x) = f (x), and A(2) is also true, since f is concave. Now suppose that A(k) is true,
where k is some natural number greater than 1. We shall prove that A(k ÷1) is also true.
Let x
1
, . . . , x
k÷1
be points in S and let λ
1
, . . . , λ
k÷1
be nonnegative numbers with sum 1. We can
assume that λ
k÷1
> 0, for otherwise we are really in the case m = k. Then μ = λ
k
÷λ
k÷1
> 0 and we
can deﬁne y = (1/μ)(λ
k
x
k
÷ λ
k÷1
x
k÷1
). The point y is a convex combination of x
k
and x
k÷1
, and so
y ∈ S. By A(k) we have
f (λ
1
x
1
÷· · · ÷λ
k÷1
x
k÷1
) = f (λ
1
x
1
÷· · · ÷λ
k−1
x
k−1
÷μy)
≥ λ
1
f (x
1
) ÷· · · ÷λ
k−1
f (x
k−1
) ÷μf (y)
(∗)
Moreover, since f is concave, and (λ
k
/μ) ÷(λ
k÷1
/μ) = 1,
μf (y) = μf
λ
k
μ
x
k
÷
λ
k÷1
μ
x
k÷1
≥ μ
λ
k
μ
f (x
k
) ÷
λ
k÷1
μ
f (x
k÷1
)
= λ
k
f (x
k
) ÷λ
k÷1
f (x
k÷1
)
and this inequality together with (∗) yields
f (λ
1
x
1
÷· · · ÷λ
k÷1
x
k÷1
) ≥ λ
1
f (x
1
) ÷· · · ÷λ
k−1
f (x
k−1
) ÷λ
k
f (x
k
) ÷λ
k÷1
f (x
k÷1
)
which shows that A(k ÷1) is true. To sum up, we have shown that: (i) A(2) is true, (ii) A(k) ⇒A(k ÷1)
for every natural number k ≥ 2. It then follows by induction that A(m) is true for all m ≥ 2. Note that
both (i) and (ii) are necessary for this conclusion.
2.4.5 Let x, y belong to S and let λ ∈ [0, 1]. Then z = λx ÷ (1 − λ)y belongs to S. To show that f is
concave, it is sufﬁcient to show that λf (x) ÷(1 −λ)f (y) ≤ f (z). By assumption, f has a supergradient
p at z, and therefore
f (x) −f (z) ≤ p · (x −z) and f (y) −f (z) ≤ p · (y −z)
Since both λ and 1 −λ are nonnegative, it follows that
λf (x) ÷(1 −λ)f (y) −f (z) = λ[f (x) −f (z)] ÷(1 −λ)[f (y) −f (z)]
≤ p · [λ(x −z) ÷(1 −λ)(y −z)] = p · 0 = 0
by the deﬁnition of z.
2.4.6 Theorem 2.4.1(c) tells us that f (x, y) = x
4
÷y
4
is a strictly convex function of (x, y) if and only if
f (x, y) −f (x
0
, y
0
) > ∇f (x
0
, y
0
) · (x −x
0
, y −y
0
) whenever (x, y) ,= (x
0
, y
0
). Since ∇f (x
0
, y
0
) =
(4x
3
0
, 4y
3
0
), we have
f (x, y) −f (x
0
, y
0
) −∇f (x
0
, y
0
) · (x −x
0
, y −y
0
) = p(x, x
0
) ÷p(y, y
0
)
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
CHAPTER 2 MUL TI VARI ABL E CAL CUL US 17
where p(t, t
0
) = t
4
− t
4
0
− 4t
3
0
(t − t
0
) for all t and t
0
. Now, p(t, t
0
) = (t − t
0
)(t
3
÷ t
2
t
0
÷ t t
2
0
− 3t
3
0
).
The second factor here is 0 if t = t
0
, so it is divisible by t −t
0
, and polynomial division yields
p(t, t
0
) = (t −t
0
)(t −t
0
)(t
2
÷2t t
0
÷3t
2
0
) = (t −t
0
)
2
[(t ÷t
0
)
2
÷2t
2
0
]
The expression in square brackets is strictly positive unless t = t
0
= 0, so it follows that p(t, t
0
) > 0
whenever t ,= t
0
. Hence, p(x, x
0
) ÷p(y, y
0
) > 0 unless both x = x
0
and y = y
0
.
2.5
2.5.2 (a) f is linear, so it is concave and therefore also quasiconcave.
(c) The set of points for which f (x, y) ≥ −1 is P
−1
= {(x, y) : y ≤ x
−2/3
}, which is not a convex
set (see Fig. M2.5.2(c), where P
−1
is the unshaded part of the plane), so f is not quasiconcave. (It is
quasiconvex in the ﬁrst quadrant, though.)
(d) The polynomial x
3
÷x
2
÷1 is increasing in the interval (−∞, −2/3], and decreasing in [−2/3, 0].
So f is increasing in (−∞, −2/3] and decreasing in [−2/3, ∞). (See Fig. M2.5.2(d).) Then the upper
level sets must be intervals (or empty), and it follows that f is quasiconcave. Alternatively, we could use
the result in the note below.
y
2
1
1
2
3
4
x
4 3 2 1 1 2 3 4
f (x) ≤ −1 f (x) ≤ −1
y
1
1
2
3
x
3 2 1 1 2 3
y = x
3
÷x
2
÷1
y = f (x)
Figure M2.5.2(c) Neither P
a
nor P
a
is convex for a = −1.
Figure M2.5.2(d) The graph of f .
A note on quasiconcave functions of one variable
It is shown in Example 2.5.2 in the book that a function of one variable that is increasing or decreasing
on a whole interval is both quasiconcave and quasiconvex on that interval. Now suppose f is a function
deﬁned on an interval (a, b) and that there is a point c in (a, b such that f is increasing on (a, c] and
decreasing on [c, b). Then f is quasiconcave on the interval (a, b). This follows because the upper level
sets must be intervals. Alternatively we can use Theorem 2.5.1(a) and note that if x and y are points in
(a, b), then f (z) ≥ min{f (x), f (y)} for all z between x and y. We just have to look at each of the three
possibilities x < y ≤ c, x ≤ c < y, and c < x < y, and consider the behaviour of f over the interval
[x, y] in each case. This argument also holds if a = −∞ or b = ∞, and also in the case of a closed
or halfopen interval. Similarly, if f is decreasing to the left of c and increasing to the right, then f is
quasiconvex.
We could use this argument in Problem 2.5.2(d), for instance.
2.5.6 Since f is decreasing and g is increasing, it follows from Example 2.4.2 that both of these functions
are quasiconcave as well as quasiconvex. Their sum, f (x) ÷ g(x) = x
3
− x, is not quasiconcave,
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
18 CHAPTER 2 MUL TI VARI ABL E CAL CUL US
however. For instance, it is clear from Fig. A2.5.6 in the answer section of the book that the upper level
set P
0
= {x : f (x) ÷g(x) ≥ 0} = [−1, 0] ∪[1, ∞), which is not a convex set of ޒ. Similarly, the lower
level set P
0
= (−∞, −1] ∪ [0, 1] is not convex, and so f ÷g is not quasiconvex either.
2.5.7 (a) Let f be singlepeaked with a peak at x
∗
. We want to prove that f is strictly quasiconcave. That
is, we want to prove that if x < y and z is a point strictly between x and y, then f (z) > min{f (x), f (y)}.
There are two cases to consider:
(A) Suppose z ≤ x
∗
. Since x < z ≤ x
∗
and f is strictly increasing in the interval [x, x
∗
], we have
f (z) > f (x).
(B) Suppose x
∗
< z. Then x
∗
< z < y, and since f is strictly decreasing in [x
∗
, y], we get f (z) > f (y).
In both cases we get f (z) > min{f (x), f (y)}, and so f is strictly quasiconcave
(b) No. Even if f is concave, it may, for example, be linear in each of the intervals (−∞, x
∗
] and
[x
∗
, ∞), or in parts of one or both of these intervals, and in such cases f cannot be strictly concave.
2.5.11 With apologies to the reader, we would like to change the name of the function from f to h. So
h(x) is strictly quasiconcave and homogeneous of degree q ∈ (0, 1), with h(x) > 0 for all x ,= 0 in
K and h(0) = 0, and we want to prove that h is strictly concave in the convex cone K. Deﬁne a new
function f by f (x) = h(x)
1/q
. Then f (x) is also strictly quasiconcave (use the deﬁnition) and satisﬁes
the conditions of Theorem 2.5.3. Let x ,= y and let λ ∈ (0, 1).
Assume ﬁrst that x and y do not lie on the same ray from the origin in ޒ
n
. Then both f (x) and f (y)
are strictly positive and we can deﬁne α, β, μ, x
/
, and y
/
as in the proof of Theorem 2.5.3. We get x
/
,= y
/
and f (x
/
) = f (y
/
), and (see the original proof)
f (λx ÷(1 −λ)y) = f (μx
/
÷(1 −μ)y
/
) > f (x
/
) = f (y
/
) = μf (x
/
) ÷(1 −μ)f (y
/
)
= (μβ/α)f (x) ÷(β −βμ)f (y) = λf (x) ÷(1 −λ)f (y)
with strict inequality because f is strictly quasiconcave. Since 0 < q < 1, the qth power function t .→t
q
is strictly increasing and strictly concave, and therefore
h(λx ÷(1 −λ)y) =
f (λx ÷(1 −λ)y)
q
>
λf (x) ÷(1 −λ)f (y)
q
> λf (x)
q
÷(1 −λ)f (y)
q
= λh(x) ÷(1 −λ)h(y)
It remains to show that h(λx ÷ (1 − λ)y) > λh(x) ÷ (1 − λ)h(y) in the case where x and y lie on the
same ray from the origin. We can assume that x ,= 0 and y = t x for some nonnegative number t ,= 1.
Since the qth power function is strictly concave, (λ ÷(1 −λ)t )
q
> λ1
q
÷(1 −λ)t
q
= λ ÷(1 −λ)t
q
. It
follows that
h(λx ÷(1 −λ)y) = h
(λ ÷(1 −λ)t )x
=
λ ÷(1 −λ)t
q
h(x)
>
λ ÷(1 −λ)t
q
h(x) = λh(x) ÷(1 −λ)h(t x) = λh(x) ÷(1 −λ)h(y)
2.6
2.6.1 (a) f
/
1
(x, y) = ye
xy
, f
/
2
(x, y) = xe
xy
, f
//
11
(x, y) = y
2
e
xy
. f
//
12
(x, y) = e
xy
÷ xye
xy
, f
//
22
(x, y) =
x
2
e
x,y
. With the exception of f
//
12
, these derivatives all vanish at the origin, so we are left with the quadratic
approximation f (x, y) ≈ f (0, 0) ÷f
//
12
(0, 0)xy = 1 ÷xy.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
CHAPTER 2 MUL TI VARI ABL E CAL CUL US 19
(b) f
/
1
(x, y) = 2xe
x
−
y
2
, f
/
2
(x, y) = −2ye
x
2
−y
2
, f
//
11
(x, y) = (2÷4x
2
)e
x
2
−y
2
, f
//
12
(x, y) = −4xye
x
2
−y
2
,
f
//
22
(x, y) = (−2 ÷ 4y
2
)e
x
2
−y
2
. Hence, f
/
1
(0, 0) = f
/
2
(0, 0) = 0, f
//
11
(0, 0) = 2, f
//
12
(0, 0) = 0,
f
//
22
(0, 0) = −2.
Quadratic approximation: f (x, y) ≈ f (0, 0) ÷
1
2
f
//
11
(0, 0)x
2
÷
1
2
f
//
22
(0, 0)y
2
= 1 ÷x
2
−y
2
.
(c) The ﬁrst and secondorder derivatives are: f
/
1
(x, y) =
1
1 ÷x ÷2y
, f
/
2
(x, y) =
2
1 ÷x ÷2y
,
f
//
11
(x, y) = −
1
(1 ÷x ÷2y)
2
, f
//
12
(x, y) = −
2
(1 ÷x ÷2y)
2
, f
//
22
(x, y) = −
4
(1 ÷x ÷2y)
2
.
At (0, 0) we get f (0, 0) = 1, f
/
1
(0, 0) = 1, f
/
2
(0, 0) = 2, f
//
11
(0, 0) = −1, f
//
2
(0, 0) = −2, f
//
22
(0, 0) =
−4, and the quadratic approximation to f (x, y) around (0, 0) is
f (x, y) ≈ f (0, 0) ÷f
/
1
(0, 0)x ÷f
/
2
(0, 0)y ÷
1
2
f
//
11
(0, 0)x
2
÷f
//
12
(0, 0)xy ÷
1
2
f
//
22
(0, 0)y
2
= 1 ÷x ÷2y −
1
2
x
2
−2xy −2y
2
(There is a misprint in the answer in the ﬁrst printing of the book.)
2.6.4 z is deﬁned implicitly as a function of x and y by the equation F(x, y, z) = 0, where F(x, y, z) =
ln z −x
3
y ÷xz −y. With x = y = 0 we get ln z = 0, so z = 1. Since F
/
3
(x, y, z) = 1/z ÷x = 1 ,= 0 at
(x, y, z) = (0, 0, 1), z is a C
1
function of x and y around this point. In order to ﬁnd the Taylor polynomial
we need the ﬁrst and secondorder derivatives of z with respect to x and y. One possibility is to use the
formula z
/
x
= −F
/
1
(x, y, z)/F
/
3
(x, y, z) and the corresponding formula for z
/
y
, and then take derivatives of
these expressions to ﬁnd the secondorder derivatives. That procedure leads to some rather nasty fractions
with a good chance of going wrong, so instead we shall differentiate the equation ln z = x
3
y −xz ÷y,
keeping in mind that z is a function of x and y. We get
z
/
x
/z = 3x
2
y −z −xz
/
x
=⇒ (1 ÷xz)z
/
x
= 3x
2
yz −z
2
(1)
z
/
y
/z = x
3
−xz
/
y
÷1 =⇒ (1 ÷xz)z
/
y
= x
3
z ÷z (2)
Taking derivatives with respect to x and y in (1), we get
(z ÷xz
/
x
)z
/
x
÷(1 ÷xz)z
//
xx
= 6xyz ÷3x
2
yz
/
x
−2zz
/
x
(3)
xz
/
y
z
/
x
÷(1 ÷xz)z
//
xy
= 3x
2
z ÷3x
2
yz
/
y
−2zz
/
y
(4)
and differentiating (2) with respect to y, we get
xz
/
y
z
/
y
÷(1 ÷xz)z
//
yy
= x
3
z
/
y
÷z
/
y
(5)
Now that we have ﬁnished taking derivatives, we can let x = y = 0 and z = 1 in the equations we have
found. Equations (1) and (2) give z
/
x
= −1 and z
/
y
= 1 (at the particular point we are interested in), and
then (3)–(5) give z
//
xx
= 3, z
//
xy
= −2, and z
//
yy
= 1. The quadratic approximation to z around (0, 0) is
therefore
z ≈ 1 −x ÷y ÷
3
2
x
2
−2xy ÷
1
2
y
2
(The ﬁrst printing of the book has a misprint in the answer to this problem, too—the coefﬁcient of x
2
is
wrong.)
2.7
2.7.2 (a) F(x, y, z) = x
3
÷ y
3
÷ z
3
− xyz − 1 is obviously C
1
everywhere, and F
/
3
(0, 0, 1) = 3 ,= 0,
so by the implicit function theorem the equation deﬁnes z as a C
1
function g(x, y) in a neighbourhood
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
20 CHAPTER 2 MUL TI VARI ABL E CAL CUL US
of (x
0
, y
0
, z
0
) = (0, 0, 1). To ﬁnd the partial derivatives g
/
1
and g
/
2
there is no need to use the matrix
formulation in Theorem 2.7.2. After all, g is just a single realvalued function, and the partial derivative
g
/
1
(x, y) is just what we get if we treat y as a constant and take the derivative of g with respect to x.
Thus, g
/
1
(x, y) = −F
/
1
(x, y, z)/F
/
3
(x, y, z) = −(3x
2
− yz)/(3z
2
− xy) and, in particular, g
/
1
(0, 0) =
−F
/
1
(0, 0, 1)/F
/
3
(0, 0, 1) = 0. Likewise, g
/
2
(0, 0) = 0.
(b) As in part (a), F
/
3
is C
1
everywhere and F
/
3
(x, y, z) = e
z
− 2z ,= 0 for z = 0, so the equa
tion F = 0 deﬁnes z as a C
1
function g(x, y) around (x
0
, y
0
, z
0
) = (1, 0, 0). We get g
/
1
(x, y) =
−F
/
1
(x, y, z)/F
/
3
(x, y, z) = 2x/(e
z
− 2z) and g
/
2
(x, y, z) = −F
/
2
/F
/
3
= 2y/(e
z
− 2z), so g
/
1
(1, 0) = 2
and g
/
2
(1, 0) = 0.
2.7.3 The given equation system can be written as f(x, y, z, u, v, w) = 0, where f = (f
1
, f
2
, f
3
) is the
function ޒ
3
ޒ
3
→ޒ
3
given by f
1
(x, y, z, u, v, w) = y
2
−z ÷u −v −w
3
÷1, f
2
(x, y, z, u, v, w) =
−2x ÷ y − z
2
÷ u ÷ v
3
− w ÷ 3, and f
3
(x, y, z, u, v, w) = x
2
÷ z − u − v ÷ w
3
− 3. The Jacobian
determinant of f with respect to u, v, w is
∂(f
1
, f
2
, f
3
)
∂(u, v, w)
=
1 −1 −3w
2
1 3v
2
−1
−1 −1 3w
2
= 6w
2
−2
This determinant is different from 0 at P, so according to Theorem 2.7.2 the equation system does deﬁne
u, v, and w as C
1
functions of x, y, and z. The easiest way to ﬁnd the partial derivatives of these functions
with respect to x is probably to take the derivatives with respect to x in each of the three given equations,
remembering that u, v, w are functions of x, y, z. We get
u
/
x
−v
/
x
−3w
2
w
/
x
= 0
−2 ÷u
/
x
÷3v
2
v
/
x
−w
/
x
= 0
2x −u
/
x
−v
/
x
÷3w
2
w
/
x
= 0
⎫
⎪
⎬
⎪
⎭
, so at P we get
⎧
⎪
⎨
⎪
⎩
u
/
x
−v
/
x
−3w
/
x
= 0
u
/
x
− w
/
x
= 2
−u
/
x
−v
/
x
÷3w
/
x
= −2
The unique solution of this system is u
/
x
= 5/2, v
/
x
= 1, w
/
x
= 1/2. (In the ﬁrst printing of the book w
/
x
was incorrectly given as 5/2.)
2.7.4 The Jacobian determinant is
f
/
u
f
/
v
g
/
u
g
/
v
=
e
u
cos v −e
u
sin v
e
u
sin v e
u
cos v
= e
2u
(cos
2
v ÷sin
2
v) = e
2u
, which
is nonzero for all u (and v).
(a) e
u
,= 0, so the equations imply cos v = sin v = 0, but that is impossible because cos
2
v ÷sin
2
v = 1.
(b) We must have cos v = sin v = e
−u
, and since cos
2
v ÷ sin
2
v = 1 we get 2 cos
2
v = 1 and
therefore sin v = cos v =
√
1/2 =
1
2
√
2. (Remember that cos v = e
−u
cannot be negative.) The only
values of v that satisfy these equations are v = (
1
4
÷ 2k)π, where k runs through all integers. Further,
e
u
= 1/ cos v =
√
2 gives u =
1
2
√
2.
2.7.6 The Jacobian is x
1
. We ﬁnd that x
1
= y
1
÷ y
2
, x
2
= y
2
/(y
1
÷ y
2
) (provided y
1
÷ y
2
,= 0). The
transformation maps the given rectangle onto the set S in the y
1
y
2
plane given by the inequalities
(i) 1 ≤ y
1
÷y
2
≤ 2, (ii)
1
2
≤
y
2
y
1
÷y
2
≤
2
3
The inequalities (i) show that y
1
÷y
2
> 0, and if we multiply by 6(y
1
÷y
2
) in (ii) we get the equivalent
inequalities
3(y
1
÷y
2
) ≤ 6y
2
≤ 4(y
1
÷y
2
) ⇐⇒ y
1
≤ y
2
≤ 2y
1
(iii)
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
CHAPTER 2 MUL TI VARI ABL E CAL CUL US 21
It follows that S is a quadrilateral with corners at (1/2, 1/2), (1, 1), (2/3, 4/3), and (1/3, 2/3). See ﬁgure
M2.7.6.
y
2
y
1
y
2
= 2y
1
y
2
= y
1
y
1
÷y
2
= 2
y
1
÷y
2
= 1
2 1
1
2
S
Figure M2.7.6
2.7.8 (a) J =
∂
∂r
(r cos θ)
∂
∂θ
(r cos θ)
∂
∂r
(r sin θ)
∂
∂θ
(r sin θ)
=
cos θ −r sin θ
sin θ r cos θ
= r
(b) J ,= 0 everywhere except at the origin in the rθplane, so T is locally onetoone in A. But it is not
globally onetoone in A, since we have, for example, T (r, 0) = T (r, 2π).
2.7.10 (a) Taking differentials in the equation system
1 ÷(x ÷y)u −(2 ÷u)
1÷v
= 0
2u −(1 ÷xy)e
u(x−1)
= 0
(1)
we get
u(dx ÷dy) ÷(x ÷y) du −e
(1÷v) ln(2÷u)
¸
ln(2 ÷u) dv ÷
1 ÷v
2 ÷u
du
¸
= 0
2 du −e
u(x−1)
(y dx ÷x dy) −(1 ÷xy)e
u(x−1)
(x −1) du ÷u dx
= 0
If we now let x = y = u = 1 and v = 0, we get
2 du ÷dx ÷dy −3 ln 3 dv −du = 0
and
2 du −dx −dy −2 dx = 0
Rearranging this system gives
du −3 ln 3 dv = −dx −dy
2 du = 3 dx ÷dy
with the solutions
du =
3
2
dx ÷
1
2
dy and dv =
1
3 ln 3
5
2
dx ÷
3
2
dy
Hence,
u
/
x
(1, 1) =
∂u
∂x
(1, 1) =
3
2
and v
/
x
(1, 1) =
∂v
∂x
(1, 1) =
5
6 ln 3
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
22 CHAPTER 2 MUL TI VARI ABL E CAL CUL US
(Alternatively we could have used the formula for the derivatives of an implicit function, but it is still a
good idea to substitute the values of x, y, u, and v after ﬁnding the derivatives.)
(b) Deﬁne a function f by f (u) = u − ae
u(b−1)
. Then f (0) = −a and f (1) = 1 − ae
b−1
. Since
b ≤ 1, we have e
b−1
≤ e
0
= 1. It follows that ae
b−1
≤ a ≤ 1, so f (1) ≥ 0. On the other hand,
f (0) ≤ 0, so the intermediate value theorem ensures that f has at least one zero in [0, 1]. Further,
f
/
(u) = 1 −a(b −1)e
u(b−1)
≥ 1, because a(b −1) ≤ 0. Therefore f is strictly increasing and cannot
have more than one zero, so the solution of f (u) = 0 is unique.
(c) For given values of x and y, let a = (1÷xy)/2 and b = x. The equation in part (b) is then equivalent
to the second equation in system (1). Thus we get a uniquely determined u, and this u belongs to [0, 1].
(Note that, when x and y lie in [0, 1], then the values of a and b that we have chosen also lie in [0, 1].)
The ﬁrst equation in (1) now determines v uniquely, as
v = −1 ÷
ln(1 ÷(x ÷y)u)
ln(2 ÷u)
2.8
2.8.1 (a) The system has 7 variables, Y, C, I, G, T , r, and M, and 4 equations, so the counting rule says
that the system has 7 −4 = 3 degrees of freedom.
(b) We can write the system as
f
1
(M, T, G, Y, C, I, r) = Y −C −I −G = 0
f
2
(M, T, G, Y, C, I, r) = C −f (Y −T ) = 0
f
3
(M, T, G, Y, C, I, r) = I −h(r) = 0
f
4
(M, T, G, Y, C, I, r) = r −m(M) = 0
(∗)
Suppose that f , h, and m are C
1
functions and that the system has an equilibrium point (i.e. a solution
of the equations), (M
0
, T
0
, G
0
, Y
0
, C
0
, I
0
, r
0
). The Jacobian determinant of f = (f
1
, f
2
, f
3
, f
4
) with
respect to (Y, C, I, r) is
∂(f
1
, f
2
, f
3
, f
4
)
∂(Y, C, I, r)
=
1 −1 −1 0
−f
/
(Y −T ) 1 0 0
0 0 1 −h
/
(r)
0 0 0 1
= 1 −f
/
(Y −T )
so by the implicit function theorem the system (∗) deﬁnes Y, C, I, and r as C
1
functions of M, T , and
G around the equilibrium point if f
/
(Y −T ) ,= 1.
Note that the functions hand mhave no inﬂuence on the Jacobian determinant. The reason is that once
M, T , and G are given, the last equation in (∗) immediately determines r, and the next to last equation
then determines I. The problem therefore reduces to the question whether the ﬁrst two equations can
determine Y and T when the values of the other variables are given. The implicit function theorem tells
us that the answer will certainly be yes if the Jacobian determinant
∂(f
1
, f
2
)
∂(Y, C)
=
1 −1
−f
/
(Y −T ) 1
= 1 −f
/
(Y −T )
is nonzero, i.e. if f
/
(Y −T ) ,= 1.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
CHAPTER 3 STATI C OPTI MI ZATI ON 23
2.8.2 (a) The Jacobian determinants are
∂(u, v)
∂(x, y)
=
u
/
x
u
/
y
v
/
x
v
/
y
=
e
x÷y
e
x÷y
4x ÷4y −1 4x ÷4y −1
= 0 (i)
∂(u, v)
∂(x, y)
=
u
/
x
u
/
y
v
/
x
v
/
y
=
1
y
−x
y
2
−2y
(y ÷x)
2
2x
(x ÷y)
2
=
2x
y(y ÷x)
2
−
2x
y(y ÷x)
2
= 0 (ii)
(b) (i) It is not hard to see that v = 2(x ÷y)
2
−(x ÷y) and x ÷y = ln u, so v = 2(ln u)
2
−ln u.
(ii) We have x = uy, so
v =
y −uy
y ÷uy
=
1 −u
1 ÷u
2.8.3 We need to assume that the functions f and g are C
1
in an open ball around (x
0
, y
0
). For all (x, y) in
A the Jacobian determinant is
∂(u, v)
∂(x, y)
=
∂u
∂x
∂u
∂y
∂v
∂x
∂v
∂y
=
f
/
1
(x, y) f
/
2
(x, y)
g
/
1
(x, y) g
/
2
(x, y)
= 0
so f
/
2
(x, y)g
/
1
(x, y) = f
/
1
(x, y)g
/
2
(x, y). Since f
/
1
(x
0
, y
0
) ,= 0, the equation G(x, y, u) = u−f (x, y) =
0 deﬁnes x as a function x = ϕ(y, u) in an open ball around (y
0
, u
0
), where u
0
= f (x
0
, y
0
). Within
this open ball we have ϕ
/
1
(y, u) = ∂x/∂y = −(∂G/∂y)/(∂G/∂x) = −f
/
2
(x, y)/f
/
1
(x, y). Moreover,
v = g(x, y) = g(ϕ(y, u), y). If we let ψ(y, u) = g(ϕ(y, u), y), then ψ
/
1
(y, u) = g
/
1
ϕ
/
1
÷ g
/
2
=
−f
/
2
g
/
1
/f
/
1
÷g
/
2
= −f
/
1
g
/
2
/f
/
1
÷g
/
2
= 0. Thus, ψ(y, u) only depends on u, and v = ψ(y, u) is a function
of u alone. Hence, v is functionally dependent on u.
(If we let F(u, v) = v −ψ(y
0
, u), then F satisﬁes the requirements of deﬁnition (2.8.5).)
Chapter 3 Static Optimization
3.1
3.1.3 (a) The ﬁrstorder conditions for maximum are
1
3
pv
−2/3
1
v
1/2
2
−q
1
= 0,
1
2
pv
1/3
1
v
−1/2
2
−q
2
= 0
with the unique solution
v
∗
1
=
1
216
p
6
q
−3
1
q
−3
2
, v
∗
2
=
1
144
p
6
q
−2
1
q
−4
2
The objective function pv
1/3
1
v
1/2
2
− q
1
v
1
− q
2
v
2
is concave, cf. the display (2.5.6) on Cobb–Douglas
functions, and therefore (v
∗
1
, v
∗
2
) is a maximum point.
(b) The value function is
π
∗
(p, q
1
, q
2
) = p(v
∗
1
)
1/3
(v
∗
2
)
1/2
−q
1
v
∗
1
−q
2
v
∗
2
=
1
432
p
6
q
−2
1
q
−3
2
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
24 CHAPTER 3 STATI C OPTI MI ZATI ON
and it follows that
∂π
∗
(p, q
1
, q
2
)
∂p
=
1
72
p
5
q
−2
1
q
−3
2
= (v
∗
1
)
1/3
(v
∗
2
)
1/2
∂π
∗
(p, q
1
, q
2
)
∂q
1
= −
1
216
p
6
q
−3
1
q
−3
2
= −v
∗
1
,
∂π
∗
(p, q
1
, q
2
)
∂q
2
= −
1
144
p
6
q
−2
1
q
−4
2
= −v
∗
2
3.1.5 The ﬁrstorder conditions for maximum are
f
/
1
(x, y, r, s) = r
2
−2x = 0, f
/
2
(x, y, r, s) = 3s
2
−16y = 0
with the solutions x
∗
(r, s) =
1
2
r
2
and y
∗
(r, s) =
3
16
s
2
. Since f (x, y, r, s) is concave with respect to
(x, y), the point (x
∗
, y
∗
) is a maximum point. Moreover,
f
∗
(r, s) = f (x
∗
, y
∗
, r, s) =
1
4
r
4
÷
9
32
s
4
so
∂f
∗
(r, s)
∂r
= r
3
,
∂f
∗
(r, s)
∂s
=
9
8
s
3
On the other hand,
∂f (x, y, r, s)
∂r
= 2rx,
∂f (x, y, r, s)
∂s
= 6sy
so
¸
∂f (x, y, r, s)
∂r
¸
(x,y)=(x
∗
,y
∗
)
= 2rx
∗
= r
3
,
¸
∂f (x, y, r, s)
∂s
¸
(x,y)=(x
∗
,y
∗
)
= 6sy
∗
=
9
8
s
3
in accordance with the envelope result (3.1.3).
3.1.6 We want to maximize
π(v, p, q, a) = π(v
1
, . . . , v
n
: p, q
1
, . . . , q
n
, a
1
, . . . , a
n
) =
n
¸
i=1
(pa
i
ln(v
i
÷1) −q
i
v
i
)
with respect to v
1
, . . . , v
n
for given values of p, q = (q
1
, . . . , q
n
), and a = (a
1
, . . . , a
n
). Since ∂π/∂v
i
=
pa
i
/(v
i
÷1) −q
i
, the only stationary point is v
∗
= v
∗
(p, q, a) = (v
∗
1
, . . . , v
∗
n
), where v
∗
i
= pa
i
/q
i
−1.
Since π is concave with respect to v
1
, . . . , v
n
, this is a maximum point. The corresponding maximum
value is
π
∗
(p, q
1
, . . . , q
n
, a
1
, . . . , a
n
) =
n
¸
i=1
(pa
i
ln(v
∗
i
÷1) −q
i
v
∗
i
) =
n
¸
i=1
pa
i
ln
pa
i
q
i
−q
i
pa
i
q
i
−1
=
n
¸
i=1
(pa
i
ln p ÷pa
i
ln a
i
−pa
i
ln q
i
−pa
i
÷q
i
)
Easy calculations now yield
∂π
∗
(p, q, a)
∂p
=
n
¸
i=1
a
i
ln
pa
i
q
i
=
n
¸
i=1
a
i
ln(v
∗
i
÷1) =
¸
∂π(v, p, q, a)
∂p
¸
v=v
∗
(p,q,a)
∂π
∗
(p, q, a)
∂q
i
= −
pa
i
q
i
÷1 = −v
∗
i
=
¸
∂π(v, p, q, a)
∂q
i
¸
v=v
∗
(p,q,a)
∂π
∗
(p, q, a)
∂a
i
= p ln
pa
i
q
i
= p ln(v
∗
i
÷1) =
¸
∂π(v, p, q, a)
∂a
i
¸
v=v
∗
(p,q,a)
in accordance with formula (3.1.3).
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
CHAPTER 3 STATI C OPTI MI ZATI ON 25
3.2
3.2.1 The ﬁrstorder conditions are
f
/
1
(x
1
, x
2
, x
3
) = 2x
1
− x
2
÷2x
3
= 0
f
/
2
(x
1
, x
2
, x
3
) = −x
1
÷2x
2
÷ x
3
= 0
f
/
3
(x
1
, x
2
, x
3
) = 2x
1
÷ x
2
÷6x
3
= 0
The determinant of this linear equation system is 4, so by Cramer’s rule it has a unique solution. This
solution is of course (x
1
, x
2
, x
3
) = (0, 0, 0). The Hessian matrix is (at every point)
H = f
//
(x
1
, x
2
, x
3
) =
⎛
⎝
2 −1 2
−1 2 1
2 1 6
⎞
⎠
with leading principal minors D
1
= 2, D
2
=
2 −1
−1 2
= 3, and D
3
= [H[ = 4, so (0, 0, 0) is a local
minimum point by Theorem 3.2.1(a).
3.2.3 (a) The ﬁrstorder conditions are
f
/
1
(x, y, z) = 2x ÷2xy = 0
f
/
2
(x, y, z) = x
2
÷2yz = 0
f
/
3
(x, y, z) = y
2
÷2z −4 = 0
This system gives ﬁve stationary points: (0, 0, 2), (0, ±2, 0), (±
√
3, −1, 3/2). The Hessian matrix is
f
//
(x, y, z) =
⎛
⎝
2 ÷2y 2x 0
2x 2z 2y
0 2y 2
⎞
⎠
with leading principal minors D
1
= 2 ÷2y, D
2
= 4(1 ÷y)z −4x
2
, and D
3
= 8(1 ÷y)(z −y
2
) −8x
2
.
The values of the leading principal minors at the stationary points are given in the following table:
D
1
D
2
D
3
(0, 0, 2) 2 8 16
(0, 2, 0) 6 0 −96
(0, −2, 0) −2 0 32
(
√
3, −1, 3/2) 0 −12 −24
(−
√
3, −1, 3/2) 0 −12 −24
It follows from Theorem 3.2.1 that (0, 0, 2) is a local minimum point, and all the other stationary points
are saddle points.
(b) The stationary points are the solutions of the equation system
f
/
1
(x
1
, x
2
, x
3
, x
4
) = 8x
2
−8x
1
= 0
f
/
2
(x
1
, x
2
, x
3
, x
4
) = 20 ÷8x
1
−12x
2
2
= 0
f
/
3
(x
1
, x
2
, x
3
, x
4
) = 48 −24x
3
= 0
f
/
4
(x
1
, x
2
, x
3
, x
4
) = 6 −2x
4
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
26 CHAPTER 3 STATI C OPTI MI ZATI ON
The ﬁrst equation gives x
2
= x
1
, and then the second equation gives 12x
2
1
−8x
1
−20 = 0 with the two
solutions x
1
= 5/3 and x
1
= −1. The last two equations determine x
3
and x
4
. There are two stationary
points, (5/3, 5/3, 2, 3) and (−1, −1, 2, 3). The Hessian matrix is
f
//
(x
1
, x
2
, x
3
, x
4
) =
⎛
⎜
⎜
⎝
−8 8 0 0
8 −24x
2
0 0
0 0 −24 0
0 0 0 −2
⎞
⎟
⎟
⎠
and the leading principal minors of the Hessian are
D
1
= −8, D
2
= 192x
2
−64 = 64(3x
2
−1), D
3
= −24D
2
, D
4
= 48D
2
At (−1, −1, 2, 3) we get D
2
< 0, sothis point is a saddle point. The other stationarypoint, (5/3, 5/3, 2, 3),
we get D
1
< 0, D
2
> 0, D
3
< 0, and D
4
> 0, so this point is a local maximum point.
3.3
3.3.2 (a) The admissible set is the intersection of the sphere x
2
÷y
2
÷z
2
= 216 and the plane x÷2y÷3z = 0,
which passes through the center of the sphere. This set (a circle) is closed and bounded (and nonempty!),
and by the extreme value theorem the objective function does attain a maximum over the admissible set.
The Lagrangian is L(x, y, z) = x ÷ 4y ÷ z − λ
1
(x
2
÷ y
2
÷ z
2
− 216) − λ
2
(x ÷ 2y ÷ 3z), and the
ﬁrstorder conditions are:
(i) 1 −2λ
1
x −λ
2
= 0, (ii) 4 −2λ
1
y −2λ
2
= 0, (iii) 1 −2λ
1
z −3λ
2
= 0
From (i) and (ii) we get λ
2
= 1 − 2λ
1
x = 2 − λ
1
y, which implies λ
1
(y − 2x) = 1. Conditions (i)
and (iii) yield 1 − 2λ
1
x =
1
3
−
2
3
λ
1
z = 0, which implies λ
1
(
2
3
z − 2x) = −
2
3
. Multiply by −
3
2
to get
λ
1
(3x −z) = 1.
It follows that y − 2x = 3x − z, so z = 5x − y. Inserting this expression for z in the constraint
x ÷ 2y ÷ 3z = 0 yields 16x − y = 0, so y = 16x and z = −11x. The constraint x
2
÷ y
2
÷ z
2
= 216
then yields (1 ÷ 256 ÷ 121)x
2
= 216, so x
2
= 216/378 = 4/7, and x = ±
2
7
√
7. Hence there are two
points that satisfy the ﬁrstorder conditions:
x
1
=
2
7
√
7,
32
7
√
7, −
22
7
√
7
, x
2
=
−
2
7
√
7, −
32
7
√
7,
22
7
√
7
The multipliers are then λ
1
= 1/(y −2x) = 1/(14x) = ±
1
28
√
7 and λ
2
= 1 −2λ
1
x =
6
7
.
The objective function, f (x, y, z) = x ÷ 4y ÷ z, attains it maximum value f
max
=
108
7
√
7 at x
1
,
with λ
1
=
1
28
√
7, λ
2
=
6
7
. (The point x
2
is the minimum point and f
min
= −
108
7
√
7.)
Comment: It is clear that the Lagrangian is concave if λ
1
> 0 and convex if λ
1
< 0. Therefore
part (b) of Theorem 3.3.1 is sufﬁcient to show that x
1
is a maximum point and x
2
is a minimum point in
this problem, so we did not need to use the extreme value theorem.
(b) Equation (3.3.10) shows that f
∗
≈ λ
1
· (−1) ÷λ
2
· 0.1 = −
1
28
√
7 ÷
0.6
7
≈ −0.009.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
CHAPTER 3 STATI C OPTI MI ZATI ON 27
3.3.4 (a) With the Lagrangian L(x, y) =
1
2
ln(1 ÷x
1
) ÷
1
4
ln(1 ÷x
2
) −λ(2x
1
÷3x
2
−m), the ﬁrstorder
conditions are
(i)
1
2(1 ÷x
1
)
−2λ = 0, (ii)
1
4(1 ÷x
2
)
−3λ = 0
Equations (i) and (ii) yield
λ =
1
4(1 ÷x
1
)
=
1
12(1 ÷x
2
)
=⇒ 1 ÷x
1
= 3(1 ÷x
2
) ⇐⇒ x
1
−3x
2
= 2
Together with the constraint 2x
1
÷3x
2
= mthis gives x
1
= x
∗
1
(m) =
1
3
(m÷2), x
2
= x
∗
2
(m) =
1
9
(m−4),
and then λ =
3
4
(m÷5)
−1
.
(b) U
∗
(m) =
1
2
ln(1÷x
∗
1
(m))÷
1
4
ln(1÷x
∗
2
(m)) =
1
2
ln(
1
3
(m÷5))÷
1
4
ln(
1
9
(m÷5)) =
3
4
ln(m÷5)−ln 3,
so dU
∗
/dm =
3
4
(m÷5)
−1
= λ.
3.3.6 (a) The two constraints determine an ellipsoid centred at the origin and a plane through the origin,
respectively. The admissible set is the curve of intersection of these two surfaces, namely an ellipse. This
curve is closed and bounded (and nonempty), so the extreme value theorem guarantees the existence of
both maximum and minimum points. It is not very hard to show that the matrix g
/
(x) in Theorem 3.3.1
has rank 2 at all admissible points, so the usual ﬁrstorder conditions are necessary.
Lagrangian: L(x, y, z) = x
2
÷ y
2
÷ z
2
− λ
1
(x
2
÷ y
2
÷ 4z
2
− 1) − λ
2
(x ÷ 3y ÷ 2z). Firstorder
conditions:
(i) 2x −2λ
1
x −λ
2
= 0, (ii) 2y −2λ
1
y −3λ
2
= 0, (iii) 2z −8λ
1
z −2λ
2
= 0
From (i) and (ii) we get (iv) λ
2
= 2(1 −λ
1
)x =
2
3
(1 −λ
1
)y.
(A) If λ
1
= 1, then λ
2
= 0 and (iii) implies z = 0. The constraints reduce to x
2
÷y
2
= 1 and x÷3y = 0,
and we get the two candidates
(x, y, z) =
±
3
10
√
10 , ∓
1
10
√
10 , 0
(∗)
(B) If λ
1
,= 1, then (iv) implies y = 3x, and the second constraint gives z = −5x. The ﬁrst constraint
then yields x
2
÷9x
2
÷100x
2
= 1 which leads to the two candidates
(x, y, z) =
±
1
110
√
110, ±
3
110
√
110 , ∓
5
110
√
110
(∗∗)
In this case the multipliers λ
1
and λ
2
can be determined from equations (i) and (iii), and we get λ
1
=
7
22
and λ
2
=
15
11
x.
The objective function, x
2
÷y
2
÷z
2
, attains its maximum value 1 at the points (∗), while the points
(∗∗) give the minimum value 7/22. It is worth noting that with λ
1
= 1 the Lagrangian is concave (linear,
in fact), so Theorem3.3.1(b) shows that the points in (∗) are maximumpoints, even if we do not check the
rank condition in Theorem 3.3.1(a) (but without that rank condition we cannot be sure that the ﬁrstorder
conditions are necessary, so there might be other maximum points beside the two that we have found).
(There is a much simpler way to ﬁnd the maximum points in this problem: Because of the ﬁrst
constraint, the objective function x
2
÷y
2
÷z
2
equals 1−3z
2
, which obviously has a maximumfor z = 0.
We then just have to solve the equations x
2
÷y
2
= 1 and x ÷3y = 0 for x and y.)
(b) f
∗
≈ 1 · 0.05 ÷0 · 0.05 = 0.05.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
28 CHAPTER 3 STATI C OPTI MI ZATI ON
3.3.10 There was a misprint in this problem in the ﬁrst printing of the book: The constraints should all be
equality constraints, so please correct g
j
(x, r) ≤ 0 to g
j
(x, r) = 0 for j = 1, . . . , m.
Now consider two problems, namely the problem in (3.3.13) and the problem
max f (x, r) subject to
¸
g
j
(x, r) = 0,
r
i
= b
m÷i
,
j = 1, . . . , m
i = 1, . . . , k
(∗)
The Lagrangian for problem (3.3.13) is L(x, r) = f (x, r) −
¸
m
j=1
λ
j
g
j
(x, r) and the Lagrangian for
problem(∗) is
¯
L(x, r) = f (x, r) −
¸
m
j=1
λ
j
g
j
(x, r) −
¸
k
i=1
λ
m÷i
(r
i
−b
m÷i
). The ﬁrstorder conditions
for maximum in problem (∗) imply that
∂
¯
L(x, r)
∂r
i
=
∂f (x, r)
∂r
i
−
m
¸
j=1
∂g
j
(x, r)
∂r
i
−λ
m÷i
= 0, i = 1, . . . , k
Equation (3.3.9) implies that ∂f
∗
(r)/∂r
i
= λ
m÷i
, and so
∂f
∗
(r)
∂r
i
= λ
m÷i
=
∂f (x, r)
∂r
i
−
m
¸
j=1
∂g
j
(x, r)
∂r
i
=
∂L(x, r)
∂r
i
3.4
3.4.3 Lagrangian: L(x, y, z) = x ÷y ÷z−λ
1
(x
2
÷y
2
÷z
2
−1)−λ
2
(x −y −z−1). Firstorder conditions:
(i) 1 −2λ
1
x −λ
2
= 0, (ii) 1 −2λ
1
y ÷λ
2
= 0, (iii) 1 −2λ
1
z ÷λ
2
= 0
Equations (ii) and (iii) give 2λ
1
y = 2λ
1
z. If λ
1
= 0, then (i) and (ii) yield 1 −λ
2
= 0 and 1 ÷λ
2
= 0.
This is clearly impossible, so we must have λ
1
,= 0, and therefore y = z. We solve this equation together
with the two constraints, and get the two solutions
(x
1
, y
1
, z
1
) = (1, 0, 0), λ
1
= 1, λ
2
= −1
(x
2
, y
2
, z
2
) = (−
1
3
, −
2
3
, −
2
3
), λ
1
= −1, λ
2
=
1
3
In the secondderivative test (Theorem 3.4.1) we now have n = 3 and m = 2, so all we need check is
B
3
(x, y, z) =
0 0 2x 2y 2z
0 0 1 −1 −1
2x 1 −2λ
1
0 0
2y −1 0 −2λ
1
0
2z −1 0 0 −2λ
1
A little tedious computation yields B
3
(x
1
, y
1
, z
1
) = −16 and B
3
(x
2
, y
2
, z
2
) = 16. Hence (x
1
, y
1
, z
1
) is
a local maximum point and (x
2
, y
2
, z
2
) is a local minimum point.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
CHAPTER 3 STATI C OPTI MI ZATI ON 29
3.5
3.5.2 (a) The Lagrangian is L(x, y) = ln(x ÷1) ÷ln(y ÷1) −λ
1
(x ÷2y −c) −λ
2
(x ÷y −2), and the
necessary Kuhn–Tucker conditions for (x, y) to solve the problem are:
L
/
1
(x, y) =
1
x ÷1
− λ
1
−λ
2
= 0 (1)
L
/
2
(x, y) =
1
y ÷1
−2λ
1
−λ
2
= 0 (2)
λ
1
≥ 0, and λ
1
= 0 if x ÷2y < c (3)
λ
2
≥ 0, and λ
2
= 0 if x ÷ y < 2 (4)
Of course, (x, y) must also satisfy the constraints
x ÷2y ≤ c (5)
x ÷ y ≤ 2 (6)
(b) Let c = 5/2. We consider the four possible combinations of λ
1
= 0, λ
1
> 0, λ
2
= 0, and λ
2
> 0.
(I) λ
1
= λ
2
= 0. This contradicts (1), so no candidates.
(II) λ
1
> 0, λ
2
= 0. From(3) and (5), x÷2y = 5/2. Moreover, by eliminatingλ
1
from(1) and (2) we get
x ÷1 = 2y ÷2. The last two equations have the solution x = 7/4, y = 3/8. But then x ÷y = 17/8 > 2,
contradicting (6). No candidates.
(III) λ
1
= 0, λ
2
> 0. From (4) and (6), x ÷ y = 2. Moreover, eliminating λ
2
from (1) and (2) we get
x = y, and so x = y = 1. But then x ÷2y = 3 > 5/2, contradicting (5). No candidates.
(IV) λ
1
> 0, λ
2
> 0. Then x ÷y = 2 and x ÷2y = 5/2, so x = 3/2, y = 1/2. We ﬁnd that λ
1
= 4/15
and λ
2
= 2/15, so this is a candidate, and the only one.
The Lagrangian is obviously concave in x and y, so (x, y) = (3/2, 1/2) solves the problem.
(c) If we assume that V(c) is a differentiable function of c, then formula (3.5.6) yields V
/
(5/2) = λ
1
=
4/15.
A direct argument can run as follows: For all values of c such that λ
1
and λ
2
are positive, x and y
must satisfy the constraints with equality, and so x = 4 − c and y = c − 2. Then equations (1) and (2)
yield
λ
1
=
1
y ÷1
−
1
x ÷1
=
1
c −1
−
1
5 −c
and λ
2
=
2
x ÷1
−
1
y ÷1
=
2
5 −c
−
1
c −1
It is clear that these expressions remain positive for c in an open interval around c = 5/2. (More precisely,
they are both positive if and only if 7/3 < c < 3.) For such c, the derivative of the value function is
V
/
(c) =
∂V
∂x
dx
dc
÷
∂V
∂y
dy
dc
= −
1
1 ÷x
÷
1
1 ÷y
= λ
1
3.5.3 We reformulate the problem as a standard maximization problem:
maximize −4 ln(x
2
÷2) −y
2
subject to
¸
−x
2
−y ≤ −2
−x ≤ −1
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
30 CHAPTER 3 STATI C OPTI MI ZATI ON
The Lagrangian is L(x, y) = −4 ln(x
2
÷ 2) − y
2
− λ
1
(−x
2
− y ÷ 2) − λ
2
(−x ÷ 1), so the necessary
Kuhn–Tucker conditions together with the constraints are:
L
/
1
= −
8x
x
2
÷2
÷2λ
1
x ÷λ
2
= 0 (i)
L
/
2
= −2y ÷λ
1
= 0 (ii)
λ
1
≥ 0, and λ
1
= 0 if x
2
÷y > 2 (iii)
λ
2
≥ 0, and λ
2
= 0 if x > 1 (iv)
x
2
÷y ≥ 2 (v)
x ≥ 1 (vi)
We try the four possible combinations of zero or positive multipliers:
(A) λ
1
= 0, λ
2
= 0. From (i) we see that x = 0, which contradicts x ≥ 1.
(B) λ
1
= 0, λ
2
> 0. From (iv) and (vi), x = 1, and (ii) gives y = 0. This contradicts (v).
(C) λ
1
> 0, λ
2
= 0. From (iii) and (v) we get x
2
÷y = 2. Equation (i) gives λ
1
= 4/(x
2
÷2), and then
(ii) gives y = λ
1
/2 = 2/(x
2
÷2). Inserted into x
2
÷y = 2, this gives x
4
= 2, or x =
4
√
2. It follows
that y = 2/(
√
2 ÷2) = 2 −
√
2, and λ
1
= 4 −2
√
2. So (x, y, λ
1
, λ
2
) = (
4
√
2, 2 −
√
2, 4 −2
√
2, 0)
is a candidate.
(D) λ
1
> 0, λ
2
> 0. Then (iii)–(vi) imply x
2
÷ y = 2 and x = 1. So x = y = 1. Then from (i),
λ
2
÷2λ
1
= 8/3 and (ii) gives λ
1
= 2. But then λ
2
= 8/3 −4 < 0. Contradiction.
Thus the only possible solution is the one given in (C), and the minimumvalue of f (x, y) = 4 ln(x
2
÷2)÷
y
2
under the given constraints is f (
4
√
2, 2−
√
2 ) = 4 ln(
√
2÷2)÷(2−
√
2 )
2
= 4 ln(
√
2÷2)÷6−4
√
2.
3.5.4 With the Lagrangian L(x, y) = −(x −a)
2
−(y −b)
2
−λ
1
(x −1)−λ
2
(y −2) we get the Kuhn–Tucker
necessary conditions for (x, y) to be a maximum point:
L
/
1
(x, y) = −2(x −a) −λ
1
= 0 (i)
L
/
2
(x, y) = −2(y −b) −λ
2
= 0 (ii)
λ
1
≥ 0, and λ
1
= 0 if x < 1 (iii)
λ
2
≥ 0, and λ
2
= 0 if y < 2 (iv)
Of course, a maximum point (x, y) must also satisfy the constraints (v) x ≤ 1 and (vi) y ≤ 2.
We try the four possible combinations of λ
1
= 0, λ
1
> 0, λ
2
= 0, and λ
2
> 0.
(A) λ
1
= 0, λ
2
= 0. Equations (i) and (ii) give x = a and y = b. Because of the constraints this is
possible only if a ≤ 1 and b ≤ 2.
(B) λ
1
= 0, λ
2
> 0. We get x = a and y = 2. Constraint (v) implies a ≤ 1, and equation (ii) yields
b = y ÷
1
2
λ
2
> y = 2.
(C) λ
1
> 0, λ
2
= 0. This gives x = 1, y = b, a = 1 ÷
1
2
λ
1
> 1, and b ≤ 2.
(D) λ
1
> 0, λ
2
> 0. With both multipliers positive, both constraints must be satisﬁed with equality:
x = 1, y = 2. We also get a = 1 ÷
1
2
λ
1
> 1 and b = 2 ÷
1
2
λ
2
> 2.
We observe that in each of the four cases (A)–(D) there is exactly one point that satisﬁes the Kuhn–
Tucker conditions, and since the objective function is concave, these points are maximum points. Which
case applies depends on the values of a and b. The solution can be summarized as x
∗
= min{a, 1},
y
∗
= min{b, 2}.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
CHAPTER 3 STATI C OPTI MI ZATI ON 31
The admissible set in this problem is the same as in Example 3.5.1, and the maximization problem
is equivalent to ﬁnding an admissible point as close to (a, b) as possible. It is readily seen that the point
(x
∗
, y
∗
) given above is the optimal point. In particular, in case (A) the point (a, b) itself is admissible
and is also the optimal point.
3.5.6 (a) With the Lagrangian L(x, y) = x
5
− y
3
− λ
1
(x − 1) − λ
2
(x − y) the Kuhn–Tucker conditions
and the constraints are
L
/
1
(x, y) = 5x
4
−λ
1
−λ
2
= 0 (i)
L
/
2
(x, y) = −3y
2
÷λ
2
= 0 (ii)
λ
1
≥ 0, and λ
1
= 0 if x < 1 (iii)
λ
2
≥ 0, and λ
2
= 0 if x < y (iv)
x ≤ 1 (v)
x ≤ y (vi)
Consider the four possible combinations of zero or positive multipliers:
(A) λ
1
= 0, λ
2
= 0. Equations (i) and (ii) give x = 0 and y = 0. Thus (x
1
, y
1
) = (0, 0) is a candidate
for optimum.
(B) λ
1
= 0, λ
2
> 0. Since λ
2
> 0, the complementary slackness condition (iv) tells us that we cannot
have x < y, while constraint (vi) says x ≤ y. Therefore x = y. Equations (i) and (ii) then give
5x
4
= 0 ÷λ
2
= 3y
2
, and thus 5y
4
= 3y
2
. Since λ
2
,= 0 we have y ,= 0, and therefore 5y
2
= 3, so
x = y = ±
√
3/5 = ±
√
15/25 = ±
1
5
√
15. We get two new candidates, (x
2
, y
2
) = (
1
5
√
15,
1
5
√
15 )
and (x
3
, y
3
) = (−
1
5
√
15, −
1
5
√
15 ).
(C) λ
1
> 0, λ
2
= 0. Now (ii) gives y = 0, while (iii) and (v) give x = 1. But this violates constraint
(vi), so we get no new candidates for optimum here.
(D) λ
1
> 0, λ
2
> 0. The complementary slackness conditions show that in this case both constraints
must be satisﬁed with equality, so we get one new candidate point, (x
4
, y
4
) = (1, 1)
Evaluating the objective function h(x, y) = x
5
− y
3
at each of the four maximum candidates we have
found shows that
h(x
1
, y
1
) = h(x
4
, y
4
) = 0
h(x
2
, y
2
) = x
5
2
−y
3
2
= x
5
2
−x
3
2
= (x
2
2
−1)x
3
2
= −
2
5
x
3
2
= −
6
125
√
15
h(x
3
, y
3
) = h(−x
2
, −y
2
) = −h(x
2
, y
2
) =
6
125
√
15
(For the last evaluation we used the fact that h is an odd function, i.e. h(−x, −y) = −h(x, y).) Hence, if
there is a maximumpoint for h in the feasible set, then (x
3
, y
3
) is that maximumpoint. Note that although
the feasible set is closed, it is not bounded, so it is not obvious that there is a maximum. But part (b) of
this problem will show that a maximum point does exist.
(b) Let h(x, y) = x
5
−y
3
and deﬁne f (x) = max
y≥x
h(x, y). Since h(x, y) is strictly decreasing with
respect to y, it is clear that we get the maximum when y = x, so f (x) = h(x, x) = x
5
−x
3
. To ﬁnd the
maximum of f (x) for x ≤ 1 we take a look at
f
/
(x) = 5x
2
−3x
2
= 5x
2
(x
2
−
3
5
) = 5x
2
(x ÷x
2
)(x −x
2
)
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
32 CHAPTER 3 STATI C OPTI MI ZATI ON
where x
2
=
√
3/5 =
1
5
√
15 (as in part (a)). It is clear that
f
/
(x) > 0 if x ∈ (−∞, −x
2
) or x ∈ (x
2
, ∞)
f
/
(x) < 0 if x ∈ (−x
2
, 0) or x ∈ (0, x
2
)
Therefore f is strictly increasing in the interval (−∞, −x
2
], strictly decreasing in [−x
2
, x
2
], and strictly
increasing again in [x
2
, ∞). It follows that f (x) will reach its highest value when x = −x
2
or when
x = 1. (Draw a graph!) Since f (−x
2
) =
6
125
and f (1) = 0, the maximum point is −x
2
(= x
3
).
So why does this show that the point (x
3
, y
3
) that we found in part (a) really is a maximum point in
that problem? The reason is that for every point (x, y) with x ≤ 1 and x ≤ y we have
h(x, y) ≤ f (x) ≤ f (x
3
) = h(x
3
, x
3
) = h(x
3
, y
3
)
3.6
3.6.2 Lagrangian: L(x, y) = xy ÷x ÷y −λ
1
(x
2
÷y
2
−2) −λ
2
(x ÷y −1). Firstorder conditions:
L
/
1
(x, y) = y ÷1 −2λ
1
x −λ
2
= 0 (i)
L
/
2
(x, y) = x ÷1 −2λ
1
y −λ
2
= 0 (ii)
λ
1
≥ 0, and λ
1
= 0 if x
2
÷y
2
< 2 (iii)
λ
2
≥ 0, and λ
2
= 0 if x ÷y < 1 (iv)
It is usually a good idea to exploit similarities and symmetries in the ﬁrstorder conditions. In the present
case, we can eliminate λ
2
from (i) and (ii) to get
y −2λ
1
x = x −2λ
1
y ⇐⇒ (1 ÷2λ
1
)(y −x) = 0
Since 1÷2λ
1
≥ 1, this implies y = x for any point that satisﬁes the ﬁrstorder conditions. Now consider
the various combinations of zero or positive values of λ
1
and λ
2
:
(A) λ
1
= 0, λ
2
= 0. Equations (i) and (ii) give (x, y) = (−1, −1).
(B) λ
1
= 0, λ
2
> 0. Since λ
2
> 0, we must have x÷y = 1, and since x = y, we get (x, y) = (1/2, 1/2).
(C) λ
1
> 0, λ
2
= 0. Now x
2
÷ y
2
= 2 because λ
1
> 0, and since x = y we get x = y = ±1. The
point (1, 1) violates the constraint x ÷ y ≤ 1. If x = y = −1, then equation (i) yields 2λ
1
= λ
2
= 0,
contradicting the assumption λ
1
> 0. Thus there are no candidate points in this case. (We did get the
point (−1, −1) in case (A) above.)
(D) λ
1
> 0, λ
2
> 0. In this case both constraints must be active, i.e. x
2
÷y
2
= 1 and x ÷y = 1. Since
x = y, the ﬁrst constraint yields x = y = 1/2, but then x
2
÷y
2
,= 2. So no candidates in this case either.
Comparing the values of the objective function xy ÷ x ÷ y at the two points (−1, −1) and (1/2, 1/2)
shows that (1/2, 1/2) must be the maximum point. (The extreme value theorem guarantees that there
really is a maximum point.)
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
CHAPTER 3 STATI C OPTI MI ZATI ON 33
3.7
3.7.1 (a) The Lagrangian is L(x, y) = 100 −e
−x
−e
−y
−e
−z
−λ
1
(x ÷y ÷z −a) −λ
2
(x −b) and the
Kuhn–Tucker conditions are
e
−x
−λ
1
−λ
2
= 0 (i)
e
−y
−λ
1
= 0 (ii)
e
−z
−λ
1
= 0 (iii)
λ
1
≥ 0, and λ
1
= 0 if x ÷y ÷z < a (iv)
λ
2
≥ 0, and λ
2
= 0 if x < b (v)
Equations (ii) and (iii) imply that λ
1
> 0 and y = z. From (iv) we get x ÷y ÷z = a, so x ÷2y = a.
(A) Suppose λ
2
= 0. Then (i) and (ii) imply λ
1
= e
−x
and x = y. Hence x ÷ y ÷ z = 3x = a, so
x = a/3, and therefore a/3 ≤ b, i.e. a ≤ 3b.
(B) Suppose λ
2
> 0. Condition (v) now implies x = b, and so y = (a − x)/2 = (a − b)/2. Then
λ
1
= e
−y
= e
−(a−b)/2
, and(i) yields λ
2
= e
−b
−e
−(a−b)/2
. Since λ
2
> 0, we must have −b > −(a−b)/2,
i.e. a > 3b.
Thus, the Kuhn–Tucker conditions have a unique solution in each of the two cases a ≤ 3b and a > 3b.
The Lagrangian is concave, so we know that the points we have found really are optimal.
(b) See the answer in the book for the evaluation of ∂f
∗
(a, b)/∂a and ∂f
∗
(a, b)/∂b. Strictly speaking,
if a = 3b, you must consider the onesided derivatives and show that the left and right derivatives are the
same, but things work out all right in that case too.
3.7.3 (a) Consider the maximization problem and write it in standard form as
maximize f (x, y) = x
2
÷y
2
subject to
¸
2x
2
÷4y
2
≤ s
2
−2x
2
−4y
2
≤ −r
2
(∗)
(∗∗)
We use the Lagrangian L(x, y, r, s) = x
2
÷y
2
−λ
1
(2x
2
÷4y
2
−s
2
) ÷λ
2
(2x
2
÷4y
2
−r
2
), and get the
Kuhn–Tucker conditions
L
/
1
= 2x −4λ
1
x ÷4λ
2
x = 0 (i)
L
/
2
= 2y −8λ
1
y ÷8λ
2
y = 0 (ii)
λ
1
≥ 0, and λ
1
= 0 if 2x
2
÷4y
2
< s
2
(iii)
λ
2
≥ 0, and λ
2
= 0 if 2x
2
÷4y
2
> r
2
(iv)
If λ
1
= 0, then (i) and (ii) would yield
(2 ÷4λ
2
)x = 0 =⇒ x = 0, (2 ÷8λ
2
)y = 0 =⇒ y = 0
which contradicts the constraint 2x
2
÷4y
2
≥ r
2
. Therefore we must have λ
1
> 0 and 2x
2
÷4y
2
= s
2
.
Moreover, we cannot have λ
2
> 0, for that would imply 2x
2
÷ 4y
2
= r
2
< s
2
, which contradicts
2x
2
÷4y
2
= s
2
. Hence, λ
1
> 0, λ
2
= 0. Equations (i) and (ii) reduce to
(i
/
) (2 −4λ
1
)x = 0 and (ii
/
) (2 −8λ
1
)y = 0
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
34 CHAPTER 3 STATI C OPTI MI ZATI ON
If x = 0, then y ,= 0 (because 2x
2
÷ 4y
2
= s
2
> 0), and (ii
/
) implies λ
1
= 1/4. If x ,= 0, then (i
/
)
implies λ
1
= 1/2. We are left with the two possibilities
(A) λ
1
= 1/2, y = 0, x = ±
1
2
√
2 s (B) λ
1
= 1/4, x = 0, y = ±
1
2
s
Case (A) gives the optimum points, (x
∗
, y
∗
) = (±
1
2
√
2 s, 0), and f
∗
(r, s) = f (x
∗
, y
∗
) =
1
2
s
2
. To verify
the envelope result (3.7.5), note that
∂L(x, y, r, s)/∂r = −2λ
2
r, ∂L(x, y, r, s)/∂s = 2λ
1
s
If we insert the optimal values of x
∗
and y
∗
and the corresponding values λ
1
= 1/2 and λ
2
= 0 of the
multipliers, we get
∂L(x
∗
, y
∗
, r, s)/∂r = 0 = ∂f
∗
(r, s)/∂r, ∂L(x
∗
, y
∗
, r, s)/∂s = s = ∂f
∗
(r, s)/∂s
in accordance with (3.7.5).
(b) The minimization problemis equivalent to maximizing g(x, y) = −f (x, y) subject to the constraints
(∗) and (∗∗) in part (a). We get a new Lagrangian L(x, y, r, s) = −x
2
− y
2
− λ
1
(2x
2
÷ 4y
2
− s
2
) ÷
λ
2
(2x
2
÷4y
2
−r
2
), and the ﬁrstorder conditions are as in (a), except that (i) and (ii) are replaced by
L
/
1
= −2x −4λ
1
x ÷4λ
2
x = 0 (i
/
)
L
/
2
= −2y −8λ
1
y ÷8λ
2
y = 0 (ii
/
)
The solution proceeds along the same lines as in (a), but this time λ
2
= 0 is impossible, so we get λ
2
> 0
and λ
1
= 0. The optimum points are (x
∗
, y
∗
) = (0, ±
1
2
r), with λ
2
= 1/4, and g
∗
(r, s) = g(x
∗
, y
∗
) =
−(x
∗
)
2
−(y
∗
)
2
= −
1
4
r
2
, and the minimum value of f is f
∗
(r, s) = −g
∗
(r, s) =
1
4
r
2
. The equations in
(3.7.5) now become
L
/
r
(x
∗
, y
∗
, r, s) = −2λ
2
r = −
1
2
r =
∂g
∗
∂r
= −
∂f
∗
∂r
, L
/
s
(x
∗
, y
∗
, r, s) = 2λ
1
s = 0 =
∂g
∗
∂s
= −
∂f
∗
∂s
(c) The admissible set is the area between two ellipses, and the problems in (a) and (b) are equivalent to
ﬁnding the largest and the smallest distance from the origin to a point in this admissible set.
3.7.4 Let r and s be points in the domain of f
∗
, let λ ∈ [0, 1], and put t = λr÷(1−λ)s. We want to prove that
f
∗
(t) ≥ λf
∗
(r)÷(1−λ)f
∗
(s). There are points x and y such that f
∗
(r) = f (x, r) and f
∗
(s) = f (y, s).
Let w = λx ÷(1 −λ)y. Since g is convex, we have g(w, t) λg(x, r) ÷(1 −λ)g(y, s) 0, so (w, t)
is admissible. And since f is concave, we have
f
∗
(t) ≥ f (w, t) = f (λ(x, r) ÷(1 −λ)(y, s))
≥ λf (x, r) ÷(1 −λ)f (y, s) = λf
∗
(r) ÷(1 −λ)f
∗
(s)
3.8
3.8.2 (a) Lagrangian: L(x, y) = xy −λ(x ÷2y −2). Kuhn–Tucker conditions:
∂L/∂x = y − λ ≤ 0 (= 0 if x > 0) (i)
∂L/∂y = x −2λ ≤ 0 (= 0 if y > 0) (ii)
λ ≥ 0 (= 0 if x ÷2y < 2) (iii)
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
CHAPTER 3 STATI C OPTI MI ZATI ON 35
There are admissible points where xy > 0, so we cannot have x = 0 or y = 0 at the optimum point
or points. It follows that (i) and (ii) must be satisﬁed with equality, and λ must be positive. Hence,
x = 2λ = 2y and x ÷ 2y = 2, so x = 1, y = 1/2, λ = 1/2. (The extreme value theorem guarantees
that there is a maximum, since the admissible set is closed and bounded. It is the closed line segment
between (2, 0) and (0, 1).)
(b) As in part (a), there are admissible points where x
α
y
β
> 0, so we may just as well accept (2, 0) and
(0, 1) as admissible points and replace the constraints x > 0 and y > 0 by x ≥ 0 and y ≥ 0. Then the
extreme value theorem guarantees that there is a maximum point in this case too, and it is clear that both
x and y must be positive at the optimum. With the Lagrangian L(x, y) = x
α
y
β
−λ(x ÷2y −2) we get
the Kuhn–Tucker conditions
∂L/∂x = αx
α−1
y
β
− λ ≤ 0 (= 0 if x > 0) (i)
∂L/∂y = βx
α
y
β−1
−2λ ≤ 0 (= 0 if y > 0) (ii)
λ ≥ 0 (= 0 if x ÷2y < 2) (iii)
It is clear that (i), (ii), and (iii) must all be satisﬁed with equality, and that λ > 0. From (i) and (ii) we
get βx
α
y
β−1
= 2λ = 2αx
α−1
y
β
, so βx = 2αy. This equation, combined with (iii) yields the solution:
x = 2α/(α ÷β), y = β/(α ÷β).
(If we had not extended the admissible set to include the end points, then we could not have used the
extreme value theorem to guarantee a maximum, but with the conditions on α and β the Lagrangian is
concave, so we could still be certain that the point we have found is a maximum point. But the argument
above, with a closed and bounded admissible set, works for all positive values of α and β, even if L is
not concave.)
3.8.3 With the Lagrangian L(x, y, c) = cx ÷y −λ(x
2
÷3y
2
−2) we get the Kuhn–Tucker conditions:
L
/
1
= c −2λx ≤ 0 (= 0 if x > 0) (i)
L
/
2
= 1 −6λy ≤ 0 (= 0 if y > 0) (ii)
λ ≥ 0 (= 0 if x
2
÷3y
2
< 2) (iii)
If λ = 0, then (ii) implies 1 ≤ 0, but that is impossible. Hence, λ > 0 and x
2
÷ 3y
2
= 2. Further, (ii)
implies 6λy ≥ 1, so y > 0. Therefore (ii) is an equality and y = 1/6λ.
(A) If x = 0, then (i) implies c ≤ 2λx = 0. Further, 3y
2
= 2, so y =
√
2/3 =
√
6/3, and λ = 1/6y =
√
6/12.
(B) If x > 0, then (i) is satisﬁed with equality and c = 2λx > 0, and x = c/2λ. The equation
x
2
÷3y
2
= 2 then leads to λ =
6(3c
2
÷1)/12, x = 6c/
6(3c
2
÷1), and y = 2/
6(3c
2
÷1).
Since the admissible set is closed and bounded and the objective function f (x, y) = cx ÷y is continuous,
the extreme value theorem guarantees that there is a maximum point for every value of c. The cases (A)
and (B) studied above show that the Kuhn–Tucker conditions have exactly one solution in each case, so
the solutions we found above are the optimal ones.
If c ≤ 0, then we are in case (A) and f
∗
(c) = cx
∗
÷y
∗
=
√
6/3.
If c > 0, then we are in case (B) and f
∗
(c) = cx
∗
÷y
∗
=
6(3c
2
÷1)/3.
The value function f
∗
(c) is obviously continuous for c ,= 0, and because lim
c→0
÷ f
∗
(c) =
√
6/3 =
f
∗
(0) = lim
c→0
− f
∗
(c), it is continuous at c = 0 too. The value function is differentiable at all c ,= 0,
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
36 CHAPTER 3 STATI C OPTI MI ZATI ON
and it is not hard to show that both onesided derivatives of f
∗
(c) at c = 0 are 0, so f
∗
is differentiable
there too.
For c ≤ 0 we get (f
∗
)
/
(c) = 0 = x
∗
, and a little calculation shows that (f
∗
)
/
(c) = x
∗
for all c > 0 as
well. Thus (f
∗
)
/
(c) = L
/
3
(x
∗
, y
∗
, c) for all c in accordance with equation (3.7.5).
3.8.5 See Fig. A3.8.5 in the answer section of the book. Since the Lagrangian
L(x, y) = x ÷y −
1
2
(x ÷y)
2
−
1
4
x −
1
3
y −λ
1
(x −5) −λ
2
(y −3) −λ
3
(−x ÷2y −2)
is concave, a point that satisﬁes Kuhn–Tucker conditions must be a maximum point. The objective
function has no stationary points, so any maximum points must lie on the boundary of S. The Kuhn–
Tucker conditions are:
L
/
1
(x, y) = 1 −(x ÷y) −
1
4
−λ
1
÷ λ
3
≤ 0 (= 0 if x > 0) (i)
L
/
2
(x, y) = 1 −(x ÷y) −
1
3
−λ
2
−2λ
3
≤ 0 (= 0 if y > 0) (ii)
λ
1
≥ 0 (= 0 if x < 5) (iii)
λ
2
≥ 0 (= 0 if y < 3) (iv)
λ
3
≥ 0 (= 0 if −x ÷2y < 2) (v)
The solution is x = 3/4, y = 0, with λ
1
= λ
2
= λ
3
= 0.
Once we have foundor beentoldabout this point it is easytocheckthat it satisﬁes (i)–(v), but otherwise
it can be a very tedious job to go through all possible combinations of zero or positive multipliers as well
as x = 0 or x > 0 and y = 0 or y > 0. In this problem there are 32 different combinations to check if
we do not see any shortcuts. In fact it would probably be more efﬁcient to check each of the ﬁve straight
line segments that form the boundary of S. But it would hardly be practical to do that in a problem with
more than two variables, because it quickly becomes difﬁcult to visualize the geometry of the admissible
set.
3.8.6 (a) The last inequality in (∗) gives
m
¸
j=1
λ
∗
j
(g
j
(x
∗
) −b
j
) ≥
m
¸
j=1
λ
j
(g
j
(x
∗
) −b
j
) for all λ 0 (∗∗)
If g
k
(x
∗
) > b
k
for some k, then
¸
m
j=1
λ
j
(g
j
(x
∗
) −b
j
) can be made arbitrary large by choosing λ
k
large
and λ
j
= 0 for all j ,= k. Hence, g
j
(x
∗
) ≤ b
j
, j = 1, . . . , m. By choosing all λ
j
equal to 0 in (∗∗),
we get
¸
m
j=1
λ
∗
j
(g
j
(x
∗
) − b
j
) ≥ 0. Now, λ
∗
j
≥ 0 and g
j
(x
∗
) ≤ b
j
for every j, so each λ
∗
j
(g
j
(x
∗
) − b
j
)
must be zero, and then
¸
m
j=1
λ
∗
j
(g
j
(x
∗
) − b
j
) = 0. Finally, whenever x is admissible, the inequality
¨
L(x, λ
∗
) ≤
¨
L(x
∗
, λ
∗
) implies that f (x)−f (x
∗
) ≤
¸
m
j=1
λ
∗
j
[g
j
(x)−g
j
(x
∗
)] =
¸
m
j=1
λ
∗
j
[g
j
(x)−b
j
] ≤ 0.
Therefore f (x) ≤ f (x
∗
), so x
∗
solves problem (1).
(b) Proof of the second inequality in (∗): Under the given assumptions,
¨
L(x
∗
, λ
∗
) −
¨
L(x
∗
, λ) =
¸
m
j=1
λ
j
[g
j
(x
∗
) −b
j
] −
¸
m
j=1
λ
∗
j
[g
j
(x
∗
) −b
j
] =
¸
m
j=1
λ
j
[g
j
(x
∗
) −b
j
] ≤ 0 when λ ≥ 0. Since the ﬁrst
inequality in (∗) is assumed, we have shown that (x
∗
, λ
∗
) is a saddle point for
¨
L.
3.9
3.9.1 (A) implies that π(x
∗
) ≥ π(ˆ x), i.e. f (x
∗
) −
¸
m
j=1
λ
j
g
j
(x
∗
) ≥ f (ˆ x) −
¸
m
j=1
λ
j
g
j
(ˆ x). But, because ˆ x
also solves (3.9.1), f (ˆ x) = f (x
∗
) and then
¸
m
j=1
λ
j
g
j
(ˆ x) ≥
¸
m
j=1
λ
j
g
j
(x
∗
). Thus, because λ
j
≥ 0 and
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
CHAPTER 3 STATI C OPTI MI ZATI ON 37
g
j
(ˆ x) ≤ b
j
, j = 1, . . . , m, and also because of (3.9.5), we have
m
¸
j=1
λ
j
b
j
≥
m
¸
j=1
λ
j
g
j
(ˆ x) ≥
m
¸
j=1
λ
j
g
j
(x
∗
) =
m
¸
j=1
λ
j
b
j
(∗)
Here the two middle terms, being squeezed between two equal numbers, must themselves be equal.
Therefore f (ˆ x) −
¸
m
j=1
λ
j
g
j
(ˆ x) = f (x
∗
) −
¸
m
j=1
λ
j
g
j
(x
∗
) ≥ f (x) −
¸
m
j=1
λ
j
g
j
(x) for all x 0,
proving (A). Also, if g
k
(ˆ x) < b
k
and λ
k
> 0 for any k, then
¸
m
j=1
λ
j
(g
j
(ˆ x) −b
j
) < 0, which contradicts
(∗). Thus ˆ x satisﬁes (A)–(C).
3.10
3.10.1 (a) Since the admissible set is closed and bounded, there is at least one maximum point in this
problem. We use Theorem 3.8.3 (necessary ﬁrstorder conditions for problems with mixed constraints).
With L(x, y, z, a) = x
2
÷y
2
÷z
2
−λ(2x
2
÷y
2
÷z
2
−a
2
) −μ(x ÷y ÷z), the necessary conditions
are:
∂L/∂x = 2x −4λx −μ = 0 ⇐⇒ 2(1 −2λ)x = μ (i)
∂L/∂y = 2y −2λy −μ = 0 ⇐⇒ 2(1 −λ)y = μ (ii)
∂L/∂z = 2z −2λz −μ = 0 ⇐⇒ 2(1 −λ)z = μ (iii)
λ ≥ 0, and λ = 0 if 2x
2
÷y
2
÷z
2
< a
2
(iv)
There is no sign restriction on μ, since the corresponding constraint is an equality, not an inequality.
If λ = 0, we get x = y = z = μ/2, which implies 3x = 0, so x = y = z = μ = 0. But the point
(x, y, z) = (0, 0, 0) is obviously not a maximum point but a global minimum point in this problem.
If λ > 0, then 2x
2
÷y
2
÷z
2
= a
2
because of complementary slackness. There are two possibilities:
λ = 1 and λ ,= 1.
(A) If λ ,= 1 then (ii) and (iii) imply y = z, so the constraints yield x ÷2y = 0 and 2x
2
÷2y
2
= a
2
,
with the solutions (x, y, z) = (±
1
5
√
10 a, ∓
1
10
√
10 a, ∓
1
10
√
10 a). Since x = −2y, equations (i) and (ii)
yield −4(1 −2λ)y = μ = 2(1 −λ)y, so λ = 3/5.
(B) If λ = 1, then μ = 0 and x = 0, so y ÷z = 0 and y
2
÷z
2
= a
2
, with y = −z =
a
2
/2. This
gives the two points (x, y, z) = (0, ±
1
2
√
2 a, ∓
1
2
√
2 a).
If we evaluate the objective function x
2
÷y
2
÷z
2
at each of the points we have found, we ﬁnd that
the two points (x
∗
, y
∗
, z
∗
) = (0, ±
1
2
√
2 a, ∓
1
2
√
2 a), with λ = 1, μ = 0 both solve the problem. We
have found several other points that satisfy the necessary conditions for a maximumbut are not maximum
points. Such is often the case when the Lagrangian is not concave.
(b) f
∗
(a) = a
2
, so df
∗
(a)/da = 2a, and ∂L(x
∗
, y
∗
, z
∗
, a)/∂a = 2λa = 2a.
3.11
3.11.1 Assume ﬁrst that f is a function of just one variable, and let x
0
be any point in A ⊆ ޒ. There are
three cases to consider:
(I) If f (x
0
) > 0, then f (x) > 0 for all x in an open interval U around x
0
(because f is continuous).
Then, for all x in U we have f
÷
(x)
2
= f (x)
2
, and so (d/dx)(f
÷
(x)
2
) = 2f (x)f
/
(x) = 2f
÷
(x)f
/
(x).
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
38 CHAPTER 4 TOPI CS I N I NTEGRATI ON
(II) If f (x
0
) < 0, then there is an open interval V around x
0
such that for all x in V we have f (x) < 0
and f
÷
(x) = 0, and then (d/dx)(f
÷
(x)
2
) = 0 = 2f
÷
(x)f
/
(x).
(III) (The most interesting case.) If f (x
0
) = 0, let K = [f
/
(x
0
)[. There is then an open interval W
around x
0
such that for all x ,= x
0
in W,
f (x) −f (x
0
)
x −x
0
−f
/
(x
0
)
< 1, which implies
f (x) −f (x
0
)
x −x
0
< [f
/
(x
0
)[ ÷1 = K ÷1
and therefore
[f (x)[ = [f (x) −f (x
0
)[ < (K ÷1)[x −x
0
[
Then for all x ,= x
0
in W, we get
f
÷
(x)
2
−f
÷
(x
0
)
2
x −x
0
=
f
÷
(x)
2
x −x
0
≤
f (x)
2
x −x
0
< (K ÷1)
2
[x −x
0
[ →0 as x →x
0
and so ((f
÷
)
2
)
/
(x
0
) = 0 = 2f
÷
(x
0
)f
/
(x
0
).
Thus, in all three cases we have shown that (d/dx)(f
÷
(x)
2
) = 2f
÷
(x)f
/
(x). This result immediately
carries over to the partial derivatives of f
÷
(x)
2
if f is a function ޒ
n
→ޒ:
∂
∂x
i
(f
÷
(x))
2
= 2f
÷
(x)
∂
∂x
i
f (x)
and the gradient of f
÷
(x)
2
is
∇(f
÷
(x)
2
) =
∂
∂x
1
(f
÷
(x))
2
, . . . ,
∂
∂x
n
(f
÷
(x))
2
= 2f
÷
(x)
∂
∂x
1
f (x), . . . ,
∂
∂x
n
f (x)
= 2f
÷
(x)∇f (x)
Note that f need not really be C
1
. All that is needed is that all the ﬁrstorder partial derivatives of f exist.
Chapter 4 Topics in Integration
4.1
4.1.5 (a) Expand the integrand. We get
9
4
(
√
x −1)
2
x
dx =
9
4
x −2
√
x ÷1
x
dx =
9
4
1 −
2
√
x
÷
1
x
dx =
9
4
(x −4
√
x ÷ln x) = 1 ÷ln
9
4
(b) With u = 1 ÷
√
x we get x = (u −1)
2
, dx = 2(u −1) du, and
1
0
ln(1 ÷
√
x ) dx =
2
1
2(u −1) ln u du =
2
1
(u −1)
2
ln u −
2
1
(u −1)
2
u
du
= ln 2 −
2
1
1
2
u
2
−2u ÷ln u
=
1
2
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
CHAPTER 4 TOPI CS I N I NTEGRATI ON 39
(c) Let u = 1 ÷x
1/3
. Then x = (u −1)
3
, dx = 3(u −1)
2
du, and
27
0
x
1/3
1 ÷x
1/3
dx =
4
1
u −1
u
3(u −1)
2
du =
4
1
3u
3
−9u
2
÷9u −3
u
du = · · · =
45
2
−3 ln 4
4.2
4.2.2 We use formula (4.2.1) and then introduce u = αx
2
as a new variable, assuming α ,= 0. This yields
F
/
(α) =
1
0
∂
∂α
(xe
αx
2
) dx =
1
0
x
3
e
αx
2
dx =
1
2α
2
α
0
ue
u
du =
1
2α
2
α
0
(ue
u
−e
u
) =
αe
α
−e
α
÷1
2α
2
Direct calculation of F yields F(α) =
1
2α
1
0
e
αx
2
=
e
α
−1
2α
, which gives F
/
(α) =
αe
α
−e
α
÷1
2α
2
,
conﬁrming the result above.
We assumed above that α ,= 0. If α = 0, then formula (4.2.1) yields F
/
(0) =
1
0
x
3
dx = 1/4. To
get the answer by differentiating F directly, we need to know that F(0) =
1
0
x dx = 1/2. Then
F
/
(0) = lim
α→0
F(α) −F(0)
α
= lim
α→0
e
α
−1 −α
2α
2
=
“0
0
”
= · · · =
1
4
as it should be.
4.2.6 By Leibniz’s formula (Theorem 4.2.1),
˙ x(t ) = e
−δ(t −τ)
y(t ) ÷
t
−∞
−δe
−δ(t −τ)
y(τ) dτ = y(t ) −δx(t )
4.2.8 See the answer in the book. In order to use Leibniz’s formula (Theorem 4.2.2 in this case) we need
to know that there exist functions p(τ) and q(τ) such that
t
−∞
p(τ) dτ and
t
−∞
q(τ) dτ converge, and
such that [f
/
(t −τ)k(τ)[ ≤ p(τ) and [G
/
t
(τ, t )[ ≤ q(τ) for all τ ≤ t . Since G
/
(τ, t ) = −k(τ)f (t −τ),
the inequality for G
/
t
boils down to [k(τ)f (t −τ)[ ≤ q(τ) for all τ ≤ t .
4.2.10 (a) g
/
(Q) = c ÷h
Q
0
f (D) dD −p
a
Q
f (D) dD, and g
//
(Q) = (h ÷p)f (Q) ≥ 0.
(b) Since
a
0
f (D) dD = 1, we have
a
Q
f (D) dD =
a
0
f (D) dD −
Q
0
f (D) dD = 1 −
Q
0
f (D) dD
and therefore
g
/
(Q) = c −p ÷(h ÷p)
Q
0
f (D) dD
Since Q
∗
is the minimum point of g(Q), it must be a stationary point—that is, g
/
(Q
∗
) = 0. Therefore
c −p ÷(h ÷p)F(Q
∗
) = 0, which implies F(Q
∗
) = (p −c)/(p ÷h).
4.3
4.3.2 From the functional equation (4.3.2), (
3
2
) = (
1
2
÷1) =
1
2
(
1
2
) =
1
2
√
π. The given formula is thus
correct for n = 1. Suppose it is correct for n = k. Then, using (4.3.2),
(k ÷1 ÷
1
2
) = ((k ÷
1
2
) ÷1) = (k ÷
1
2
)(k ÷
1
2
) = (k ÷
1
2
)
(2k −1)!
2
2k−1
(k −1)!
√
π
=
2k ÷1
2
(2k −1)!
2
2k−1
(k −1)!
√
π =
(2k −1)! 2k(2k ÷1)
2 · 2k · 2
2k−1
(k −1)!
√
π =
(2k ÷1)!
2
2k÷1
k!
√
π
Thus the proposed formula is valid also for n = k ÷1. By mathematical induction it is true for all natural
numbers n.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
40 CHAPTER 4 TOPI CS I N I NTEGRATI ON
4.3.5 (a) Introduce u = λx as a new variable. Then
∞
−∞
f (x) dx =
λ
α
(α)
∞
0
x
α−1
e
−λx
dx =
λ
α
(α)
∞
0
(u/λ)
α−1
e
−u
1
λ
du =
1
(α)
∞
0
u
α−1
e
−u
du = 1
(b) M(t ) =
∞
−∞
e
t x
f (x) dx =
λ
α
(α)
∞
0
x
α−1
e
−(λ−t )x
dx. With u = (λ − t )x as a new variable we
get
M(t ) =
λ
α
(α)
∞
0
u
α−1
e
−u
(λ −t )
α
du =
λ
α
(α)
(α)
(λ −t )
α
=
λ
λ −t
α
= λ
α
(λ −t )
−α
Differentiation gives M
/
(t ) = αλ
α
(λ −t )
−α−1
and in general
M
(n)
(t ) = α(α ÷1) · · · (α ÷n −1)λ
α
(λ −t )
−α−n
=
(α ÷n)
(α)
λ
α
(λ −t )
α÷n
Hence,
M
/
(0) =
α
λ
and M
(n)
(0) =
α(α ÷1) · · · (α ÷n −1)
λ
n
=
(α ÷n)
(α)λ
n
(Alternatively we could have used the formula M
(n)
(0) =
∞
−∞
x
n
f (x) dx from Problem 4.2.5.)
4.4
4.4.2 The inner integral is
1
x
2
b
0
1
x
e
y/x
dy =
1
x
2
y=b
y=0
e
y/x
=
1
x
2
e
b/x
−
1
x
2
, so I =
a
1
1
x
2
e
b/x
−
1
x
2
dx.
With w =
1
x
, we get x =
1
w
and dx = −
1
w
2
dw. Therefore I =
1/a
1
(w
2
e
bw
− w
2
)
−
1
w
2
dw =
1/a
1
(−e
bw
÷1) dw =
1
b
(e
b
−e
b/a
) ÷
1
a
−1.
4.4.3 The integral I =
R
f (x, y) dx dy is
I =
1
0
a
0
2k
(x ÷y ÷1)
3
dx
dy =
1
0
x=a
x=0
−
k
(x ÷y ÷1)
2
dy
=
1
0
k
(y ÷1)
2
−
k
(y ÷a ÷1)
2
dy =
1
0
−
k
y ÷1
k
y ÷a ÷1
= −
k
2
÷
k
a ÷2
÷k −
k
a ÷1
=
k(a
2
÷3a)
2(a
2
÷3a ÷2)
The integral equals 1 if k = k
a
=
2(a
2
÷3a ÷2)
a
2
÷3a
= 2 ÷
4
a
2
÷3a
. Obviously, k
a
> 2 if a > 0.
4.4.5 The innermost integral is
1
0
(x
2
1
÷x
2
2
÷· · · ÷x
2
n
) dx
1
=
1
0
[
1
3
x
3
1
÷x
1
(x
2
2
÷x
2
3
÷· · · ÷x
2
n
)] =
1
3
÷x
2
2
÷x
2
3
÷· · · ÷x
2
n
Next,
1
0
(
1
3
÷x
2
2
÷x
2
3
÷· · · ÷x
2
n
) dx
2
=
1
0
[
1
3
x
2
÷
1
3
x
3
2
÷x
2
(x
2
3
÷x
2
4
÷· · · ÷x
2
n
)] =
2
3
÷x
2
3
÷x
2
4
÷· · · ÷x
2
n
etc. By induction, I = n/3.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
CHAPTER 4 TOPI CS I N I NTEGRATI ON 41
4.5
4.5.2 If y ∈ [0, 1], then x runs from 0 to y, and if y ∈ [1, 2], then x must run from
√
y −1 to 1. Thus,
V =
1
0
y
0
xy
2
dx
dy ÷
2
1
1
√
y−1
xy
2
dx
dy =
1
0
y
4
2
dy ÷
2
1
y
2
−
y
3
2
dy =
67
120
4.5.6 [x −y[ = x −y if x ≥ y and y −x if x < y. Hence (see Fig. A4.5.6(a) in the book),
1
0
1
0
[x −y[ dx dy =
A
[x −y[ dx dy ÷
B
[x −y[ dx dy
=
1
0
¸
y
0
(y −x) dx ÷
1
y
(x −y) dx
¸
dy =
1
0
¸ x=y
x=0
yx −
1
2
x
2
÷
x=1
x=y
1
2
x
2
−yx
¸
dy
=
1
0
¸
y
2
−
1
2
y
2
÷
1
2
−y −
1
2
y
2
÷y
2
¸
dy =
1
0
y
2
−y ÷
1
2
dy =
1
0
1
3
y
3
−
1
2
y
2
÷
1
2
y
=
1
3
4.6
4.6.1 (a) Use the same subdivision as in Example 4.6.1, except that j = 0, . . . , 2n −1. Then
(2x
∗
i
−y
∗
j
÷1) x
i
y
j
=
2
i
n
−
j
n
÷1
1
n
1
n
= 2
i
n
3
−
j
n
3
÷
1
n
2
and
2n−1
¸
j=0
n−1
¸
i=0
2
i
n
3
−
j
n
3
÷
1
n
2
= 2
1
n
3
2n−1
¸
j=0
n−1
¸
i=0
i
−
1
n
3
n−1
¸
i=0
2n−1
¸
j=0
j
÷
1
n
2
2n−1
¸
j=0
n−1
¸
i=0
1
= 2
1
n
3
2n−1
¸
j=0
1
2
n(n −1) −
1
n
3
n−1
¸
i=0
1
2
(2n −1)2n ÷
1
n
2
2n−1
¸
j=0
n
= 2
1
n
3
1
2
n(n −1)2n −
1
n
3
1
2
(2n −1)2nn ÷
1
n
2
n2n = 2 −
1
n
→2
as n →∞.
4.7
y
x
P
1
P
2
P
3
Q
1
Q
2
Q
3
Figure M4.7.2
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
42 CHAPTER 4 TOPI CS I N I NTEGRATI ON
4.7.2 Assume for convenience that the points P
i
= (x
i
, y
i
), i = 1, 2, 3, all lie in the ﬁrst quadrant, and that
x
1
≤ x
2
≤ x
3
. Figure M4.7.2 shows the triangle P
1
P
2
P
3
together with the normals from the P
i
to the
corresponding points Q
i
on the xaxis. For each pair (i, j) with i < j, the points P
i
, Q
i
, Q
j
, and P
j
form
a quadrilateral with two parallel sides (called a trapezium in Britain, a trapezoid in the US), whose area is
T
ij
=
1
2
(x
j
−x
i
)(y
i
÷y
j
). If P
2
lies below the line P
1
P
3
, then the area of the triangle is T
13
−T
12
−T
23
,
and an easy computation shows that this equals A =
1
2
1 x
1
y
1
1 x
2
y
2
1 x
3
y
3
. If P
2
lies above P
1
P
3
, then the area
of the triangle is T
12
÷T
23
−T
13
= −A. In either case the area equals [A[.
If the x
i
are in a different order from what we assumed above, we can renumber them. That may
change the sign of the determinant but not its absolute value. Finally, if the triangle does not lie in the
ﬁrst quadrant, we can move it there by a parallel translation. Such a translation will not change the area
of the triangle, nor will it change the value of the determinant, since we are just adding multiples of the
ﬁrst column to the other two columns.
4.7.3 (b) In this problem it is convenient to use polar coordinates centred at (0, 1), so let x = r cos θ,
y = 1 ÷r sin θ. The Jacobian is ∂(x, y)/∂(r, θ) = r in this situation too, and
A
x
2
dx dy =
2π
0
1/2
0
r
3
cos
2
θ dr
dθ =
2π
0
r=1/2
r=0
r
4
4
cos
2
θ
dθ =
1
64
2π
0
cos
2
θ dθ =
π
64
4.7.5 (b) Introduce new variables u = y − 2x, v = 3x ÷ y. Then x = −
1
5
u ÷
1
5
v, y =
3
5
u ÷
2
5
v and
J =
∂(x, y)
∂(u, v)
= −
1
5
. It follows that
A
2
(x ÷y) dx dy =
8
4
1
−1
2
5
u ÷
3
5
v
[J[ du
dv =
8
4
1
−1
2
5
u ÷
3
5
v
1
5
du
dv = 144/25
4.8
4.8.1 (a) Use polar coordinates and let A
n
= {(x, y) : 1 ≤ x
2
÷y
2
≤ n
2
}. Then
A
n
(x
2
÷y
2
)
−3
dx dy =
2π
0
n
1
r
−6
r dr
dθ
∗
= 2π
n
1
r
−5
dr =
1
2
π(1−n
−4
) →
1
2
π as n →∞
About the equality
∗
=: The integral J
n
=
n
1
r
−6
r dr is independent of θ, therefore
2π
0
J
n
dθ = 2πJ
n
.
(b) With polar coordinates and with A
n
as in part (a), we get
I
n
=
A
n
(x
2
÷y
2
)
−p
dx dy = 2π
n
1
r
1−2p
dr =
⎧
⎨
⎩
2π
n
2−2p
−1
2 −2p
if p ,= 1
2π ln n if p = 1
If p > 1, then I
n
→π/(p −1) as n →∞, but if p ≤ 1, then I
n
→∞.
4.8.4 Note that the integrand takes both positive and negative values in the domain of integration. In the
calculations of the two iterated integrals the positive and the negative parts will more or less balance
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
CHAPTER 5 DI F F ERENTI AL EQUATI ONS I : F I RST ORDER EQUATI ONS I N ONE VARI ABL E 43
each other, but not in exactly the same way. The two iterated integrals
d
1
b
1
y(y ÷ x)
−3
dx dy and
b
1
d
1
y(y ÷x)
−3
dy dx both tend to ∞as b and d tend to ∞, and so do the integrals of x(y ÷x)
−3
. The
trouble arises when we try to take the difference. That leads us into an ∞− ∞situation that does not
lead to any deﬁnite value.
4.8.6 (b) Introduce new variables u = x ÷ y, v = x − y. Then x =
1
2
(u ÷ v), y =
1
2
(u − v), and the
Jacobian determinant is ∂(x, y)/∂(u, v) = −1/2. The square B
/
n
= [−n, n] [−n, n] in the uvplane
corresponds to the square B
n
with corners (2n, 0), (0, 2n), (−2n, 0), and (0, −2n) in the xyplane,
and I
n
=
B
n
e
−(x−y)
2
1 ÷(x ÷y)
2
dx dy =
n
−n
n
−n
e
−v
2
1 ÷u
2
1
2
du
dv =
n
−n
e
−v
2
dv
n
−n
1
2
1
1 ÷u
2
du =
n
−n
e
−v
2
dv · arctan n. Let n → ∞. Then I
n
→
∞
−∞
e
−v
2
dv ·
π
2
=
√
π ·
π
2
=
π
3/2
2
. (Here we used
Poisson’s integral formula (4.3.3).)
4.8.7 (b) With polar coordinates and with the sets A
n
as in Example 3,
A
−ln(x
2
÷y
2
)
x
2
÷y
2
dx dy = lim
n→∞
π/2
0
1
1/n
−
ln r
2
r
r dr
dθ = −π lim
n→∞
1
1/n
ln r dr = · · · = π
Chapter 5 Differential Equations I: Firstorder Equations
in One Variable
5.1
5.1.6 The statement of the problemis slightly inaccurate. Instead of “for all t ” it should have said “for all t in
some open interval I around 0”. With that modiﬁcation the answer in the book is quite correct. (Actually,
the given differential equation has no solution deﬁned on the entire real line. One can show that, with the
initial condition x(0) = 0, the equation has the solution x = tan(
1
2
t
2
) over (−
√
π,
√
π), but this solution
cannot be extended to any larger interval because x(t ) runs off to inﬁnity as t approaches either endpoint.
5.2
x
1
t
1
x
2
÷y
2
= 4, x > 0
Figure M5.2.2
5.2.2 The solution curves are semicircles (not full circles) of the form t
2
÷ x
2
= C, x ,= 0, with C an
arbitrary positive constant. (This can be shown by direct differentiation, or by solving the separable
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
44 CHAPTER 5 DI F F ERENTI AL EQUATI ONS I : F I RST ORDER EQUATI ONS I N ONE VARI ABL E
equation ˙ x = −t /x using the method set out in the next section.) The integral curve through (0, 2) is
given by t
2
÷x
2
= 4, x > 0, in other words it is the graph of the function x(t ) =
√
4 −t
2
over the interval
(−2, 2). The lower semicircle shown in Fig. M5.2.2 is the graph of another function, x(t ) = −
√
4 −t
2
,
which is also a solution of the differential equation, but not the one you were asked to ﬁnd. (The ﬁgure
in answer in the book is misleading since it shows a full circle.)
5.3
5.3.3 (a) One constant solution, x ≡ 0. Otherwise, separating the variables,
dx
x
=
1 −t
t
dt =
1
t
−1
dt =⇒ ln [x[ = ln [t [ −t ÷C
1
Hence, [x[ = e
ln [t [−t ÷C
1
= e
ln [t [
e
−t
e
C
1
= C
2
[t [e
−t
, so x = Ct e
−t
, where C = ±C
2
= ±e
C
1
. The
integral curve through (t
0
, x
0
) = (1, 1/e) is x = t e
−t
.
(b) One constant solution, x ≡ 0. Otherwise,
˙ x
x
=
t
2
1 ÷t
3
=⇒ ln [x[ =
1
3
ln [1 ÷t
3
[ ÷C
1
=⇒ x = C
3
1 ÷t
3
Integral curve through (t
0
, x
0
) = (0, 2) for C = 2.
(c) No constant solutions.
x dx =
t dt =⇒
1
2
x
2
=
1
2
t
2
÷C
1
=⇒x
2
= t
2
÷C, where C = 2C
1
.
An integral curve through (t
0
, x
0
) = (
√
2, 1) must have C = −1 and x > 0, so x =
√
t
2
−1.
(d) The equation is equivalent to ˙ x = e
−2t
(x ÷ 1)
2
. One constant solution, x ≡ −1. The nonconstant
solutions are found by separating the variables:
dx
(x ÷1)
2
=
e
−2t
dt =⇒ −
1
x ÷1
= −
1
2
e
−2t
÷C
1
=⇒ x =
1 −e
−2t
÷C
1 ÷e
−2t
−C
where C = 1 ÷2C
1
. For the solution to pass through (t
0
, x
0
) we must have 1 −e
0
÷C = 0, i.e. C = 0,
so x =
1 −e
−2t
1 ÷e
−2t
.
5.3.6 For convenience we shall suppose that x > 0 and t > 0.
(a) The equation
t ˙ x
x
= a is separable, and we get
dx
x
=
a
t
dt =⇒ ln x = a ln t ÷C
1
= ln t
a
÷C
1
=⇒ x = e
ln x
= t
a
· e
C
1
= Ct
a
where C = e
C
1
.
(b) Here,
t ˙ x
x
= at ÷b. That gives
dx
x
=
at ÷b
t
dt =
a ÷
b
t
dt =⇒ ln x = at ÷b ln t ÷C
1
=⇒ x = Ce
at
t
b
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
CHAPTER 5 DI F F ERENTI AL EQUATI ONS I : F I RST ORDER EQUATI ONS I N ONE VARI ABL E 45
(c) The equation
t ˙ x
x
= ax ÷b gives
˙ x
x(ax ÷b)
=
1
t
. Since
1
x(ax ÷b)
=
1
b
1
x
−
a
ax ÷b
, we get
1
x
−
a
ax ÷b
dx =
b
t
dt =⇒ ln x −ln [ax ÷b[ = b ln t ÷C
1
=⇒
x
ax ÷b
= Ct
b
where C = ±e
C
1
, and ﬁnally x =
Cbt
b
1 −Cat
b
.
5.3.8 (a) Let P = An
α
0
a
b
and Q = αv ÷ ε. Separating the variables we get
K
c−b
dK = P
e
Qt
dt .
Integration yields
K
1−b÷c
1 −b ÷c
=
P
Q
e
Qt
÷ C
1
. Hence, K =
¸
P
Q
(1 − b ÷ c)e
Qt
÷ C
¸
1/(1−b÷c)
, where
C = C
1
(1 −b ÷c).
(b) We separate the variables and get
x dx
(β −αx)(x −a)
=
dt . The hint in the problem gives
β dx
β −αx
÷
a dx
x −a
= (β −αa)
dt ⇐⇒ −
β
α
ln [β −αx[ ÷a ln [x −a[ = (β −αa)t ÷C
1
⇐⇒
β
α
ln [β −αx[ −a ln [x −a[ = ln [β −αx[
β/α
÷ln [x −a[
−a
= −(β −αa)t −C
1
⇐⇒ [β −αx[
β/α
[x −a[
−a
= e
−(β−αa)t −C
1
= e
−(β−αa)t
e
−C
1
= Ce
(αa−β)t
where C = e
−C
1
. We have the same answer as in the book (since [β −αx[ = [αx −β[).
5.3.9 (a) Note ﬁrst that L = L
0
e
λt
= [L
α
0
e
αλt
]
1/α
, so as t →∞,
K
L
=
¸
K
α
0
÷(sA/λ)L
α
0
(e
αλt
−1)
¸
1/α
[L
α
0
e
αλt
]
1/α
=
¸
K
α
0
L
α
0
e
αλt
÷
sA
λ
(1 −e
−αλt
)
¸
1/α
→
sA
λ
1/α
and
X
L
=
AK
1−α
L
α
L
= A
K
L
1−α
→A
sA
λ
(1−α)/α
= A
1/α
s
λ
(1−α)/α
(b) The equation is separable, dK/dt = sAK
1−α
L
α
= sAK
1−α
b
α
(t ÷a)
α
. We get
K
α−1
dK = sAb
α
(t ÷a)
pα
dt =⇒
1
α
K
α
=
sAb
α
pα ÷1
(t ÷a)
pα÷1
÷C
The initial condition gives C =
1
α
K
α
0
−
sAb
α
pα ÷1
a
pα÷1
, and so
K =
¸
K
α
0
÷sαAb
α
(t ÷a)
pα÷1
−a
pα÷1
/(pα ÷1)
¸
1/α
It follows that
K
L
=
¸
K
α
0
÷
sαAb
α
pα ÷1
(t ÷a)
pα÷1
−a
pα÷1
¸
1/α
¸
b
α
(t ÷α)
pα
¸
1/α
=
¸
K
α
0
b
α
(t ÷α)
pα
÷
sαA
pα ÷1
t ÷a −
a
pα÷1
(t ÷α)
pα
¸
1/α
→∞ as t →∞
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
46 CHAPTER 5 DI F F ERENTI AL EQUATI ONS I : F I RST ORDER EQUATI ONS I N ONE VARI ABL E
5.4
5.4.6 Use formula (5.4.6) to solve these equations.
(b) Here
a(t ) dt = −
(1/t ) dt = −ln t , and (5.4.6) yields the solution x = Ct ÷t
2
.
(c) In this case,
a(t ) dt = −
1
2
ln(t
2
−1), and (5.4.6) yields the solution x = C
√
t
2
−1 ÷t
2
−1.
(d) Here a(t ) = −2/t , b(t ) = −2a
2
/t
2
,
a(t ) dt = −2 ln t , which leads to x = Ct
2
÷2a
2
/3t .
5.4.9 From x = X/N, by logarithmic differentiation, ˙ x/x =
˙
X/X −
˙
N/N. Moreover, (ii) implies that
˙
X/X = a
˙
N/N, so ˙ x/x = (a−1)
˙
N/N = (a−1)[α−β(1/x)]. It follows that ˙ x = (a−1)αx −(a−1)β.
The solution is x(t ) = [x(0) − β/α]e
α(a−1)t
÷ β/α. Then (ii) and x = X/N together imply that
N(t ) = [x(t )/A]
1/(a−1)
, X(t ) = A[N(t )]
a
. If 0 < a < 1, then x(t ) → β/α, N(t ) → (β/αA)
1/(a−1)
,
and X(t ) →A(β/αA)
a/(a−1)
as t →∞.
5.4.10 (b) It sufﬁces to note that (1 −e
−ξt
)/ξ > 0 whenever ξ ,= 0 (look at ξ > 0 and ξ < 0 separately).
Then apply this with ξ = ασ − μ. Faster growth per capita is to be expected because foreign aid
contributes positively.
(c) Using equation (∗∗), we get x(t ) =
¸
x(0) ÷
σ
ασ −μ
H
0
N
0
¸
e
−(ρ−ασ)t
÷
σ
μ −ασ
H
0
N
0
e
(μ−ρ)t
.
Note that, even if ασ < ρ, x(t ) is positive and increasing for large t as long as μ > ρ. So foreign aid
must grow faster than the population.
5.5
5.5.2 With f (t, x) = 1 and g(t, x) = t /x ÷2, we have (g
/
t
−f
/
x
)/f = 1/x, so we are in Case (II). It follows
from (5.5.11) that we can choose β(x) = exp(
(1/x) dx) = exp(ln x) = x as an integrating factor.
Hence, x ÷(t ÷2x) ˙ x = 0 is exact, and (8) easily yields h(t, x) = t x ÷x
2
−t
0
x
0
−x
2
0
. The solution of
the differential equation is obtained from t x ÷ x
2
= C, where C is a constant. We assumed that t > 0
and x > 0, so C will be positive, and the solution of t x ÷x
2
= C is x = −
1
2
t ÷
1
4
t
2
÷C.
5.6
5.6.1 (a) With t > 0, the given equation is equivalent to the Bernoulli equation ˙ x ÷(2/t )x = x
r
with r = 2.
Let z = x
1−r
= x
−1
= 1/x, so that x = 1/z. Then ˙ x = −z
−2
˙ z and the differential equation becomes
−z
−2
˙ z ÷(2/t )z
−1
= z
−2
⇐⇒ ˙ z −(2/t )z = −1
whose solution is z = Ct
2
÷t . Thus x = (Ct
2
÷t )
−1
.
(b) The equation is a Bernoulli equation as in (5.6.1), with r = 1/2. Thus we substitute z = x
1−1/2
=
x
1/2
, i.e. x = z
2
. Then ˙ x = 2z˙ z and the given equation becomes
2z˙ z = 4z
2
÷2e
t
z ⇐⇒ ˙ z −2z = e
t
(Recall that x is assumed to be positive, and therefore z > 0.) Formula (5.4.4) yields
z = e
2t
(C ÷
e
−2t
e
t
dt ) = e
2t
(C ÷
e
−t
dt ) = e
2t
(C −e
−t
) = Ce
2t
−e
t
.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
CHAPTER 5 DI F F ERENTI AL EQUATI ONS I : F I RST ORDER EQUATI ONS I N ONE VARI ABL E 47
(Alternatively we could go back to the method that was used to deduce (5.4.4) and calculate like this:
˙ z −2z = e
t
⇐⇒ (˙ z −2z)e
−2t
= e
−t
⇐⇒
d
dt
(ze
−2t
) = e
−t
⇐⇒ ze
−2t
= −e
−t
÷C, etc.)
The solution of the given equation is therefore
x = z
2
= (Ce
2t
−e
t
)
2
(c) As in part (a), we substitute x = 1/z, with ˙ x = −z
−2
dz. This leads to the differential equation
˙ z −(1/t )z = −(ln t )/t
Formula (5.4.6) yields the solution
z = e
ln t
C −
e
−ln t
ln t
t
dt
= t
C −
ln t
t
2
dt
= Ct ÷ln t ÷1 =⇒ x = (Ct ÷ln t ÷1)
−1
(The answer in the book also lists x ≡ 0 as a solution, and it certainly satisﬁes the equation, but the
problem explicitly calls for solutions with x > 0.)
5.6.3 Introducing z = K
1−b
as a new variable, we ﬁnd that (see (5.6.3)) ˙ z ÷ Pz = Qe
(av÷ε)t
, where
P = αδ(1 − b) and Q = αAn
a
0
(1 − b). According to (5.4.4), the solution of this linear differential
equation is
z = Ce
−Pt
÷Qe
−Pt
e
Pt
e
(av÷ε)t
dt = Ce
−Pt
÷Qe
−Pt
e
(av÷ε÷P)t
dt
= Ce
−Pt
÷Qe
−Pt
1
av ÷ε ÷P
e
(av÷ε÷P)t
= Ce
−Pt
÷
Qe
(av÷ε)t
av ÷ε ÷P
Insert the values of P and Q. Then K = z
1/(1−b)
gives the answer in the book.
5.6.4 Introduce z = K
1−α
as a new variable. By (5.6.3), we get the equation ˙ z −γ
2
(1 −α)z = γ
1
b(1 −α).
According to (5.4.3), the solution is z = Ce
γ
2
(1−α)t
− γ
1
b/γ
2
. Then K = z
1/(1−α)
gives the answer in
the book.
5.6.7 The equation is of the form ˙ x = g(x/t ) with g(z) = 1 ÷ z − z
2
. According to Problem 5.6.6,
the substitution z = x/t leads to the separable equation t ˙ z = g(z) − z = 1 − z
2
. This has the two
constant solutions z = −1 and z = 1. To ﬁnd the other solutions, we separate the variables and get
dz
1 −z
2
=
dt
t
. By a wellknown identity,
1
2
1
1 ÷z
÷
1
1 −z
dz =
dt
t
÷ C. Integration
yields
1
2
ln [1 ÷z[ −
1
2
ln [1 −z[ = ln [t [ ÷C, so
ln
1 ÷z
1 −z
= 2 ln [t [ ÷2C = ln t
2
÷2C =⇒
1 ÷z
1 −z
= At
2
where A = ±e
2C
. Solving for z gives z =
At
2
−1
At
2
÷1
, and ﬁnally x = t z =
At
3
−t
At
2
÷1
. In addition we have
the two solutions x = −t and x = t , corresponding to z = ±1.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
48 CHAPTER 5 DI F F ERENTI AL EQUATI ONS I : F I RST ORDER EQUATI ONS I N ONE VARI ABL E
5.7
5.7.3 (a) This is a separable equation with solution x(t ) = (1÷Ae
t
)/(1−Ae
t
) where A = (x
0
−1)/(x
0
÷1)
for x
0
,= −1. For x
0
= −1 we get the constant solution x(t ) ≡ −1. For x
0
,= 1, x(t ) →−1 as t →∞.
If x
0
> 1, which occurs when 0 < A < 1, then x(t ) → ∞ as t → (−ln A)
−
, and x(t ) → −∞ as
t →(−ln A)
÷
. See Fig. A5.7.3(a) in the answer section of the book for some integral curves.
5.7.4 (a) ∂k
∗
/∂s = f (k
∗
)/[λ − sf
/
(k
∗
)] > 0 and ∂k
∗
/∂λ = −k
∗
/[λ − sf
/
(k
∗
)] < 0 when λ > sf
/
(k
∗
).
In equilibrium, capital per worker increases as the savings rate increases, and decreases as the growth
rate of the work force increases. From F(K, L) = Lf (k) with k = K/L, we obtain F
/
K
(K, L) =
Lf
/
(k)(1/L) = f
/
(k).
(b) From equations (i) to (iv), c = (X −
˙
K)/L = (1 − s)X/L = (1 − s)f (k). But sf (k
∗
) = λk
∗
, so
when k = k
∗
we have c = f (k
∗
)−λk
∗
. The necessary ﬁrstorder condition for this to be maximized w.r.t.
k
∗
is that f
/
(k
∗
) = λ. But F(K, L) = Lf (k) and so F
/
K
= Lf
/
(k)dk/dK = f
/
(k) because k = K/L
with L ﬁxed. Thus ∂F/∂K = λ.
(c) See the answer in the book.
5.8
5.8.4 The equation is separable, and the solution through (t
0
, x
0
) = (0,
1
2
) is x = 1/(1 ÷e
−t
). If condition
(3) in Theorem 5.8.3 were satisﬁed, then for every t , there would exist numbers a(t ) and b(t ) such that
[x(1 − x)[ ≤ a(t )[x[ ÷ b(t ) for all x. But then [1 − x[ ≤ a(t ) ÷ b(t )/[x[, which clearly is impossible
when x is sufﬁciently large. Similarly, (4) implies x
2
(1−x) ≤ a(t )x
2
÷b(t ), so 1−x ≤ a(t ) ÷b(t )/x
2
,
which becomes impossible as x →−∞.
5.8.5 See Fig. M5.8.5. For t < a, ˙ ϕ(t ) = −2(t −a) = 2(a −t ) = 2
(a −t )
2
= 2
√
[ϕ(t )[. The argument
for t > b is similar. For t in (a, b) we have ˙ ϕ(t ) = 0 = 2
√
[ϕ(t )[. For t < a, (ϕ(t ) −ϕ(a))/(t −a) =
−(t − a)
2
/(t − a) = −(t − a) = a − t , and for t slightly larger than a, (ϕ(t ) − ϕ(a))/(t − a) = 0.
It follows that when t is near a,
(ϕ(t ) − ϕ(a))/(t − a)
≤ [t − a[, so ϕ is differentiable at a, and
˙ ϕ(a) = lim
t →a
(ϕ(t ) − ϕ(a))/(t − a) = 0 = 2
√
[ϕ(a)[. In the same way we show that the differential
equation is satisﬁed at t = b.
x
−3
−2
−1
1
2
3
t
−4 −3 −2 −1 1 2 3 4
x = ϕ(t )
Figure M5.8.5
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
CHAPTER 6 / DI F F ERENTI AL EQUATI ONS I I : SECOND ORDER EQUATI ONS 49
6 Differential Equations II: SecondOrder Equations and
Systems in the Plane
6.1
6.1.4 In each of these three equations, let u = ˙ x. That will give simple ﬁrstorder equations for u which
you can solve, and afterwards ﬁnd x as x =
u dt .
(a) Putting u = ˙ x, we get ˙ u ÷ 2u = 8, which has the solution (see (5.4.3)) u = Ce
−2t
÷ 4. But then
x =
(Ce
−2t
÷4) dt = −
1
2
Ce
−2t
÷4t ÷B = Ae
−2t
÷4t ÷B, with A = −
1
2
C.
(b) With u = ˙ x, we get ˙ u −2u = 2e
2t
, with the solution (see (5.4.4))
u = Ce
2t
÷e
2t
e
−2t
2e
2t
dt = Ce
2t
÷e
2t
2 dt = Ce
2t
÷e
2t
2t = (C ÷2t )e
2t
Integration by parts then yields
x =
(C ÷2t )e
2t
dt =
1
2
(C ÷2t )e
2t
−
1
2
2e
2t
dt
=
1
2
(C ÷2t )e
2t
−
1
2
e
2t
÷B =
1
2
(C −1)e
2t
÷t e
2t
÷B = Ae
2t
÷t e
2t
÷B
with A =
1
2
(C −1).
(c) Let u = ˙ x. Then ˙ u − u = t
2
, which has the solution (see (5.4.4)) u = Ae
t
÷ e
t
e
−t
t
2
dt . Using
integration by parts twice gives
e
−t
t
2
dt = −t
2
e
−t
− 2t e
−t
− 2e
−t
, and so u = Ae
t
− t
2
− 2t − 2.
Then x =
(Ae
t
−t
2
−2t −2) dt = Ae
t
−
1
3
t
3
−t
2
−2t ÷B.
6.1.6 (a) Suppose x = ϕ(t ) is a solution of ´ x = F(x, ˙ s). We know that if ˙ x = ˙ ϕ(t ) ,= 0, then the equation
x −ϕ(t ) = 0 deﬁnes t as a function of x, with
dt
dx
= −
(∂/∂x)(x −ϕ(t ))
(∂/∂t )(x −ϕ(t ))
= −
∂
∂x
(x −ϕ(t ))
∂
∂t
(x −ϕ(t ))
=
1
˙ ϕ(t )
=
1
˙ x
Therefore ˙ x = 1/t
/
, where t
/
= dt /dx. (The prime
/
denotes differentiation with respect to x.) Now the
chain rule gives
´ x =
d
dt
( ˙ x) =
d
dt
1
t
/
=
d
dx
1
t
/
dx
dt
= −
t
//
(t
/
)
2
1
t
/
= −
t
//
(t
/
)
3
and the differential equation ´ x = F(x, ˙ x) becomes
−
t
//
(t
/
)
3
= F(x, 1/t
/
) ⇐⇒ t
//
= −(t
/
)
3
F(x, 1/t
/
)
(b) (i) Obviously, x(t ) ≡ C is a solution for any constant C. The equation for t
//
in (a) becomes
t
//
= −(t
/
)
3
(−x)(1/t
/3
) = x, or d
2
t /dx
2
= x. Integration yields dt /dx =
1
2
x
2
÷ A, and further
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
50 CHAPTER 6 / DI F F ERENTI AL EQUATI ONS I I : SECOND ORDER EQUATI ONS
integration results in t =
1
6
x
3
÷Ax ÷B, where A and B are arbitrary constants. A nonconstant solution
of the equation ´ x = −x ˙ x
3
is therefore given implicitly by the equation x
3
÷A
1
x ÷B
1
= 6t .
(ii) In this case, x(t ) ≡ C is a solution for every constant C ,= 0. For solutions with ˙ x ,= 0 we use the
transformation in (a) and get
t
//
= −(t
/
)
3
1/(t
/
)
2
x
= −
t
/
x
⇐⇒
t
//
t
/
= −
1
x
⇐⇒ ln [t
/
[ = −ln [x[ ÷A
1
This yields t
/
= A
2
/x, where A
2
= ±e
A
1
, and then t =
t
/
dx = A
2
ln [x[ ÷ B
1
. This yields ln [x[ =
At ÷B
2
, where A = 1/A
2
and B
2
= −B
1
/A
2
. Finally, x = ±e
B
2
e
At
= Be
At
.
(Note that the constants A and B here are different from 0. If we let A = 0 in Be
at
, we recover the
constant solutions mentioned at the beginning.)
6.2
6.2.3 (a) Direct calculations show that ´ u
1
÷ ˙ u
1
−6u
1
= 0 and ´ u
2
÷ ˙ u
2
−6u
2
= 0. Since u
1
and u
2
are not
proportional, Theorem 6.2.1(a) says that the general solution of ´ x ÷ ˙ x − 6x = 0 is x = Au
1
÷ Bu
2
=
Ae
2t
÷Be
−3t
.
(b) Theorem 6.2.1(b) now tells us that the general solution is Au
1
÷Bu
2
÷u
∗
, where u
∗
is any particular
solution of the equation. Since the righthand side of the equation is a polynomial of degree 1, we try to ﬁnd
a particular solution of the formu
∗
= Ct ÷D. We get ´ u
∗
÷˙ u
∗
−6u
∗
= C−6(Ct ÷D) = −6Ct ÷(C−6D),
so u
∗
is a solution if and only if −6C = 6 and C = 6D, in other words if and only if C = −1 and
D = −1/6. Thus the general solution of the given equation is x = Ae
2t
÷Be
−3t
−t −1/6.
6.2.5 Let x = (t ÷k)
−1
. Then ˙ x = −(t ÷k)
−2
, ´ x = 2(t ÷k)
−3
, and
(t ÷a)(t ÷b) ´ x ÷2(2t ÷a ÷b) ˙ x ÷2x
= (t ÷k)
−3
¸
2(t ÷2)(t ÷b) −2(2t ÷a ÷b)(t ÷k) ÷2(t ÷k)
2
¸
= (t ÷k)
−3
2
¸
k
2
−(a ÷b)k ÷ab
¸
= (t ÷k)
−3
2(k −a)(k −b)
Thus x = (t ÷k)
−1
solves the given differential equation if and only if k = a or k = b. Since a ,= b, the
functions u
1
= (t ÷a)
−1
and u
2
= (t ÷b)
−1
are not proportional, and the general solution of the given
equation is x = Au
1
÷Bu
2
= a(t ÷a)
−1
÷B(t ÷b)
−1
.
6.3
6.3.2 (a) The characteristic equation is r
2
− 1 = 0, with roots r = 1 and r = −1. The general solu
tion of the corresponding homogeneous differential equation is therefore (Case (I) in Theorem 6.3.1),
x = Ae
t
÷ Be
−t
. To ﬁnd a particular solution of the given equation we try u
∗
(t ) = p sin t ÷ q cos t .
Then ˙ u
∗
= p cos t − q sin t , and ´ u
∗
= −p sin t ÷ q cos t . Inserting this into the given equation yields
−2p sin t − 2q cos t = sin t . Thus p = −1/2 and q = 0. The general solution of ´ x − x = sin t is
therefore x = Ae
t
÷Be
−t
−
1
2
sin t .
(b) The general solution of the homogeneous equation is again x = Ae
t
÷Be
−t
. Since e
−t
is a solution
of the homogeneous equation, we try u
∗
(t ) = pt e
−t
. Then ˙ u
∗
(t ) = pe
−t
−pt e
−t
and ´ u
∗
(t ) = −pe
−t
−
pe
−t
÷ pt e
−t
, which inserted into the given equation yields −2pe
−t
= e
−t
, so p = −1/2, and the
general solution is x = Ae
t
÷Be
−t
−
1
2
t e
−t
.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
CHAPTER 6 / DI F F ERENTI AL EQUATI ONS I I : SECOND ORDER EQUATI ONS 51
(c) The characteristic equation is r
2
−10r ÷25 = (r −5)
2
= 0, so r = 5 is a double root. The general
solution of the homogeneous equation is therefore (Case (II) in Theorem 6.3.1), x = Ae
5t
÷ Bt e
5t
. To
ﬁnd a particular solution we try u
∗
(t ) = pt ÷ q, and ﬁnd p = 2/75, q = 3/125. Hence, the general
solution of the given equation is x = Ae
5t
÷Bt e
5t
÷
2
75
t ÷
3
125
.
6.3.3 (a) The characteristic equation is r
2
÷2r ÷1 = (r ÷1)
2
= 0, so r = −1 is a double root. The general
solution of the homogeneous equation is therefore (Case (II) in Theorem 6.3.1), x = Ae
−t
÷Bt e
−t
. To
ﬁnd a particular solution we try u
∗
(t ) = Ct
2
÷Dt ÷E. Then ˙ u
∗
= 2Ct ÷D, and ´ u
∗
= 2C. Inserted into
the given equation this yields 2C÷4Ct ÷2D÷Ct
2
÷Dt ÷E = t
2
, or Ct
2
÷(4C÷D)t ÷2C÷2D÷E = t
2
.
Equating like powers of t yields C = 1, 4C ÷D = 0, and 2C ÷2D ÷E = 0. It follows that D = −4,
and E = 6. So the general solution is x = Ae
−t
÷ Bt e
−t
÷ t
2
− 4t ÷ 6. The constants A and B are
determined by the initial conditions. The condition x(0) = 0 yields A ÷ 6 = 0, so A = −6. Since
˙ x(t ) = −Ae
−t
÷ Be
−t
− Bt e
−t
÷ 2t − 4, the condition ˙ x(0) = 1 implies −A ÷ B − 4 = 1, and so
B = A ÷5 = −1. The required solution is x = −6e
t
−t e
t
÷t
2
−4t ÷6.
(b) The characteristic equation is r
2
÷4 = 0, so r = ±2i are the complex roots. The general solution of
the homogeneous equation is therefore (Case (III) in Theorem 6.3.1), x = Asin 2t ÷ B cos 2t . To ﬁnd
a particular solution we try u
∗
(t ) = Ct ÷ D, and ﬁnd C = 1 and D = 1/4. It follows that the general
solution is x = Asin 2t ÷B cos 2t ÷t ÷1/4. To ﬁnd the solution with the given initial conditions we must
determine A and B. The initial condition x(π/2) = 0 gives Asin π ÷B cos π ÷π/2 ÷1/4 = 0. Since
sin π = 0 and cos π = −1, we ﬁnd B = π/2 ÷1/4. Since ˙ x = 2Acos 2t −2B sin 2t ÷1, the equation
˙ x(π/2) = 0 gives −2A ÷1 = 0. Therefore A = 1/2, and so x =
1
2
sin 2t ÷(
1
4
÷
1
2
π) cos t ÷t ÷
1
4
.
6.3.4 Since the righthand side is a linear function of t , we try to ﬁnd a particular solution of the form
u
∗
= Pt ÷Q. We get ˙ u
∗
= P and ´ u
∗
= 0, so we must have
γ [β ÷α(1 −β)]P −γ δ
∗
Pt −γ δ
∗
Q = −γ δ
∗
kt −γ δ
∗
L
0
It follows that P = k and Q = L
0
÷[β ÷α(1 −β)]k/δ
∗
.
The characteristic equation is r
2
÷γ [β ÷α(1 −β)]r −γ δ
∗
= 0, with roots
r = −
1
2
γ [β ÷α(1 −β)] ±
1
2
γ
2
[β ÷α(1 −β)]
2
÷4γ δ
∗
Oscillations occur if the characteristic roots are complex, i.e. if and only if
1
4
γ
2
[β÷α(1−β)]
2
÷γ δ
∗
< 0.
6.3.8 (a) This is an Euler differential equation. With x = t
r
, we get ˙ x = rt
r−1
, and ´ x = r(r − 1)t
r−2
.
Inserting this into the given equation and cancelling t
r
gives the equation r
2
÷ 4r ÷ 3 = 0, with roots
r = −1 and r = −3. The general solution is therefore x = At
−1
÷Bt
−3
.
(b) Substituting x = t
r
into the homogeneous equation yields the equation r
2
−4r ÷3 = (r −1)(r −3).
The general solution of the homogeneous equation is therefore x = At ÷ Bt
3
. To ﬁnd a particular
solution of the nonhomogeneous equation, t
2
´ x − 3t ˙ x ÷ 3x = t
2
, we try u
∗
(t ) = Pt
2
÷ Qt ÷ R. Then
˙ u
∗
= 2Pt ÷Q, and ´ u
∗
= 2P. Inserted into the given equation this yields
2Pt
2
−3t (2Pt ÷Q) ÷3Pt
2
÷3Qt ÷3R = t
2
⇐⇒ −Pt
2
÷3R = t
2
This holds for all t if and only if P = −1 and R = 0. (Note that Qdid not appear in the last equation. That
is because Qt is a solution of the homogeneous equation.) One particular solution of the nonhomogeneous
equation is therefore u
∗
= −t
2
, and so the general solution is x = At ÷Bt
3
−t
2
.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
52 CHAPTER 6 / DI F F ERENTI AL EQUATI ONS I I : SECOND ORDER EQUATI ONS
6.3.10 By Leibniz’s rule, ´ p = a[D(p(t )) −S(p(t ))] = a(d
1
−s
1
)p ÷a(d
0
−s
0
). In other words, p must
satisfy ´ p ÷a(s
1
−d
1
)p = a(d
0
−s
0
). Note that a(s
1
−d
1
) > 0, and see the answer in the book.
6.4
6.4.3 Write the equation as ´ p(t ) − λp(t ) = k, where λ = γ (a − α). If λ > 0, then the solution is
p(t ) = Ae
rt
÷ Be
−rt
− k/r
2
, where r =
√
λ; if λ = 0, then the solution is p(t ) = At ÷ B ÷
1
2
kt
2
; if
λ < 0, then the solution is p(t ) = Acos
√
−λ t ÷B sin
√
−λ t −k/λ.
The equation is not stable for any values of the constants. This is obvious from the form of the
solutions—if λ ≥ 0, the corresponding homogeneous equation has solutions that run off to inﬁnity, and
if λ < 0 the solutions oscillate with a ﬁxed amplitude.
We can also see the instability fromthe criterion in (6.4.2): The characteristic equation is r
2
−λ = 0.
If λ > 0, this equation has two real solutions, one positive and one negative. If λ = 0, the characteristic
roots are r
1
= r
2
= 0. If λ < 0, the equation has complex roots with real part equal to 0.
6.5
6.5.2 (a) If we add the two equations we get ˙ x ÷ ˙ y = (a ÷b)(x ÷y). Hence x ÷y = Ce
(a÷b)t
. Because of
the initial conditions x(0) =
1
2
, y(0) =
1
2
, we must have C = 1. This implies ˙ x = a(x ÷y) = ae
(a÷b)t
and ˙ y = be
(a÷b)t
.
If a ÷b ,= 0, then
x =
ae
(a÷b)t
a ÷b
÷A, y =
be
(a÷b)t
a ÷b
÷B
for suitable constants A and B. The initial conditions yield
A = x(0) −
a
a ÷b
=
1
2
−
a
a ÷b
=
b −a
2(a ÷b)
, B = y(0) −
b
a ÷b
=
1
2
−
b
a ÷b
=
a −b
2(a ÷b)
and so
x(t ) =
2ae
(a÷b)t
÷b −a
2(a ÷b)
, y(t ) =
2be
(a÷b)t
÷a −b
2(a ÷b)
If a ÷b = 0, then ˙ x = a and ˙ y = b = −a, and therefore
x =
1
2
÷at, y =
1
2
−at
(b) The ﬁrst equation gives y = ˙ x −2t x, and if we use this in the second equation we get
´ x −2x −2t ˙ x = −2t −2x ⇐⇒ ´ x −2t ˙ x = −2t
This is a ﬁrstorder linear equation for ˙ x with general solution ˙ x = Ce
−t
2
÷ 1. From the ﬁrst equation
and the initial conditions we get ˙ x(0) = 0 ÷y(0) = 1, so C = 0. Therefore ˙ x = 1. Because x(0) = 1,
we get x = t ÷1, and y = ˙ x −2t x = 1 −2t (t ÷1) = −2t
2
−2t ÷1.
(c) The ﬁrst equation yields y = −
1
2
˙ x ÷
1
2
sin t . From the second equation we then get
−
1
2
´ x ÷
1
2
cos t = 2x ÷1 −cos t ⇐⇒ ´ x ÷4x = −2 ÷3 cos t (∗)
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
CHAPTER 6 / DI F F ERENTI AL EQUATI ONS I I : SECOND ORDER EQUATI ONS 53
The corresponding homogeneous equation, ´ x ÷4x = 0, has the general solution x = Acos 2t ÷B sin 2t .
To ﬁnd a particular solution of (∗) we try u
∗
= C ÷ Dcos t ÷ E sin t . Then ´ u
∗
= −Dcos t − E sin t
and ´ u
∗
÷ 4u
∗
= 4C ÷ 3Dcos t ÷ 3E sin t . It follows that C = −1/2, D = 1, and E = 0. Thus
the general solution of (∗) is x = Acos 2t ÷ B sin 2t −
1
2
÷ cos t , and we get y = −
1
2
˙ x ÷
1
2
sin t =
−Acos 2t ÷B sin 2t ÷sin t . The initial conditions x(0) = y(0) = 0 yield B −
1
2
÷1 = 0 and −A = 0,
so the solutions we are looking for are
x = −
1
2
cos 2t ÷cos t −
1
2
, y = −
1
2
sin 2t ÷sin t
6.5.3 The ﬁrst equation gives p = e
−2t
( ˙ x−x). Then ˙ p = −2e
−2t
( ˙ x−x)÷e
−2t
( ´ x−˙ x) = e
−2t
( ´ x−3˙ x÷2x).
If we insert these expressions for p and ˙ p into the second equation, we get
e
−2t
( ´ x −3˙ x ÷2x) = 2e
−2t
x −e
−2t
( ˙ x −x) = e
−2t
(3x − ˙ x) =⇒ ´ x −2˙ x −x = 0
The general solution of the last equation is x = Ae
(1÷
√
2 )t
÷Be
(1−
√
2 )t
, where 1±
√
2 are the roots of the
characteristic equation, r
2
−2r −1 = 0. A straightforward calculation gives ˙ x −x = A
√
2e
(1÷
√
2 )t
−
B
√
2e
(1−
√
2 )t
and then p = e
−2t
( ˙ x −x) = A
√
2e
(
√
2−1)t
−B
√
2e
(−
√
2−1)t
.
6.5.4 From the ﬁrst equation, σ = απ − ˙ π. Inserting this into the second equation, we get
α ˙ π − ´ π = π −
α
β
π ÷
1
β
˙ π ⇐⇒ ´ π ÷
1
β
−α
˙ π ÷
1 −
α
β
π = 0 (∗)
which is a secondorder differential equation for π with constant coefﬁcients. The characteristic equation
is r
2
÷(1/β −α)r ÷(1−α/β) = 0, with roots r
1,2
=
1
2
(α−1/β) ±
1
2
(α ÷1/β)
2
−4. If α÷1/β > 2,
then r
1
and r
2
are real and different, and the general solution of (∗) is π = Ae
r
1
t
÷Be
r
2
t
. It follows that
σ = απ − ˙ π = (α −r
1
)Ae
r
1
t
÷(α −r
2
)Be
r
2
t
.
6.6
6.6.3 (ii) The equilibrium point of the linear system ˙ x = x ÷ 2y, ˙ y = −y, is (x
∗
, y
∗
) = (−5, 2). Let
z = x ÷5 and w = y −2 (cf. example 6.5.4). The given equation system is equivalent to the system
˙ w = w ÷2z
˙ z = −z
⇐⇒
˙ w
˙ z
= A
w
z
(∗)
with coefﬁcient matrix A =
1 2
0 −1
. Since the trace of Ais 0, the systemis not globally asymptotically
stable. The eigenvalues of Aare λ
1
= 1 and λ
2
= −1, with corresponding eigenvectors
1
0
and
1
−1
.
According to (6.5.9), the solution of (∗) is
w
z
= Ae
t
1
0
÷Be
−t
1
−1
=
Ae
t
÷Be
−t
−Be
−t
. The
solution of the given system is therefore x = z − 5 = Ae
t
÷ Be
−t
− 5 and y = w ÷ 2 = −Be
−t
÷ 2,
the same solution as in (i).
It is clear that if A ,= 0, then x does not converge to the equilibriumvalue as t →∞, which conﬁrms
that the system is not asymptotically stable.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
54 CHAPTER 6 / DI F F ERENTI AL EQUATI ONS I I : SECOND ORDER EQUATI ONS
6.6.4 (a) From the ﬁrst equation, y =
1
2
( ˙ x −ax −α). The second equation then yields
1
2
( ´ x −a ˙ x) = 2x ÷
1
2
a( ˙ x −ax −α) ÷β ⇐⇒ ´ x −2a ˙ x ÷(a
2
−4)x = 2β −αa (♦)
The characteristic equation is r
2
−2ar ÷a
2
−4 = 0, which has the roots r
1,2
= a ±2. It follows that the
homogeneous equation associated with (♦) has the general solution x
H
= Ae
(a−2)t
÷ Be
(a÷2)t
. Hence,
the general solution of equation (♦) itself is x
H
÷u
∗
, where u
∗
is any particular solution of (♦). Since the
righthand side of the equation is a constant, we look for a suitable constant u
∗
, which turns out to be u
∗
=
(2β−αa)/(a
2
−4). Thus, the general solution of (♦) is x = Ae
(a−2)t
÷Be
(a÷2)t
÷(2β −αa)/(a
2
−4).
Then the equation y =
1
2
( ˙ x −ax −α) yields y = −Ae
(a−2)t
÷Be
(a÷2)t
÷(2α −aβ)/(a
2
−4).
(b) The equilibrium point (x
∗
, y
∗
) is given by the equation system
ax
∗
÷2y
∗
÷α = 0, 2x
∗
÷ay
∗
÷β = 0
Easy calculations show that x
∗
= (2β − αa)/(a
2
− 4) and y
∗
= (2α − aβ)/(a
2
− 4). Of course, this
is just the stationary solution of the system in part (a), given by A = B = 0. The equilibrium point is
globally asymptotically stable if and only if e
(a−2)t
and e
(a÷2)t
both tend to 0 as t →∞, and this happens
if and only if both a −2 and a ÷2 are negative, i.e. if and only if a < −2.
An alternative way to check stability is to consider the trace and determinant of the coefﬁcient matrix
A =
a 2
2 a
. We get tr(A) = 2a and [A[ = a
2
−4, and Theorem 6.6.1 says that the equilibrium point
is globally asymptotically stable if and only if 2a < 0 and a
2
−4 > 0, which is equivalent to a < −2.
(c) With a = −1, α = −4, and β = −1, the general solution of the system is x = Ae
−3t
÷ Be
t
÷ 2,
y = −Ae
−3t
÷ Be
t
÷ 3. It is clear that this will converge to the equilibrium point (2, 3) if and only if
B = 0. One such solution is then x = e
−3t
÷ 2, y = −e
−3t
÷ 3. This solution moves towards (2, 3)
along the line x ÷y = 5, and so do all the convergent solutions, i.e. the solutions with B = 0.
6.7
6.7.4 (a) See Figs. A6.7.4(a) and (b) in the answer section of the book. The system has a single equilibrium
point, namely (0, 0). It seems clear from the phase diagram that this is not a stable equilibrium. Indeed,
the equations show that any solution through a point on the yaxis below the origin will move straight
downwards, away from (0, 0).
(b) The ﬁrst equation has the general solution x = Ae
−t
, and the initial condition x(0) = −1 implies
A = −1, so x = −e
−t
. The second equation is the system the becomes ˙ y = e
−t
y − y
2
, which is a
Bernoulli equation.
With z = y
1−2
= y
−1
= 1/y we get y = 1/z, ˙ y = −˙ z/z
2
, and
−˙ z/z
2
= e
−t
(1/z) −1/z
2
=⇒ ˙ z ÷e
−t
z = 1
If we use formula (5.4.7) with a(t ) = e
−t
, b(t ) = 1, t
0
= 1, and z
0
= 1, we get −
t
s
a(ξ) dξ = e
−t
−e
−s
and
z = e
e
−t
−1
÷
t
0
e
e
−t
−e
−s
ds = e
e
−t
e
−1
÷
t
0
e
−e
−s
ds
y =
e
−e
−t
e
−1
÷
t
0
e
−e
−s
ds
For all s ≥ 0 we have e
−s
≤ 1, so −e
−s
≥ −1 and e
−e
−s
≥ e
−1
. It follows that for t > 0 we have
t
0
e
−e
−s
ds ≥ e
−1
t , e
−e
−t
≤ e
0
= 1 and y(t ) ≤ 1/(e
−1
÷t e
−1
) →0 as t ∞.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
CHAPTER 6 / DI F F ERENTI AL EQUATI ONS I I : SECOND ORDER EQUATI ONS 55
6.7.6 The equation ˙ x = −x has the general solution x = Ae
−t
. The initial condition x(0) = 1 then implies
x(t ) = e
−t
. The second equation becomes ˙ y = −e
−2t
y. This is a separable equation and we get
dy
y
= −
e
−2t
dt =⇒ ln [y[ =
1
2
e
−2t
÷C
The initial condition y(0) = 1 yields C = −
1
2
, and we get y(t ) = e
(e
−2t
−1)/2
. As t → ∞, the point
(x(t ), y(t )) tends to (0, e
−1/2
).
6.8
6.8.5 Let f (Y, K) = α
I (Y, K) − S(Y, K)
and g(Y, K) = I (Y, K). The matrix A in Theorem 6.8.2 is
A(Y, K) =
f
/
Y
f
/
K
g
/
Y
g
/
K
=
α(I
/
Y
−S
/
Y
) α(I
/
K
−S
/
K
)
I
/
Y
I
/
K
. Now, tr
A(Y, K)
= α(I
/
Y
−S
/
Y
) ÷I
/
K
< 0
and [A(Y, K)[ = α(I
/
Y
− S
/
Y
)I
/
K
− α(I
/
K
− S
/
K
)I
/
Y
= α(I
/
Y
S
/
K
− I
/
K
S
/
Y
) > 0 by the assumptions in the
problem. Finally, f
/
Y
g
/
K
= α(I
/
K
−S
/
K
)I
/
Y
< 0 everywhere, so an equilibrium point for the system must
be globally asymptotically stable according to Olech’s theorem.
6.8.6 See the answer in the book for the stability question.
K must satisfy the Bernoulli equation
˙
K = sK
α
−δK. This corresponds to the equation in Problem
5.6.4, with γ
1
b = s and γ
2
= −δ. The general solution is therefore K(t ) =
¸
Ce
−δ(1−α)t
÷ s/δ
¸
1/(1−α)
.
The initial condition K(0) = K
0
yields C = K
1−α
0
− s/δ. Since δ(1 − α) > 0, the solution K(t ) =
¸
(K
1−α
0
−s/δ)e
−δ(1−α)t
÷s/δ
¸
1/(1−α)
tends to (s/δ)
1/(1−α)
= K
∗
as t →∞.
6.9
6.9.2 Write the system as
˙
k = F(k, c) = f (k) −δk −c, ˙ c = G(k, c) = −c(r ÷δ −f
/
(k))
The Jacobian matrix at (k, c) is
A(k, c) =
F
/
k
F
/
c
G
/
k
G
/
c
=
f
/
(k) −δ −1
cf
//
(k) f
/
(k) −r −δ
The origin (k, c) = (0, 0) is an equilibrium point, but not the one the authors had in mind. At an
equilibrium point (k
∗
, c
∗
) with c
∗
> 0 we have c
∗
= f (k
∗
) −δk
∗
and f
/
(k
∗
) = r ÷δ. Then
A(k
∗
, c
∗
) =
f
/
(k
∗
) −δ −1
cf
//
(k
∗
) 0
=
r −1
cf
//
(k
∗
) 0
has determinant [A(k
∗
, c
∗
)[ = cf
//
(k
∗
) < 0, so (k
∗
, c
∗
) is a saddle point.
6.9.3 (a) (x
0
, y
0
) = (4/3, 8/3). It is a saddle point because the Jacobian at (4/3, 8/3) is
A =
y −x −2 x
y
2
/2x
2
1 −y/x
=
−2/3 4/3
2 −1
, with determinant [A[ = −2.
(b) See Fig. A6.9.3 in the answer section of the book.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
56 7 DI F F ERENTI AL EQUATI ONS I I I : HI GHER ORDER EQUATI ONS
6.9.4 (a) The equilibrium points are the solutions of the equation system
(i) y
2
−x = 0, (ii) 25/4 −y
2
−(x −1/4)
2
= 0
Substituting x for y
2
in (ii) leads to the quadratic equation x
2
÷ x/2 − 99/16 = 0, which has the
solutions x = (−1 ± 10)/4. Since x = y
2
must be nonnegative, we get x = 9/4 and y = ±3/2.
The Jacobian at (x, y) is A(x, y) =
−1 2y
−2x ÷1/2, −2y
, so A(9/4, 3/2) = A
1
=
−1 3
−4 −3
and
A(9/4, −3/2) = A
2
=
−1 −3
−4 3
. The determinants and traces of these matrices are [A
1
[ = 15,
tr(A
1
) = −4, [A
2
[ = −15, and tr(A
2
) = 2. It follows that (9/4, 3/2) is locally asymptotically stable,
whereas (9/4, −3/2) is a saddle point. These conclusions are conﬁrmed by the solution to part (b). See
Fig. A6.9.4 in the answer section of the book.
7 Differential Equations III: HigherOrder Equations
7.1
7.1.3 The homogeneous equation ´ x ÷ x = 0 has the two linearly independent solutions u
1
= sin t and
u
2
= cos t . To ﬁnd the solution of the equation ´ x ÷x = 1/t we use the method of variation of parameters.
Let x = C
1
(t ) sin t ÷C
2
(t ) cos t . The two equations to determine
˙
C
1
(t ) and
˙
C
2
(t ) are
˙
C
1
(t ) sin t ÷
˙
C
2
(t ) cos t = 0
˙
C
1
(t ) cos t −
˙
C
2
(t ) sin t = 1/t
This is a linear equation system in the unknowns
˙
C
1
(t ) and
˙
C
2
(t ), and the determinant of the system is
sin t cos t
cos t −sin t
= −sin
2
t −cos
2
t = −1. (See Section B.1.) Cramer’s rule gives
˙
C
1
(t ) =
cos t
t
,
˙
C
2
(t ) = −
sin t
t
It follows that u
∗
(t ) = sin t
cos t
t
dt − cos t
cos t
t
dt is the general solution of the given equation
(provided we include an arbitrary constant of integration in each of the two integrals).
7.2
7.2.2 Integer roots of the characteristic equation r
3
−r
2
−r ÷1 = 0 must divide the constant term1 (EMEA,
Note 4.7.2), so the only possibilities are ±1, and we see that both r = −1 and r = 1 are roots. Moreover,
(r
3
−r
2
−r ÷1)(r −1) = (r
2
−1), so r
3
−r
2
−r ÷1 = (r −1)(r
2
−1) = (r −1)
2
(r ÷1). According to the
general method for ﬁnding linearly independent solutions to linear homogeneous equations with constant
coefﬁcients, the general solution of the associated homogeneous equation is x
H
= (A ÷ Bt )e
t
÷ Ce
−t
.
Looking at the righthand side of the given nonhomogeneous equation, it might seem natural to try
u
∗
= (D ÷ Et )e
−t
as a particular solution. But that does not work because r = −1 is a root in
the characteristic equation. We must therefore increase the degree of the polynomial factor and try
with a quadratic polynomial instead. Let u
∗
= (Et ÷ Ft
2
)e
−t
. A bit of tedious algebra gives ˙ u
∗
=
(E÷(2F−E)t −Ft
2
)e
−t
, ´ u
∗
= (2F−2E÷(E−4F)t ÷Ft
2
)e
−t
,
...
u
∗
= (3E−6F÷(6F−E)t −Ft
2
)e
−t
,
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
7 DI F F ERENTI AL EQUATI ONS I I I : HI GHER ORDER EQUATI ONS 57
and ﬁnally
...
u
∗
− ´ u
∗
− ˙ u
∗
÷u
∗
= (4E −8F ÷8Ft )e
−t
. This equals 8t e
−t
if F = 1 and E = 2, so the
general solution of the given equation is x = x
H
÷u
∗
= (A÷Bt )e
t
÷(C ÷2t ÷t
2
)e
−t
. Requiring this
solution to satisfy the initial conditions gives A = −1, B = 1, C = 1, and so x = (t −1)e
t
÷(t ÷1)
2
e
−t
.
Why did we not include a termof the formDe
−t
in the tentative solution u
∗
? The answer is that De
−t
is a solution of the homogeneous equation for every value of D, so Dwould not appear in
...
u
∗
−´ u
∗
−˙ u
∗
÷u
∗
.
7.2.3 Differentiating the equation w.r.t. t gives (using the product rule and (4.1.5))
...
K = (γ
1
κ ÷γ
2
)
´
K ÷(γ
1
σ ÷γ
3
)μ
0
μe
μt
t
0
e
−μτ
˙
K(τ)dτ ÷(γ
1
σ ÷γ
3
)μ
0
e
μt
e
−μt
˙
K(t ) (∗)
From the given equation, (γ
1
σ ÷γ
3
)μ
0
e
μt
t
0
e
−μτ
˙
K(τ)dτ =
´
K −(γ
1
κ ÷γ
2
)
˙
K. Inserting this into (∗)
yields the equation
...
K − p
´
K ÷ q
˙
K = 0 given in the answer in the book. One root of the characteristic
equation r
3
− pr
2
÷ qr = 0 is r
3
= 0. The other two are the roots r
1
and r
2
of r
2
− pr ÷ q = 0,
and they are real, nonzero, and different if p
2
− 4q > 0 and q ,= 0. If these conditions are satisﬁed, it
follows from the theory in this section that the general solution of the differential equation is of the form
K(t ) = C
1
e
r
1
t
÷C
2
e
r
2
t
÷C
3
e
r
3
t
.
7.3
7.3.2 The roots of the characteristic equation r
3
÷4r
2
÷5r ÷2 = 0 are r
1
= r
2
= −1 and r
3
= −2, which
are all negative, so global asymptotic stability also follows from Theorem 7.3.1.
7.4
7.4.1 (i) The systemis: (a) ˙ x
1
= −x
1
÷x
2
÷x
3
, (b) ˙ x
2
= x
1
−x
2
÷x
3
, (c) ˙ x
3
= x
1
÷x
2
÷x
3
. Differentiating
(a) w.r.t. t and inserting from (b) and (c) gives (d) ´ x
1
÷ ˙ x
1
−2x
1
= 2x
3
. Differentiating once more w.r.t.
t and inserting from (c) gives
...
x
1
÷ ´ x
1
− 2˙ x
1
= 2˙ x
3
= 2x
1
÷ 2(x
2
÷ x
3
) = 2x
1
÷ 2( ˙ x
1
÷ x
1
), using
(a) again. Thus the differential equation for x
1
is (e)
...
x
1
÷ ´ x
1
−4˙ x
1
−4x
1
= 0. Since the characteristic
polynomial is (r ÷ 1)(r ÷ 2)(r − 2), the general solution is x
1
= C
1
e
−t
÷ C
2
e
−2t
÷ C
3
e
2t
. From (d)
we ﬁnd x
3
=
1
2
( ´ x
1
÷ ˙ x
1
− 2x
1
) = −C
1
e
−t
÷ 2C
3
e
2t
. We then ﬁnd x
2
from (a): x
2
= ˙ x
1
÷ x
1
− x
3
=
C
1
e
−t
−C
2
e
−2t
÷C
3
e
2t
.
(ii) We write the system as ˙ x = Ax, where A =
⎛
⎝
−1 1 1
1 −1 1
1 1 1
⎞
⎠
and x =
⎛
⎝
x
1
x
2
x
3
⎞
⎠
. The eigenvalues of
A are the solutions of the equation
−1 −λ 1 1
1 −1 −λ 1
1 1 1 −λ
= 0, and we ﬁnd them to be λ
1
= −1,
λ
2
= −2, and λ
3
= 2. (These are the same as the solutions of the characteristic equation of the differential
equation (e). This is no coincidence. See the remark above Theorem 6.6.1 concerning secondorder
systems.) The eigenvectors associated with the eigenvalues are determined by the three systems
x
2
÷ x
3
= 0
x
1
÷ x
3
= 0
x
1
÷x
2
÷2x
3
= 0
,
x
1
÷x
2
÷ x
3
= 0
x
1
÷x
2
÷ x
3
= 0
x
1
÷x
2
÷3x
3
= 0
,
−3x
1
÷ x
2
÷x
3
= 0
x
1
−3x
2
÷x
3
= 0
x
1
÷ x
2
−x
3
= 0
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
58 7 DI F F ERENTI AL EQUATI ONS I I I : HI GHER ORDER EQUATI ONS
The following vectors are solutions of these systems:
v
1
=
⎛
⎝
1
1
−1
⎞
⎠
, v
2
=
⎛
⎝
1
−1
0
⎞
⎠
, v
3
=
⎛
⎝
1
1
2
⎞
⎠
The solution of the given system of differential equations is then
⎛
⎝
x
1
x
2
x
3
⎞
⎠
= C
1
e
−t
⎛
⎝
1
1
−1
⎞
⎠
÷C
2
e
−2t
⎛
⎝
1
−1
0
⎞
⎠
÷C
3
e
2t
⎛
⎝
1
1
2
⎞
⎠
We see that we have arrived at the same solutions as above.
(iii) The resolvent, with t
0
= 0, is
P(t, 0) =
⎛
⎜
⎝
1
3
e
−t
÷
1
2
e
−2t
÷
1
6
e
2t 1
3
e
−t
−
1
2
e
−2t
÷
1
6
e
2t
−
1
3
e
−t
÷
1
3
e
2t
1
3
e
−t
−
1
2
e
−2t
÷
1
6
e
2t 1
3
e
−t
÷
1
2
e
−2t
÷
1
6
e
2t
−
1
3
e
−t
÷
1
3
e
2t
−
1
3
e
−t
÷
1
3
e
2t
−
1
3
e
−t
÷
1
3
e
2t 1
3
e
−t
÷
2
3
e
2t
⎞
⎟
⎠
The ith column of P(t, 0) is a vector (x
1
(t ), x
2
(t ), x
3
(t ))
/
of particular solutions of the system such that
(x
1
(0), x
2
(0), x
3
(0))
/
is the ith standard unit vector e
i
. In particular, P(0, 0) = I
3
. It is not hard to verify
that AP(t, 0) = (d/dt )P(t, 0).
7.5
7.5.4 (a) Equation (∗) is separable, so
g
1
(x)
f
1
(x)
dx =
f
2
(y)
g
2
(y)
dy ÷ C for some constant C. Therefore,
the function H(x, y) is constant along each solution curve for the system.
(b) H(x, y) =
bx −h
x
dx −
k −ay
y
dy =
b −
h
x
dx −
k
y
−a
dy =
bx −hln x −(k ln y −ay) ÷C = b(x −x
0
ln x) ÷a(y −y
0
ln y) ÷C,
where x
0
= h/b and y
0
= k/a.
7.5.5 We can write the system as
˙ x = x(k −ay −εx), ˙ y = y(−h ÷bx −δy)
It is clear that a point (x
0
, y
0
) with x
0
,= 0 and y
0
,= 0 is an equilibrium point if and only if
bx
0
−δy
0
= h
εx
0
÷ay
0
= k
(∗)
The determinant of this system is ab ÷ δε ,= 0, so it has a unique solution, and Cramer’s rule gives the
solution as x
0
= (ah ÷kδ)/(ab ÷δε), y
0
= (bk −hε)/(ab ÷δε), as given in the problem.
We claim that the function
L(x, y) = b(x −x
0
ln x) ÷a(y −y
0
ln y) −b(x
0
−x
0
ln x
0
) ÷a(y
0
−y
0
ln y
0
)
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
7 DI F F ERENTI AL EQUATI ONS I I I : HI GHER ORDER EQUATI ONS 59
is a strongLiapunovfunctionfor the system, with(x
0
, y
0
) as its minimumpoint. First note that L(x
0
, y
0
) =
0. Moreover, L
/
x
(x, y) = b(1 − x
0
/x) and L
/
y
(x, y) = a(1 − y
0
/y) are both 0 at (x
0
, y
0
) and L
//
xx
=
bx
0
/x
2
> 0, L
//
yy
= ay
0
/y
2
> 0, and L
//
xy
= 0, so L(x, y) is strictly convex and has a unique minimum
at (x
0
, y
0
). Finally,
˙
L = b
1 −x
0
/x
˙ x ÷a
1 −y
0
/y
˙ y = b(k −ay −εx)(x −x
0
) ÷a(−h ÷bx −δy)(y −y
0
)
= b(εx
0
÷ay
0
−ay −εx)(x −x
0
) ÷a(δy
0
−bx
0
÷bx −δy)(y −y
0
)
= −εb(x −x
0
)
2
−aδ(y −y
0
)
2
which is negative for (x, y) ,= (x
0
, y
0
). We used the equations k = εx
0
÷ ay
0
and h = −δy
0
÷ bx
0
from (∗). We have proved that L is a strong Liapunov function for the system, so (x
0
, y
0
) is locally
asymptotically stable.
7.7
7.7.1 (a) By integration, z =
1
4
x
4
÷
1
2
x
2
y
2
−e
x
y ÷ϕ(y), where ϕ(y) is an arbitrary function and plays the
role of a constant of integration when we integrate with respect to x.
(b) The recipe for solving equations of the form (7.7.2) leads to the solution z = 3x ÷ϕ(y −2x), where
ϕ is an arbitrary differentiable function. It looks as if x has a special role here, but that is an illusion.
If we use the recipe with y instead of x as the independent variable in equations (7.7.3), we are led to
z = 3y/2 ÷ψ(x −y/2), where y seems to be singled out. Actually, these solutions are just two ways of
writing the same thing. The functions ϕ and ψ are related by the equation ψ(u) = ϕ(−2u) ÷3u.
(c) The equations in (7.7.3) are both separable, dy/dx = y
2
/x
2
and dz/dx = z
2
/x
2
. The solutions are
−1/y = −1/x ÷C
1
, −1/z = −1/x ÷C
2
. The general solution is therefore (1/x −1/y, 1/x −1/z)
= 0, or 1/z = 1/x − ϕ(1/x − 1/y), and hence z =
x
1 −xϕ(1/x −1/y)
, where ϕ is an arbitrary
differentiable function.
7.7.3 (a) The equations in (7.7.3) are dy/dx = −y/x and dz/dx = 1. The latter equation gives z = x÷C
1
,
and so z −x = C
1
. The ﬁrst equation is separable with solution xy = C
2
. The general solution of (∗) is
given by (z −x, xy) = 0. Solving this equation for the ﬁrst variable yields z = x ÷ϕ(xy), where ϕ is
an arbitrary differentiable function.
(b) The condition f (x, 1) = x
2
implies that x ÷ϕ(x) = x
2
. Thus ϕ(x) = −x ÷x
2
for all x, and hence
f (x, y) = x ÷ϕ(xy) = x −xy ÷x
2
y
2
.
7.7.7 The equations in (7.7.3) are dv
2
/dv
1
= v
2
/v
1
and dx/dv
1
= xε(x)/v
1
, with the solutions v
2
/v
1
= C
1
,
f (x) −ln v
1
= C
2
, where f (x) =
(1/xε(x)) dx. Since f
/
(x) = 1/xε(x) > 0, f is strictly increasing,
and has an inverse f
−1
that is also strictly increasing. The general solution is (v
2
/v
1
, f (x)−ln v
1
) = 0,
or f (x) = ln v
1
÷ ϕ(v
2
/v
1
). Hence, x = f
−1
(ln v
1
÷ ϕ(v
2
/v
1
)). Deﬁne g(v
1
, v
2
) = e
ln v
1
÷ϕ(v
2
/v
1
)
=
v
1
e
ϕ(v
2
/v
1
)
. Then g is homogeneous of degree 1, and we see that x = f
−1
(ln(g(v
1
, v
2
)). The composition
F of the two increasing functions f
−1
and ln is increasing. It follows that x = F(g(v
1
, v
2
)) is homothetic.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
60 8 CAL CUL US OF VARI ATI ONS
8 Calculus of Variations
8.2
8.2.3 (a) With F(t, x, ˙ x) = x
2
÷ ˙ x
2
÷ 2xe
t
we get F
/
x
= 2x ÷ 2e
t
and F
/
˙ x
= 2˙ x, and the Euler equation
becomes
2x ÷2e
t
−
d
dt
(2˙ x) = 0 ⇐⇒ 2x ÷2e
t
−2´ x = 0 ⇐⇒ ´ x −x = e
t
(b) With F(t, x, ˙ x) = −e
˙ x−ax
we get F
/
x
= ae
˙ x−ax
and F
/
˙ x
= −e
˙ x−ax
. The Euler equation is
ae
˙ x−ax
÷
d
dt
e
˙ x−ax
= 0 ⇐⇒ ae
˙ x−ax
÷e
˙ x−ax
( ´ x −a ˙ x) = 0 ⇐⇒ ´ x −a ˙ x ÷a = 0
(c) Here F(t, x, ˙ x) = [(x − ˙ x)
2
÷x
2
]e
−at
, so F
/
x
= [2(x − ˙ x) ÷2x]e
−at
and F
/
˙ x
= −2(x − ˙ x)e
−at
. The
Euler equation becomes
[2(x − ˙ x) ÷2x]e
−at
÷
d
dt
[2(x − ˙ x)e
−at
] = 0
⇐⇒ [2(x − ˙ x) ÷2x]e
−at
÷2( ˙ x − ´ x)e
−at
−2a(x − ˙ x)e
−at
= 0
⇐⇒ 2(x − ˙ x) ÷2x ÷2( ˙ x − ´ x) −2a(x − ˙ x) = 0
⇐⇒ ´ x −a ˙ x ÷(a −2)x = 0
(d) With F(t, x, ˙ x) = 2t x ÷3x ˙ x ÷t ˙ x
2
we get F
/
x
= 2t ÷3˙ x and F
/
˙ x
= 3x ÷2t ˙ x, and the Euler equation
becomes
2t ÷3˙ x −
d
dt
(3x ÷2t ˙ x) = 0 ⇐⇒ 2t ÷3˙ x −3˙ x −2˙ x −2t ´ x = 0 ⇐⇒ t ´ x ÷ ˙ x = t
It is worth noting that this is an exact equation for ˙ x because it says that (d/dt )(t ˙ x) = t . Hence,
t ˙ x =
1
2
t
2
÷C, which implies ˙ x =
1
2
t ÷C/t , and so x =
1
4
t
2
÷C ln [t [ ÷A, where C and Aare constants.
8.2.4 With F(t, x, ˙ x) = x
2
÷2t x ˙ x ÷ ˙ x
2
we get F
/
x
= 2x ÷2t ˙ x and F
/
˙ x
= 2t x ÷2˙ x, so the Euler equation
(8.2.2) is
2x ÷2t ˙ x −
d
dt
(2t x ÷2˙ x) = 0 ⇐⇒ 2x ÷2t ˙ x −(2x ÷2t ˙ x ÷2´ x) = 0 ⇐⇒ ´ x = 0
The general solution of ´ x = 0 is x = At ÷B, and the boundary conditions x(0) = 1 and x(1) = 2 yield
A = B = 1. Thus the only admissible function that satisﬁes the Euler equation is x = t ÷1.
We have F
//
xx
= 2 > 0, F
//
x ˙ x
= 2t , and F
//
˙ x ˙ x
= 2 > 0, and since F
//
xx
F
//
˙ x ˙ x
−(F
//
x ˙ x
)
2
= 4 −4t
2
≥ 0 for
all t in [0, 1], it follows that F(t, x, ˙ x) is convex with respect to (x, ˙ x) as long as t ∈ [0, 1]. Hence, by
Theorem 8.3.1, x = t ÷1 is the optimal solution of the problem.
8.2.6 Let F(t, x, ˙ x) =
√
1 ÷ ˙ x
2
. Then F
/
x
= 0 and F
/
˙ x
=
˙ x
√
1 ÷ ˙ x
2
. The Euler equation, F
/
x
−
d
dt
F
/
˙ x
= 0,
therefore reduces to
d
dt
˙ x
√
1 ÷ ˙ x
2
= 0, i.e.
˙ x
√
1 ÷ ˙ x
2
= C (constant)
This implies
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
8 CAL CUL US OF VARI ATI ONS 61
˙ x
2
1 ÷ ˙ x
2
= C
2
, so ˙ x = C
1
(=
C
√
1 −C
2
)
Since ˙ x is a constant, x is a linear function of t :
x = C
1
t ÷C
2
.
Thus the graph of x is a straight line, namely the straight line through the points (t
0
, x
0
) and (t
1
, x
1
). Of
course, this is precisely what we would expect: the shortest curve between two points is the straight line
segment between them. The function x is given by the equation
x(t ) = x
0
÷
x
1
−x
0
t
1
−t
0
(t −t
0
)
Note also that F
//
˙ x ˙ x
= 1/(1 ÷ ˙ x
2
)
3/2
> 0, so F is convex with respect to (x, ˙ x), and Theorem 8.3.1 in
Section 8.3 shows that the function we have found really does give the minimum, at least among the
admissible C
2
functions.
8.3
8.3.2 (a) The objective function is F(t, x, ˙ x) = U( ¨ c − ˙ xe
rt
), and
∂F
∂x
= 0,
∂F
∂ ˙ x
= −U
/
( ¨ c − ˙ xe
rt
)e
rt
.
As ∂F/∂x = 0, the Euler equation reduces to
d
dt
−U
/
( ¨ c − ˙ xe
rt
)e
rt
= 0, so U
/
( ¨ c − ˙ xe
rt
)e
rt
= K (a constant)
(Evaluating the derivative
d
dt
−U
/
( ¨ c − ˙ xe
rt
)e
rt
above leads to the equation
−U
//
( ¨ c − ˙ xe
rt
)(−´ xe
rt
−r ˙ xe
rt
)e
rt
−rU
/
( ¨ c − ˙ xe
rt
)e
rt
= 0
This can be simpliﬁed to
´ x ÷r ˙ x =
rU
/
( ¨ c − ˙ xe
rt
)
U
//
( ¨ c − ˙ xe
rt
)
e
−rt
which will most likely be harder to solve.)
(b) It follows from part (a) that
U
/
( ¨ c − ˙ xe
rt
) = Ke
−rt
If U(c) = −e
−vc
/v, then U
/
(c) = e
−vc
, and we get
exp(−v ¨ c ÷v ˙ xe
rt
) = Ke
−rt
−v ¨ c ÷v ˙ xe
rt
= ln K −rt
˙ xe
rt
= C −rt /v (C = ¨ c ÷(ln K)/v)
˙ x = (C −rt /v)e
−rt
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
62 8 CAL CUL US OF VARI ATI ONS
Integration by parts yields
x = x(t ) =
(C −rt /v)e
−rt
dt = A ÷(B ÷t /v)e
−rt
where B = (1 −vC)/rv. Finally, the constants A and B are determined by the equations
A ÷B = x(0) = x
0
, A ÷(B ÷T/v)e
−rT
= x(T ) = 0
U is concave because U
//
(c) = −ve
−vc
< 0. Hence, Theorem 8.3.1 shows that the solution we have
found is optimal.
8.3.4 (a) WithF(t, y, ˙ y) = ln
¸
y−σ ˙ y−¨ zl(t )
¸
we get F
/
y
= 1/[y−σ ˙ y−¨ zl(t )] andF
/
˙ y
= −σ/[y−σ ˙ y−¨ zl(t )].
The Euler equation is then
1
y −σ ˙ y − ¨ zl(t )
−
d
dt
¸
−σ
y −σ ˙ y − ¨ zl(t )
¸
= 0 ⇐⇒
1
y −σ ˙ y − ¨ zl(t )
−
σ( ˙ y −σ ´ y − ¨ z
˙
l(t ))
[y −σ ˙ y − ¨ zl(t )]
2
= 0
⇐⇒ y −σ ˙ y − ¨ zl(t ) −σ ˙ y ÷σ
2
´ y ÷σ ¨ z
˙
l(t ) = 0 ⇐⇒ ´ y −
2
σ
˙ y ÷
1
σ
2
y =
¨ z
σ
2
¸
l(t ) −σ
˙
l(t )
¸
(b) With l(t ) = l
0
e
αt
the Euler equation becomes
´ y −
2
σ
˙ y ÷
1
σ
2
y =
¨ z(1 −ασ)l
0
σ
2
e
αt
(∗)
The characteristic equation r
2
− (2/σ)r ÷ 1/σ
2
= 0 has the double root r
1
= r
2
= 1/σ, so the
corresponding homogeneous differential equation has the general solution y
H
= Ae
t /σ
÷Bt e
t /σ
. To ﬁnd
a particular integral of (∗) we try with a function u
∗
= Ce
αt
. We get
´ u
∗
−
2
σ
˙ u
∗
÷
1
σ
2
u
∗
= α
2
Ce
αt
−
2α
σ
Ce
αt
÷
1
σ
2
Ce
αt
= C
(1 −ασ)
2
σ
2
e
αt
It follows that u
∗
is a solution of (∗) if and only if C = ¨ zl
0
/(1 −ασ), and the general solution of (∗) is
y = y
H
÷u
∗
= Ae
t /σ
÷Bt e
t /σ
÷
¨ zl
0
1 −ασ
e
αt
(If ασ = 1, then (∗) is homogeneous and the general solution is y
H
.)
8.4
8.4.1 With F(t, K,
˙
K) = e
−t /4
ln(2K −
˙
K) we get F
/
K
= 2e
−t /4
/(2K −
˙
K) and F
/
˙
K
= −e
−t /4
/(2K −
˙
K).
The Euler equation is
e
−t /4
2
2K −
˙
K
−
d
dt
−e
−t /4
1
2K −
˙
K
= 0 ⇐⇒
2e
−t /4
2K −
˙
K
−
e
−t /4
4(2K −
˙
K)
−
e
−t /4
(2
˙
K −
´
K)
(2K −
˙
K)
2
= 0
⇐⇒
e
−t /4
4(2K −
˙
K)
2
¸
8(2K −
˙
K) −(2K −
˙
K) −4(2
˙
K −
´
K)
¸
= 0
⇐⇒ 4
´
K −15
˙
K ÷14K = 0
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
8 CAL CUL US OF VARI ATI ONS 63
The characteristic equation of the Euler equation is 4r
2
− 15r ÷ 14 = 0, which has the roots r
1
= 2
and r
2
= 7/4. Hence the general solution of the Euler equation is K = Ae
2t
÷ Be
7t /4
. The boundary
conditions yield the equations
K(0) = A ÷B = K
0
, K(T ) = Ae
2T
÷Be
7T/4
= K
T
By means of Cramer’s rule or by other methods you will ﬁnd that
A =
K
T
−e
7T/4
K
0
e
2T
−e
7T/4
, B =
e
2T
K
0
−K
T
e
2T
−e
7T/4
8.4.2 (a) Let F(t, x, ˙ x) =
1
100
t x − ˙ x
2
e
−t /10
. Then F
/
x
= t e
−t /10
/100 and F
/
˙ x
= −2˙ xe
−t /10
, and the
Euler equation becomes
t
100
e
−t /10
−
d
dt
−2˙ xe
−t /10
= 0 ⇐⇒
t
100
e
−t /10
÷2´ xe
−t /10
−
2
10
˙ xe
−t /10
= 0
⇐⇒ ´ x −
1
10
˙ x = −
1
200
t (∗)
The general solution of the corresponding homogeneous equation is
x
H
= A ÷Be
t /10
To ﬁnd a particular solution u
∗
of (∗) we try with u = Pt
2
÷Qt . Then ˙ u = 2Pt ÷Q and ´ u = 2P, and
if we insert this into (∗) we get
2P −
P
5
t −
Q
10
= −
1
200
t
This yields P = 5/200 = 1/40 and Q = 20P = 1/2, so the general solution of the Euler equation is
x = A ÷Be
t /10
÷
1
40
t
2
÷
1
2
t
The boundary conditions x(0) = 0 and x(T ) = S yield the equations
A ÷B = 0, A ÷Be
T/10
÷T
2
/40 ÷T/2 = S
with the solution
A = −B =
T
2
/40 ÷T/2 −S
e
T/10
−1
Since F(t, x, ˙ x) is concave with respect to (x, ˙ x), this is indeed an optimal solution.
(b) With T = 10 and S = 20 we get B = −5/2 ÷5 −20/(e −1) = 25/2(e −1), and the optimal
solution is
x =
25(e
t /10
−1)
2(e −1)
÷
1
40
t
2
÷
1
2
t
8.4.3 With F(t, K,
˙
K) = U(C, t ) we get F
/
K
= U
/
C
C
/
K
= U
/
C
(f
/
k
−δ) and F
/
˙
K
= U
/
C
· (−1) = −U
/
C
. The
Euler equation is
U
/
C
(f
/
K
−δ) ÷
d
dt
U
/
C
= 0 ⇐⇒ U
/
C
(f
/
K
−δ) ÷U
//
CC
˙
C ÷U
//
Ct
= 0
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
64 8 CAL CUL US OF VARI ATI ONS
The Euler equation implies
˙
C = −[U
//
Ct
÷U
/
C
(f
/
K
−δ)]/U
//
CC
, and therefore
˙
C
C
= −
U
//
Ct
÷U
/
C
(f
/
K
−δ)
CU
//
CC
= −
1
ˇ ω
U
//
Ct
U
/
C
÷f
/
K
−δ
where ˇ ω = CU
//
CC
/U
/
C
is the elasticity of marginal utility with respect to consumption.
8.4.4 (a) F(t, p, ˙ p) = pD(p, ˙ p) −b(D(p, ˙ p)) yields F
/
p
= D÷pD
/
p
−b
/
(D)D
/
p
= D÷[p −b
/
(D)]D
/
p
and F
/
˙ p
= [p −b
/
(D)]D
/
˙ p
, so the Euler equation is
F
/
p
−
d
dt
(F
/
˙ p
) = 0 ⇐⇒ D ÷
¸
p −b
/
(D)
¸
D
/
p
−
d
dt
¸
[p −b
/
(D)]D
/
˙ p
¸
= 0
(b) With b(x) = αx
2
÷βx÷γ and x = D(p, ˙ p) = Ap÷B ˙ p÷C, we get b
/
(x) = 2αx÷β, ∂D/∂p = A,
and ∂D/∂ ˙ p = B. Insertion into the Euler equation gives
Ap ÷B ˙ p ÷C ÷[p −2α(Ap ÷B ˙ p ÷C) −β]A −
d
dt
¸
p −2α(Ap ÷B ˙ p ÷C) −β
B
¸
= 0
which yields Ap ÷B ˙ p ÷C ÷Ap −2αA
2
p −2αAB ˙ p −2αAC −βA−B ˙ p ÷2αAB ˙ p ÷2αB
2
´ p = 0.
Rearranging the terms we can write the Euler equation as
´ p −
A
2
−A/α
B
2
p =
βA ÷2αAC −C
2αB
2
and it is easy to see that we get the answer given in the book.
8.5
8.5.2 (a) The Euler equation is
(−2˙ x −10x)e
−t
−
d
dt
[(−2˙ x −2x)e
−t
] = 0 ⇐⇒ e
−t
(−2˙ x −10x ÷2´ x ÷2˙ x −2˙ x −2x) = 0
⇐⇒ ´ x ÷ ˙ x −6x = 0
The general solution of this equation is x = Ae
3t
÷Be
−2t
, and the boundary conditions yield the equations
x(0) = A ÷B = 0, x(1) = Ae
3
÷Be
−2
= 1
which have the solution A = −B = 1/(e
3
−e
−2
). The integrand F(t, x, ˙ x) = (10− ˙ x
2
−2x ˙ x −5x
2
)e
−t
is concave with respect to (x, ˙ x) (look at the Hessian or note that −˙ x
2
−2x ˙ x −5x
2
= −( ˙ x −x)
2
−4x
2
),
so the solution we have found is optimal (Theorem 8.5.1).
(b) (i) With x(1) free, we get the transversality condition
¸
F
/
˙ x
¸
t =1
= 0, which implies
˙ x(1) ÷x(1) = 0 ⇐⇒ 3Ae
3
−2Be
−2
÷Ae
3
÷Be
−2
= 0 ⇐⇒ 4Ae
3
−Be
−2
= 0
Together with the equation A÷B = x(0) = 0, this yields A = B = 0, so the optimal solution is x ≡ 0.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
9 CONTROL THEORY: BASI C TECHNI QUES 65
(ii) With the terminal condition x(1) ≥ 2 the transversality condition is
¸
F
/
˙ x
¸
t =1
≤ 0, with
¸
F
/
˙ x
¸
t =1
= 0
if x(1) > 2. In our case this reduces to
−˙ x(1) −x(1) ≤ 0, and −˙ x(1) −x(1) = 0 if x(1) > 2
Since x(t ) = Ae
3t
−Ae
−2t
, we get
−A(4e
3
÷e
−2
) ≤ 0, and −A(4e
3
÷e
−2
) = 0 if x(1) = A(e
3
−e
−2
) > 2
From the last condition it is clear that we cannot have A(e
3
− e
−2
) > 2, for then we must have A = 0,
and that is impossible. Therefore A(e
3
−e
−2
) = 2 and x =
2(e
3t
−e
−2
)
e
3
−e
−2
.
8.5.4 With U(C) = a −e
−bC
, we get U
/
(C) = be
−bC
and U
//
(C) = −b
2
e
−bC
, so equation (∗) in Example
8.5.3 reduces to
´
A − r
˙
A = (ρ − r)/b. Putting z =
˙
A, we get ˙ z − rz = (ρ − r)/b. This is a linear
ﬁrstorder differential equation with constant coefﬁcients, and the solution is z = Pe
rt
− (ρ − r)/br.
Then A =
z dt = Ke
rt
−(ρ −r)t /br ÷L, where K = P/r and L are constants. These constants are
determined by the boundary conditions A(0) = A
0
and A(T ) = A
t
.
8.5.5 (a) The conditions are −(d/dt )[C
/
˙ x
(t, ˙ x)e
−rt
] = 0 and C
/
˙ x
(5, ˙ x(5)) ≥ 0 (= 0 if x(5) > 1500). It
follows that C
/
˙ x
(t, ˙ x) = Ke
−rt
, where K is a constant.
(b) It follows from part (a) that if r = 0 then C
/
˙ x
(t, ˙ x) = K must be constant. With C(t, u) = g(u) it
means that g
/
( ˙ x) must be constant. Since g
/
is strictly increasing, ˙ x must also be a constant, so x = At .
We must have 5A ≥ 1500. Since C
/
˙ x
(t, ˙ x) = g
/
( ˙ x) = g
/
(A) > 0, the transversality condition shows
that x(5) = 1500, so A = 300 and x = 300t . Thus planting will take place at the constant rate of 300
hectares per year.
9 Control Theory: Basic Techniques
9.2
9.2.3 We transform the problem to a maximization problem by maximizing
1
0
[−x(t ) − u(t )
2
] dt . The
Hamiltonian H(t, x, u, p) = −x − u
2
− pu is concave in (x, u), so according to Theorem 9.2.1, the
following conditions are sufﬁcient for optimality (using (9.2.7)):
(i) H
/
u
(t, x
∗
(t ), u
∗
(t ), p(t )) = −2u
∗
(t ) −p(t ) = 0;
(ii) ˙ p(t ) = −H
/
x
(t, x
∗
(t ), u
∗
(t ), p(t )) = 1, p(1) = 0;
(iii) ˙ x
∗
(t ) = −u
∗
(t ), x
∗
(0) = 0.
From (ii), p(t ) = t ÷A for some constant A, and p(1) = 0 gives A = −1 and so p(t ) = t −1. From (i)
we have u
∗
(t ) = −
1
2
p(t ) =
1
2
(1−t ). It remains to determine x
∗
(t ). From(iii), ˙ x
∗
(t ) = −u
∗
(t ) =
1
2
t −
1
2
,
and so x
∗
(t ) =
1
4
t
2
−
1
2
t ÷B. With x
∗
(0) = 0, we get B = 0. So the optimal solution is u
∗
(t ) =
1
2
(1−t ),
x
∗
(t ) =
1
4
t
2
−
1
2
t , with p(t ) = t −1.
9.2.4 The Hamiltonian H(t, x, u, p) = 1−4x−2u
2
÷puis concave in (x, u), so according toTheorem9.2.1
(using (9.2.7), the following conditions are sufﬁcient for optimality:
(i) H
/
u
(t, x
∗
(t ), u
∗
(t ), p(t )) = −4u
∗
(t ) ÷p(t ) = 0;
(ii) ˙ p(t ) = −H
/
x
(t, x
∗
(t ), u
∗
(t ), p(t )) = 4, p(10) = 0;
(iii) ˙ x
∗
(t ) = u
∗
(t ), x
∗
(0) = 0.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
66 9 CONTROL THEORY: BASI C TECHNI QUES
From(ii), p(t ) = 4t ÷Afor some constant Aand p(10) = 40÷A = 0, so A = −40 and p(t ) = 4t −40.
From (i) we have u
∗
(t ) =
1
4
(4t −40) = t −10. From (iii), ˙ x
∗
(t ) = u
∗
(t ) = t −10, and with x
∗
(0) = 0,
we get x
∗
(t ) =
1
2
t
2
−10t .
9.2.5 The Hamiltonian H(t, x, u, p) = x−u
2
÷p(x÷u) is concave in (x, u), so according toTheorem9.2.1
(using (9.2.7), the following conditions are sufﬁcient for optimality:
(i) H
/
u
(t, x
∗
(t ), u
∗
(t ), p(t )) = −2u
∗
(t ) ÷p(t ) = 0;
(ii) ˙ p(t ) = −H
/
x
(t, x
∗
(t ), u
∗
(t ), p(t )) = −1 −p(t ), p(T ) = 0;
(iii) ˙ x
∗
(t ) = x
∗
(t ) ÷u
∗
(t ), x
∗
(0) = 0.
From(ii) we get the linear differential equation ˙ p(t )÷p(t ) = −1. The general solutionis p(t ) = Ae
−t
−1,
and p(T ) = 0 gives A = e
T
, so p(t ) = e
T −t
− 1. From (i) we have u
∗
(t ) =
1
2
(e
T −t
− 1). Finally,
from (iii), ˙ x
∗
(t ) = x
∗
(t ) ÷
1
2
(e
T −t
−1), with general solution x
∗
(t ) = Be
t
÷
1
2
e
t
e
−t
(e
T −t
−1) dt =
Be
t
−
1
4
e
T −t
÷
1
2
. The condition x
∗
(0) = 0 gives B =
1
4
e
T
−
1
2
. Thus, x
∗
(t ) =
1
4
e
T ÷t
−
1
4
e
T −t
−
1
2
e
t
÷
1
2
.
9.2.6 (b) Conditions (7) and (5) reduce to
(i) I
∗
(t ) =
1
2
p(t );
(ii) ˙ p(t ) −0.1p(t ) = −1 ÷0.06K
∗
(t ).
Moreover, K
∗
(t ) = I
∗
(t ) −0.1K
∗
(t ) =
1
2
p(t ) −0.1K
∗
(t ). Thus (K
∗
(t ), p(t )) must satisfy
(iii)
˙
K =
1
2
p −0.1K, and
(iv) ˙ p −0.1p = −1 ÷0.06K.
From (iii) we get p = 2
˙
K ÷ 0.2K, and then ˙ p = 2
´
K ÷ 0.2
˙
K. Inserting these results into (iv) and
simplifying yields
´
K −0.04K = −0.5.
9.4
9.4.2 The Hamiltonian H(t, x, p, u) = 1 − x
2
− u
2
÷ pu is concave in (x, u), so according to Theorem
9.4.2 (using (9.2.7), the following conditions are sufﬁcient for optimality:
(i) H
/
u
(t, x
∗
(t ), u
∗
(t ), p(t )) = −2u
∗
(t ) ÷p(t ) = 0;
(ii) ˙ p(t ) = −H
/
x
(t, x
∗
(t ), u
∗
(t ), p(t )) = 2x
∗
(t );
(iii) p(1) ≥ 0, and p(1) = 0 if x
∗
(1) > 1;
(iv) ˙ x
∗
(t ) = u
∗
(t ), x
∗
(0) = 0, x
∗
(1) ≥ 1.
From ˙ p(t ) = 2x
∗
(t ) we get ´ p(t ) = 2˙ x
∗
(t ) = 2u
∗
(t ) = p(t ). It follows that p(t ) = Ae
t
÷ Be
−t
for
suitable constants A and B. Furthermore, x
∗
(t ) =
1
2
˙ p =
1
2
(Ae
t
− Be
−t
), and since x
∗
(0) = 0 gives
B = A, we have x
∗
(t ) =
1
2
A(e
t
− e
−t
), u
∗
(t ) = ˙ x
∗
(t ) =
1
2
A(e
t
÷ e
−t
), and p(t ) = A(e
t
÷ e
−t
). If
x
∗
(1) > 1, we must have p(1) = 0, and therefore A = 0, but that would give x
∗
(t ) = 0 for all t , which
contradicts x
∗
(1) ≥ 1. Therefore we must have x
∗
(1) = 1, which gives A = 2/(e −e
−1
) = 2e/(e
2
−1).
(The value of A here is twice the value of A given in the book.)
9.4.3 (a) As in Example 9.2.1, we have p(t ) = −
1
2
(T
2
− t
2
), but this time u
∗
(t ) is the value of u that
maximizes H(t, x
∗
(t ), u, p(t )) = 1−t x
∗
(t ) −u
2
÷p(t )u for u ∈ [0, 1]. Note that H
/
u
= −2u÷p(t ) =
−2u−
1
2
(T
2
−t
2
) < 0 for all t < T . Thus the optimal choice of u must be u
∗
(t ) ≡ 0, and then x
∗
(t ) ≡ x
0
.
(b) Also in this case H
/
u
= −2u ÷ p(t ) = −2u −
1
2
(T
2
− t
2
) and H
//
uu
= −2. So for each t in [0, T ],
the optimal u
∗
(t ) must maximize the concave function H(t, x
∗
(t ), u, p(t )) for u ∈ [−1, 1]. Note that
H
/
u
= 0 when u = −
1
4
(T
2
− t
2
), and this nonpositive number is an interior point of [−1, 1] provided
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
9 CONTROL THEORY: BASI C TECHNI QUES 67
−
1
4
(T
2
−t
2
) > −1, i.e. t >
√
T
2
−4. If t ≤
√
T
2
−4, then u = −1 is optimal. (Choosing u
∗
(t ) = 1
cannot be optimal because H
/
u
is negative for u = 1.) For the rest see the answer in the book.
9.4.4 (a) Since H(t, x, p, u) = x ÷ pu is concave in (x, u), the following conditions are sufﬁcient for
optimality:
(i) u = u
∗
(t ) maximizes p(t )u for u ∈ [0, 1];
(ii) ˙ p = −1;
(iii) ˙ x
∗
(t ) = u
∗
(t ), x
∗
(0) = 0, x
∗
(10) = 2.
From (ii) we get p(t ) = A − t for some constant A, and (i) implies that u
∗
(t ) = 1 if p(t ) > 0 and
u
∗
(t ) = 0 if p(t ) < 0. Now u
∗
(t ) ≡ 0 and u
∗
(t ) ≡ 1 are both impossible because ˙ x
∗
(t ) = u
∗
(t ) and
x
∗
(0) = 0 contradict x
∗
(10) = 2. Since p(t ) is strictly decreasing, we conclude that for some t
∗
in
(0, 10) we have p(t ) > 0, and thus u
∗
(t ) = 1, for t in [0, t
∗
], and p(t ) < 0 with u
∗
(t ) = 0 for t in
(t
∗
, 10]. At t
∗
we have p(t
∗
) = 0, so A = t
∗
and p(t ) = t
∗
−t . We see that x
∗
(t ) = t for t in [0, t
∗
] and
x
∗
(t ) = t
∗
for t in (t
∗
, 10]. Since x
∗
(10) = 2, we conclude that t
∗
= 2, and the solution is as given in
the book.
(b) As in (a) we ﬁnd that for some t
∗
in (0, T ), u
∗
(t ) = 1 in [0, t
∗
] and u
∗
(t ) = 0 for t in (t
∗
, T ]. Then
x
∗
(t ) = t ÷x
0
for t in [0, t
∗
] and x
∗
(t ) = t
∗
÷x
0
for t in (t
∗
, T ]. Since x
∗
(T ) = x
1
, we conclude that
t
∗
= x
1
−x
0
, and the solution is as given in the book.
9.4.6 The Hamiltonian H(t, x, u, p) = [10u − u
2
− 2]e
−0.1t
− pu is concave in (x, u), so according to
Theorem 9.4.2, the following conditions are sufﬁcient for optimality:
(i) u
∗
(t ) maximizes H(t, x
∗
(t ), u, p(t )) = [10u −u
2
−2]e
−0.1t
−p(t )u for u ≥ 0;
(ii) ˙ p(t ) = −H
/
x
(t, x
∗
(t ), u
∗
(t ), p(t )) = 0;
(iii) p(5) ≥ 0, and p(5) = 0 if x
∗
(5) > 0;
(iv) ˙ x
∗
(t ) = −u
∗
(t ), x
∗
(0) = 10, x
∗
(5) ≥ 0.
From (ii) we have p(t ) ≡ ¨ p for some constant ¨ p. Suppose u
∗
(t ) > 0 for all t in [0, 5]. Then (i) is
equivalent to H
/
u
(t, x
∗
(t ), u
∗
(t ), p(t )) = 0, that is,
(v) [10 −2u
∗
(t )]e
−0.1t
= ¨ p.
If ¨ p = 0, then (v) implies that u
∗
(t ) ≡ 5, and then ˙ x
∗
(t ) = −5. With x
∗
(0) = 10, we get x
∗
(t ) = 10−5t ,
which gives x
∗
(5) = −15, a contradiction. Hence ¨ p > 0 and from (iii) (and x
∗
(5) ≥ 0) we conclude
that x
∗
(5) = 0. From (v) we have u
∗
(t ) = 5 −
1
2
¨ pe
0.1t
, and then ˙ x
∗
(t ) = −u
∗
(t ) with x
∗
(0) = 10
gives x
∗
(t ) = 5 ¨ p(e
0.1t
− 1) − 5t ÷ 10. The condition x
∗
(5) = 0 gives ¨ p = 3/(e
0.5
− 1). Since all the
conditions (i)–(iv) are satisﬁed by the pair (x
∗
(t ), u
∗
(t )), we have found an optimal solution.
9.4.7 (b) The Hamiltonian H(t, x, u, p) = −(ax ÷bu
2
) ÷pu is concave in (x, u). To check the maximum
condition (9.4.5) inTheorem9.4.1, it sufﬁces to check that, if u
∗
(t ) > 0, then (H
/
u
)
∗
= −2bu
∗
(t )÷p(t ) =
0, and if u
∗
(t ) = 0, then (H
/
u
)
∗
= −2bu
∗
(t ) ÷p(t ) ≤ 0. Also p(t ) = at ÷A for some constant A.
Suppose u
∗
(t ) > 0 for all t in [0, T ]. Then u
∗
(t ) = p(t )/2b = (1/2b)(at ÷ A). Moreover,
˙ x
∗
(t ) = u
∗
(t ) = (1/2b)(at ÷ A), so x
∗
(t ) = (1/2b)(
1
2
at
2
÷ At ) ÷ C. Here x
∗
(0) = 0 yields C = 0,
and x
∗
(T ) = B gives A = 2bB/T −aT/2. Thus
u
∗
(t ) = a(2t −T )/4b ÷B/T and x
∗
(t ) = at (t −T )/4b ÷Bt /T
Note that u
∗
(t ) is increasing in t , and u
∗
(0) = B/T −aT/4b ≥ 0 if and only if B ≥ aT
2
/4b. So in this
case we have found an optimal solution, because it is easy to check that all the conditions in Theorem
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
68 9 CONTROL THEORY: BASI C TECHNI QUES
9.4.2 are satisﬁed. (This solution is valid if the required total production B is large relative to the time
period T available, and the storage cost a is sufﬁciently small relative to the unit production cost b. See
Kamien and Schwartz (1991) for further economic interpretations.)
Suppose B < aT
2
/4b. Then we guess that production is postponed in an initial time period. We
cannot have u
∗
(t ) ≡ 0 because then x
∗
(t ) ≡ 0, which contradicts x
∗
(T ) = B > 0 (assumed implicitly).
If u
∗
(t
∗÷
) > 0, thenbycontinuityof p(t ), the unique maximizer of H wouldbe > 0 for some t < t
∗
, witht
close to t
∗
. So u
∗
(t
∗÷
) = 0, and u
∗
(t ) = x
∗
(t ) ≡ 0 in [0, t
∗
]. In particular, x
∗
(t
∗
) = 0. In (t
∗
, T ] we have
as before u
∗
(t ) = (1/2b)(at ÷A), and since u
∗
(t
∗÷
) = 0, we have A = −at
∗
, and u
∗
(t ) = (a/2b)(t −t
∗
).
Then ˙ x
∗
(t ) = u
∗
(t ) = (a/2b)(t −t
∗
), andwithx
∗
(t
∗
) = 0, x
∗
(t ) = (a/4b)(t −t
∗
)
2
. Nowt
∗
is determined
by the condition x
∗
(T ) = B, which gives (a/4b)(T − t
∗
)
2
= B, or T − t
∗
= ±
√
4bB/a. The minus
sign would make t
∗
> T , so we must have t
∗
= T − 2
√
bB/a. Note that t
∗
> 0 ⇐⇒ B < aT
2
/4b.
We end up with the following suggestion for an optimal solution:
u
∗
(t ) =
⎧
⎨
⎩
0 if t ∈ [0, t
∗
]
a(t −t
∗
)
2b
if t ∈ (t
∗
, T ]
, x
∗
(t ) =
⎧
⎨
⎩
0 if t ∈ [0, t
∗
]
a(t −t
∗
)
2
4b
if t ∈ (t
∗
, T ]
, p(t ) = a(t −t
∗
)
with t
∗
= T −2
√
bB/a.
It remains to check that the proposed solution satisﬁes all the conditions in Theorem 9.4.2. The
pair (x
∗
, u
∗
) is admissible and satisﬁes the terminal condition x
∗
(T ) = B, and ˙ p = a = −(H
/
x
)
∗
. It
remains only to check the maximum condition. For t in (t
∗
, T ] we have u
∗
(t ) > 0 and we see that
(H
/
u
)
∗
= −2bu
∗
(t ) ÷ p(t ) = 0. For t in [0, t
∗
], we have u
∗
(t ) = 0 and (H
/
u
)
∗
= −2bu
∗
(t ) ÷ p(t ) =
a(t −t
∗
) ≤ 0, as it should be. So we have found an optimal solution.
Note: When we use sufﬁcient conditions, we can use “wild” guesses about the optimal control and
the optimal path, as long as we really check that all the conditions in the sufﬁciency theorem are satisﬁed.
9.4.8 The Hamiltonian is H(t, x, p, u) = x
2
− 2u ÷ pu = x
2
÷ (p − 2)u. (Since x(2) is free, we put
p
0
= 1.) The maximum principle (Theorem 9.4.1) gives the following necessary conditions:
(i) u = u
∗
(t ) maximizes (p(t ) −2)u for u ∈ [0, 1];
(ii) ˙ p = −H
/
x
(t, x
∗
(t ), u
∗
(t ), p(t )) = −2x
∗
(t ), p(2) = 0;
(iii) ˙ x
∗
(t ) = u
∗
(t ), x
∗
(0) = 1.
From (i) we see that p(t ) > 2 ⇒ u
∗
(t ) = 1 and p(t ) < 2 ⇒ u
∗
(t ) = 0. The function x
∗
must
be increasing, because ˙ x
∗
(t ) ≥ 0. Hence ˙ p(t ) = −2x
∗
(t ) ≤ −2x
∗
(0) = −2 < 0. Consequently p is
strictly decreasing. Since p(2) = 0, we have p(t ) > 0 for t in [0, 2). Because ˙ p ≤ −2, we see that
p(2) −p(0) =
2
0
˙ p(t ) dt ≤
2
0
(−2) dt = −4, so p(0) ≥ p(2) ÷4 = 4. There is therefore a unique t
∗
in (0, 2) with p(t
∗
) = 2, and
p(t )
¸
> 2 for t ∈ [0, t
∗
)
< 2 for t ∈ (t
∗
, 2]
=⇒ u
∗
(t ) =
¸
1 for t ∈ [0, t
∗
]
0 for t ∈ (t
∗
, 2]
For t ≤ t
∗
, we have ˙ x
∗
(t ) = u
∗
(t ) = 1, so x
∗
(t ) = x
∗
(0) ÷ t = 1 ÷ t . Moreover, ˙ p(t ) =
−2x(t ) = −2−2t , which gives p(t ) = −2t −t
2
÷C
0
for a suitable constant C
0
. Since x
∗
is continuous,
x
∗
(t
∗
) = 1 ÷t
∗
(the limit of x
∗
(t ) as t approaches t
∗
from the left).
For t ≥ t
∗
, we have ˙ x
∗
(t ) = u
∗
(t ) = 0, so x
∗
(t ) remains constant, x
∗
(t ) = x
∗
(t
∗
) = 1 ÷ t
∗
, and
˙ p(t ) = −2x
∗
(t ) = −2 −2t
∗
, so p(t ) = −2(1 ÷t
∗
)t ÷C
1
, where C
1
= p(2) ÷2(1 ÷t
∗
)2 = 4(1 ÷t
∗
).
Now, p(t
∗
) must equal 2, so −2(1÷t
∗
)t
∗
÷4(1÷t
∗
) = 2, or (t
∗
)
2
−t
∗
−1 = 0. This quadratic equation
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
9 CONTROL THEORY: BASI C TECHNI QUES 69
gives t
∗
= (1±
√
5 )/2, and since t
∗
must be positive, t
∗
= (1÷
√
5 )/2. We knowthat for t ≥ t
∗
we have
p(t ) = −2(1 ÷t
∗
)t ÷C
1
= −2(1 ÷t
∗
)t ÷4(1 ÷t
∗
) = 2(1 ÷t
∗
)(2 −t ) = (3 ÷2
√
5 )(2 −t ). We also
know that there is a constant C
0
such that p(t ) = −2t −t
2
÷C
0
for t ≤ t
∗
. To determine the constant C
0
,
we use the equation p(t
∗
) = 2, which gives C
0
−2t
∗
−(t
∗
)
2
= 2, or C
0
= 2 ÷2t
∗
÷(t
∗
)
2
=
9
2
÷
3
2
√
5.
The only possible solution is spelled out in the answer in the book.
9.5
9.5.1 With F(t, x, ˙ x) = 2xe
−t
−2x ˙ x − ˙ x
2
we get F
/
x
= 2e
−t
−2˙ x and F
/
˙ x
= −2x −2˙ x. The Euler equation
is then 2e
−t
− 2˙ x −
d
dt
(−2x − 2˙ x) = 0, or 2e
−t
− 2˙ x ÷ 2˙ x ÷ 2´ x = 0, which reduces to ´ x = −e
−t
. It
follows that ˙ x = e
−t
÷A and x = −e
−t
÷At ÷B for suitable constants A and B. From the boundary
conditions x(0) = 0 and x(1) = 1 we get A = e
−1
and B = 1, so the only admissible solution of the
Euler equation is x
∗
(t ) = −e
−t
÷e
−1
t ÷1.
The associated control problem is
max
1
0
(2xe
−t
−2xu −u
2
) dt, ˙ x = u, x(0) = 0, x(1) = 1, u ∈ (−∞, ∞)
The Hamiltonian (with p
0
= 1) is then H(t, x, u, p) = 2xe
−t
−2xu−u
2
÷pu. (Incidentally, if p
0
= 0,
then the Hamiltonian would simply be pu. If p(t )u has a maximum for some u in (−∞, ∞), then
p(t ) = 0, but p(t ) = 0 is impossible when p
0
= 0.) We have H
/
u
= −2x −2u÷p and H
/
x
= 2e
−t
−2u.
Since the control region is open, H
/
u
(t, x
∗
(t ), u
∗
(t ), p(t )) = 0, so (i) u
∗
(t ) =
1
2
p(t ) −x
∗
(t ). Moreover
(ii) ˙ p(t ) = −H
/
x
(t, x
∗
(t ), u
∗
(t ), p(t )) = −2e
−t
÷ 2u
∗
(t ) = −2e
−t
÷ 2˙ x
∗
(t ). From ˙ x
∗
(t ) = u
∗
(t ) we
get ´ x
∗
(t ) = ˙ u
∗
(t ) =
1
2
˙ p − ˙ x
∗
(t ) = −e
−t
, using (i) and (ii). Hence x
∗
(t ) must be a solution of the
Euler equation that we found in (a). As we found in (a), there is precisely one solution that also satisﬁes
the boundary conditions on x
∗
(t ). Now that we know x
∗
(t ), the control function u
∗
(t ) and the adjoint
function p(t ) are given by the equations above.
9.5.2 With F(t, x, ˙ x) = 3−x
2
−2˙ x
2
, F
/
x
= −2x and F
/
˙ x
= −4˙ x, so the Euler equation F
/
x
−(d/dt )F
/
˙ x
= 0
reduces to ´ x −
1
2
x = 0. The characteristic equation r
2
=
1
2
has solutions r
1
=
1
2
√
2 and r
2
= −
1
2
√
2.
So if x
∗
(t ) solves the problem, then we must have x
∗
(t ) = Ae
1
2
√
2 t
÷Be
−
1
2
√
2 t
.
Since x
∗
(0) = 1, we have A÷B = 1, or B = 1−A, and, moreover, x
∗
(2) = Ae
√
2
÷(1−A)e
−
√
2
≥ 4
requires
A ≥ (4 −e
−
√
2
)/(e
√
2
−e
−
√
2
) = (4e
√
2
−1)/(e
2
√
2
−1) ≈ 0.97 (∗)
We now invoke the transversality condition (8.5.3):
(F
/
˙ x
)
∗
t =2
= −4˙ x
∗
(2) ≤ 0, with −4˙ x
∗
(2) = 0 if x
∗
(2) > 4
Equivalently, ˙ x
∗
(2) ≥ 0, with ˙ x
∗
(2) = 0 if x
∗
(2) > 4. Since ˙ x
∗
(t ) =
1
2
√
2[Ae
1
2
√
2 t
−(1 −A)e
−
1
2
√
2 t
],
we have ˙ x
∗
(2) =
1
2
√
2[Ae
√
2
− (1 − A)e
−
√
2
] = 0 provided A = e
−
√
2
/(e
√
2
÷ e
−
√
2
) ≈ 0.06, contra
dicting (∗). We conclude that x
∗
(2) = 4 and thus A = (4e
√
2
−1)/(e
2
√
2
−1). The function F is (for t
ﬁxed) concave in (x, ˙ x), so we have found the solution.
The control problem is
max
2
0
(3 −x
2
−2u
2
) dt, ˙ x = u, x(0) = 1, x(2) ≥ 4
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
70 9 CONTROL THEORY: BASI C TECHNI QUES
The Hamiltonian is H = 3 − x
2
− 2u
2
÷ pu, so H
/
x
= −2x and H
/
u
= −4u ÷ p. If (x
∗
(t ), u
∗
(t )) is
optimal then (i) u
∗
(t ) =
1
4
p(t ); (ii) ˙ p(t ) = 2x
∗
(t ); (iii) ˙ x
∗
(t ) = u
∗
(t ). Differentiating (iii) yields
´ x
∗
(t ) = ˙ u
∗
(t ) =
1
4
˙ p(t ) =
1
4
2x
∗
(t ) =
1
2
x
∗
(t ), which is the same differential equation as before. The rest
is easy.
9.5.3 With F(t, x, ˙ x) = (−2˙ x − ˙ x
2
)e
−t /10
, F
/
x
= 0 and F
/
˙ x
= (−2 − ˙ x)e
−t /10
, so the Euler equation is
−
d
dt
(−2 − ˙ x)e
−t /10
= 0. See the answer in the book. The function F is (for t ﬁxed) concave in (x, ˙ x),
so we have found the solution.
The Hamiltonian for the control problemis H = (−2u−u
2
)e
−t /10
÷pu. Here ˙ p(t ) = −(H
/
x
)
∗
= 0,
so p(t ) = ¨ p, a constant. Moreover, (H
/
u
)
∗
= (−2 − 2u
∗
(t ))e
−t /10
÷ p(t ) = 0, and thus u
∗
(t ) =
1
2
¨ pe
t /10
−1. Since ˙ x
∗
(t ) = u
∗
(t ), integration gives x
∗
(t ) = 5 ¨ pe
t /10
−t ÷A. The boundary conditions
yield ¨ p = 0 and A = 1, so we get the same solution.
9.6
9.6.1 (a) The Hamiltonian H(t, x, u, p) = x −
1
2
u
2
÷ pu is concave in (x, u), so according to Theorem
9.2.2 (see (9.2.7)), the following conditions are sufﬁcient for optimality:
(i) H
/
u
(t, x
∗
(t ), u
∗
(t ), p(t )) = −u
∗
(t ) ÷p(t ) = 0;
(ii) ˙ p(t ) = −H
/
x
(t, x
∗
(t ), u
∗
(t ), p(t )) = −1 with p(T ) = 0;
(iii) ˙ x
∗
(t ) = u
∗
(t ), x
∗
(0) = x
0
.
From (i) and (ii) we have u
∗
(t ) = p(t ) = T −t . Since ˙ x
∗
(t ) = u
∗
(t ) = T −t and x
∗
(0) = x
0
, we get
x
∗
(t ) = T t −
1
2
t
2
÷x
0
.
(b) The optimal value function is
V(x
0
, T ) =
T
0
x
∗
(t ) −
1
2
u
∗
(t )
2
dt =
T
0
T t −
1
2
t
2
÷x
0
−
1
2
(T −t )
2
dt (∗)
Integrating we ﬁnd V(x
0
, T ) =
t =T
t =0
(
1
2
T t
2
−
1
6
t
3
÷x
0
t ÷
1
6
(T −t )
3
) =
1
6
T
3
÷x
0
T , so ∂V/∂x
0
= T =
p(0). (If we were asked only to ﬁnd ∂V/∂x
0
, it would be easier to differentiate (∗) with respect to x
0
under the integral sign: ∂V/∂x
0
=
T
0
dt = T .)
The value of the Hamiltonian “along the optimal path” is H
∗
(t ) = H(t, x
∗
(t ), u
∗
(t ), p(t )) =
x
∗
(t ) −
1
2
u
∗
(t )
2
÷p(t )u
∗
(t ) = T t −
1
2
t
2
÷x
0
−
1
2
(T −t )
2
÷(T −t )
2
, and so H
∗
(T ) =
1
2
T
2
÷x
0
. We
see that ∂V/∂T =
1
2
T
2
÷x
0
= H
∗
(T ).
9.6.4 (a) The Hamiltonian is H(t, x, u, p) = 2x
2
e
−2t
− ue
t
÷ pue
t
= 2x
2
e
−2t
÷ (p − 1)ue
t
. (Recall
that x(T ) is free.) Suppose that (x
∗
(t ), u
∗
(t )) is an admissible pair with adjoint function p(t ). Since
H
/
x
= 4xe
−2t
, the differential equation for p(t ) is ˙ p(t ) = −4e
−2t
x
∗
(t ). For all t in [0, T ], we have
˙ x
∗
(t ) = u
∗
(t )e
t
≥ 0, and hence x
∗
(t ) ≥ x
∗
(0) = 1 for all t in [0, T ]. Therefore, ˙ p(t ) < 0, so p(t ) is
strictly decreasing. Fromthe maximumprinciple, for every t in [0, T ], u
∗
(t ) is the value of u in [0, 1] that
maximizes H(t, x
∗
(t ), u, p(t )) = 2(x
∗
(t ))
2
e
−2t
÷(p(t ) −1)ue
t
. Since 2(x
∗
(t ))
2
e
−2t
does not depend
on u, u
∗
(t ) is the value of u in [0, 1] that maximizes (p(t ) −1)u. Thus, u
∗
(t ) = 1 if p(t ) > 1, u
∗
(t ) = 0
if p(t ) < 1. Since p(T ) = 0, we have p(t ) < 1 for t close to T . There are two possibilities:
Case A: Suppose p(0) ≤ 1. Since p is strictly decreasing, we get p(t ) < 1, and hence u
∗
(t ) = 0 for all
t > 0. It follows that ˙ x
∗
(t ) = u
∗
(t ) = 0 and x
∗
(t ) ≡ x
∗
(0) = 1 for all t in [0, T ].
It remains to determine p(t ). We have ˙ p(t ) = −4e
−2t
x
∗
(t ) = −4e
−2t
, and so p(t ) = 2e
−2t
÷ C,
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
9 CONTROL THEORY: BASI C TECHNI QUES 71
where the constant C is determined by p(T ) = 0, and hence C = −2e
−2T
. It follows that p(t ) =
2(e
−2t
−e
−2T
) = 2e
−2t
(1−e
−2(T −t )
). Since we have assumed p(0) ≤ 1, we must have 2(1−e
−2T
) ≤ 1.
This gives e
−2T
≥ 1/2, and so −2T ≥ ln(1/2) = −ln 2, or T ≤
1
2
ln 2.
Case B: Suppose p(0) > 1. Then there exists a point t
∗
∈ (0, T ) with p(t
∗
) = 1. In this case p(t ) > 1
for t < t
∗
and p(t ) < 1 for t > t
∗
. This gives
u
∗
(t ) =
¸
1 if 0 ≤ t ≤ t
∗
0 if t
∗
< t ≤ 1
Since ˙ x
∗
(t ) = u
∗
(t ) and x
∗
(0) = 1, we get x
∗
(t ) = e
t
if 0 ≤ t ≤ t
∗
and x
∗
(t ) = e
t
∗
if t
∗
≤ t ≤ 1. Thus,
˙ p(t ) = −4e
−2t
x
∗
(t ) = −4e
−t
if 0 ≤ t < t
∗
, and ˙ p(t ) = −4e
t
∗
−2t
if t
∗
< t ≤ 1. Integration gives
p(t ) =
¸
4e
−t
÷C
1
if 0 ≤ t < t
∗
2e
t
∗
−2t
÷C
2
if t
∗
< t ≤ 1
Since p is continuous, both expressions for p(t ) are valid for t = t
∗
. Moreover, p(T ) = 0, so we get the
equations
(i) p(t
∗
) = 1 = 4e
−t
∗
÷C
1
(ii) p(t
∗
) = 1 = 2e
−t
∗
÷C
2
(iii) p(T ) = 0 = 2e
t
∗
−2T
÷C
2
From (i) and (iii) we get C
1
= 1 −4e
−t
∗
and C
2
= −2e
t
∗
−2T
. Hence,
p(t ) =
¸
4(e
−t
−4e
−t
∗
) ÷1 if 0 ≤ t ≤ t
∗
2e
t
∗
(e
−2t
−e
−2T
) if t
∗
≤ t ≤ 1
It remains to determine t
∗
. From (ii) and (iii) we get 1 = 2e
−t
∗
−2e
t
∗
−2T
. Multiplying this equation by
e
t
∗
yields
e
t
∗
= 2 −2e
2t
∗
−2T
(iv)
Multiplying with
1
2
e
2T
and rearranging gives (e
t
∗
)
2
÷
1
2
e
t
∗
e
2T
−e
2T
= 0. This is a second degree equation
for determining e
t
∗
, and we ﬁnd
e
t
∗
= −
1
4
e
2T
÷
1
16
e
4T
÷e
2T
and so t
∗
= ln
1
16
e
4T
÷e
2T
−
1
4
e
2T
(Since e
t
∗
is positive, we must take the positive square root.) This solution makes sense if and only if
t
∗
> 0, i.e. if and only if
1
16
e
4T
÷e
2T
−
1
4
e
2T
> 1. This inequality is equivalent to
1
16
e
4T
÷ e
2T
>
(
1
4
e
2T
÷1)
2
=
1
16
e
4T
÷
1
2
e
2T
÷1, and so e
2T
> 2 ⇐⇒ T >
1
2
ln 2. For the summing up see the book.
(b) We have to consider two cases A and B. Note that in both cases u
∗
(T ) = 0 (and p(T ) = 0), and so
H
∗
(T ) = H(T, x
∗
(T ), u
∗
(T ), p(T )) = 2x
∗
(T )
2
e
−2T
.
Case A: If T ≤
1
2
ln 2, then x
∗
(T ) = 1, H
∗
(T ) = 2e
−2t
, and
V(T ) =
T
0
2(x
∗
(t ))
2
e
−2t
−u
∗
(t )e
t
dt =
T
0
2e
−2t
dt =
T
0
−e
−2t
= 1 −e
−2T
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
72 9 CONTROL THEORY: BASI C TECHNI QUES
This implies V
/
(T ) = 2e
−2T
= H
∗
(T ).
Case B: For T >
1
2
ln 2, we have x
∗
(T ) = x
∗
(t
∗
) = e
t
∗
. This gives H
∗
(T ) = 2e
2t
∗
−2T
. Furthermore,
V(T ) =
T
0
2(x
∗
(t ))
2
e
−2t
−u
∗
(t )e
t
dt
=
t
∗
0
(2 −e
t
) dt ÷
T
t
∗
2e
2t
∗
−2t
dt = 2t
∗
−e
t
∗
÷1 −e
2t
∗
−2T
÷1
Note that t
∗
depends of T . Hence we get
V
/
(T ) = 2
dt
∗
dT
−e
t
∗ dt
∗
dT
−e
2t
∗
−2T
(2
dt
∗
dT
−2) = (2 −e
t
∗
−2e
2t
∗
−2T
)
dt
∗
dT
÷2e
2t
∗
−2T
Equation (iv) shows that 2 −e
t
∗
−2e
2t
∗
−2T
= 0, and therefore
V
/
(T ) = 0 ÷2e
2t
∗
−2T
= H
∗
(T )
as expected. (Alternatively we could have inserted the expressions found for t
∗
and e
t
∗
into the expression
for V(T ), and found V(T ) in terms of T . The algebra required is heavy.)
9.7
9.7.1 (a) The Hamiltonian H = 100 − x −
1
2
u
2
÷ pu is concave in (x, u) and u ∈ (−∞, ∞), so the
following conditions are sufﬁcient for optimality:
(i) (H
/
u
)
∗
= −u
∗
(t ) ÷p(t ) = 0;
(ii) ˙ p(t ) = 1;
(iii) ˙ x
∗
(t ) = u
∗
(t ), x
∗
(0) = x
0
, and x
∗
(1) = x
1
.
From (ii) we get p(t ) = t ÷ A, and (i) and (iii) give ˙ x
∗
(t ) = u
∗
(t ) = p(t ) = t ÷ A. Integrating and
using the two boundary conditions gives B = x
0
, A = x
1
−x
0
−
1
2
, so the solution is as given in the book.
(b) V = V(x
0
, x
1
) =
1
0
(100 −x
∗
(t ) −
1
2
u
∗
(t )
2
) dt
=
1
0
¸
100 −
1
2
t
2
−(x
1
−x
0
−
1
2
)t −x
0
−
1
2
t ÷x
1
−x
0
−
1
2
2
¸
dt .
Differentiating w.r.t. x
0
under the integral sign yields
∂V/∂x
0
=
1
0
(t −1 ÷t ÷x
1
−x
0
−
1
2
) dt =
1
0
(2t −
3
2
÷x
1
−x
0
) dt =
1
0
(t
2
−
3
2
t ÷(x
1
−x
0
)t ) =
x
1
− x
0
−
1
2
= p(0), as it should be. In the same way, ∂V/∂x
1
=
1
0
[−t −
t ÷ x
1
− x
0
−
1
2
)] dt =
1
0
(−2t −x
1
÷x
0
÷
1
2
) dt =
1
0
(−t
2
−x
1
t ÷x
0
t ÷
1
2
t ) = −x
1
÷x
0
−
1
2
= −p(1), as it should be.
9.7.2 (a) The Hamiltonian is H = (1 − s)
√
k ÷ ps
√
k =
√
k ÷
√
k(p − 1)s. (In (b) we use the Arrow
theorem, so we assume p
0
= 1.) The maximum principle (Theorem 9.4.1) gives the conditions:
(i) s = s
∗
(t ) maximizes
√
k
∗
(t ) ÷
√
k
∗
(t )(p(t ) −1)s for s ∈ [0, 1];
(ii) ˙ p(t ) = −H
/
k
(t, k
∗
(t ), s
∗
(t ), p(t )) = −
1
2
√
k
∗
(t )
[1 ÷s
∗
(t )(p(t ) −1)], p(10) = 0;
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
9 CONTROL THEORY: BASI C TECHNI QUES 73
(iii)
˙
k
∗
(t ) = s
∗
(t )
√
k
∗
(t ), k
∗
(0) = 1.
Since s
∗
(t ) ≥ 0, it follows from (iii) that k
∗
(t ) ≥ 1 for all t . Then we see from (i) that
s
∗
(t ) =
¸
1 if p(t ) > 1
0 if p(t ) < 1
(iv)
By studying (ii) and (iv) we see that ˙ p(t ) < 0 for all t . (If p(t ) > 1, then s
∗
(t ) = 1 and from (ii),
˙ p(t ) = −p(t )/2
√
k
∗
(t ) < 0. (What if p(t ) < 1?) Thus p(t ) is strictly decreasing.
Suppose p(t ) < 1for all t in[0, 10]. Thens
∗
(t ) ≡ 0 andk
∗
(t ) ≡ 1. From(ii) this gives ˙ p(t ) = −1/2,
and with p(10) = 0 we get p(t ) = 5−t /2. But then p(t ) > 1 for t < 8, a contradiction. We conclude that
there must exist a t
∗
in (0, 10) such that p(t
∗
) = 1. Then s
∗
(t ) = 1 on [0, t
∗
] and s
∗
(t ) = 0 on (t
∗
, 10].
But then
˙
k
∗
(t ) =
√
k
∗
(t ) on [0, t
∗
] and
˙
k
∗
(t ) = 0 on [0, t
∗
]. By integrating the differential equation for
k
∗
(t ) on [0, t
∗
], we ﬁnd 2
√
k
∗
(t ) = t ÷ C. With k
∗
(0) = 1 we get C = 2, so k
∗
(t ) = (
1
2
t ÷ 1)
2
. On
(t
∗
, 10] we have k
∗
(t ) = (
1
2
t
∗
÷1)
2
since k
∗
(t ) is continuous. Thus,
s
∗
(t ) =
¸
1 if [0, t
∗
]
0 if (t
∗
, 10]
, k
∗
(t ) =
¸
(
1
2
t ÷1)
2
if [0, t
∗
]
(
1
2
t
∗
÷1)
2
if (t
∗
, 10]
(v)
On(t
∗
, 10] we get from(ii) that ˙ p(t ) = −1/2
√
k
∗
(t ) = −1/(t
∗
÷2), andsop(t ) = −t /(t
∗
÷2)÷D. Since
p(10) = 0, this implies that p(t ) = (10−t )/(t
∗
÷2) on (t
∗
, 10]. But p(t
∗
) = 1, so (10−t )/(t
∗
÷2) = 1,
from which it follows that t
∗
= 4. It remains only to ﬁnd p(t ) on [0, t
∗
]. On this interval ˙ p(t ) =
−p(t )/2
√
k
∗
(t ) = −p(t )/(t ÷2). The solution of this separable equation is p(t ) = E/(t ÷2), for some
constant E. But p(4) = 1, so E = 6. We have found the only possible solution. See the answer in the
book.
(b) See the answer in the book.
9.7.3 (a) The Hamiltonian H(t, x, u, p) = e
−βt
√
u ÷ p(αx(t ) − u) is concave in (x, u), so according to
Theorem 9.7.1, the following conditions are sufﬁcient for optimality:
(i) u = u
∗
(t ) maximizes H(t, x
∗
(t ), u, p(t )) = e
−βt
√
u ÷p(t )(αx
∗
(t ) −u) for u ≥ 0;
(ii) ˙ p(t ) = −H
/
x
(t, x
∗
(t ), u
∗
(t ), p(t )) = −αp(t );
(iii) ˙ x
∗
(t ) = αx
∗
(t ) −u
∗
(t ), x
∗
(0) = 1, x
∗
(T ) = 0.
From (ii) we get p(t ) = Ae
−αt
. Deﬁne the function g by g(u) = e
−βt
√
u − Ae
−αt
u. Then g
/
(u) =
e
−βt
(1/2
√
u) − Ae
−αt
, and we see that g
/
(u) > 0 when u is slightly larger than 0. This means that
u
∗
(t ) = 0 cannot maximize g, or the Hamiltonian, for any t . Hence u
∗
(t ) > 0 and g
/
(u
∗
(t )) = 0, so
e
−βt
2
√
u
∗
(t )
= Ae
−αt
or u
∗
(t ) =
1
4A
2
e
2(α−β)t
From (iii) we get the following linear differential equation for x
∗
(t ):
˙ x
∗
(t ) = αx
∗
(t ) −
1
4A
2
e
2(α−β)t
with solution x
∗
(t ) = Ce
αt
−
1
4A
2
(α −2β)
e
2(α−β)t
The two constants A and C are determined by the boundary conditions in (iii). The explicit expressions
for x
∗
(t ), u
∗
(t ), and p(t ) can be found in the answer in the book. (There is a misprint in the formula for
x
∗
(t ): the ﬁrst fraction must be multiplied by e
αt
.)
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
74 9 CONTROL THEORY: BASI C TECHNI QUES
(b) If x(T ) = 0 is replaced by x(T ) ≥ 0, the only change in the conditions (i)–(iii) is that (ii) is
augmented by p(T ) ≥ 0, with p(T ) = 0 if x
∗
(T ) > 0. Again p(t ) = Ae
−αt
, so p(T ) = 0 would imply
Ae
−αT
= 0, so A = 0 and p(t ) ≡ 0. The maximum condition (i) would then imply that u
∗
(t ) for u ≥ 0
would maximize e
−βt
√
u, which has no maximum. Hence x
∗
(T ) = 0, and the solution is as in (a).
9.8
9.8.1 (b) In this problem we use Theorem 9.8.1 and we try to ﬁnd the only possible solution to the problem.
The Hamiltonian H = p
0
(−9 −
1
4
u
2
) ÷ p(t )u is concave in (x, u), but this does not guarantee that a
solution to the necessary conditions is optimal. (See Note 9.8.1.)
Suppose (x
∗
(t ), u
∗
(t )) is an optimal pair deﬁned on [0, t
∗
]. Then there exists a continuous function
p(t ) and a number p
0
, which is either 0 or 1, such that for all t in [0, t
∗
] we have (p
0
, p(t )) ,= (0, 0) and
(i) u = u
∗
(t ) maximizes H(t, x
∗
(t ), u, p(t )) = p
0
(−9 −
1
4
u
2
) ÷p(t )u for u ∈ ޒ;
(ii) ˙ p(t ) = −H
/
x
(t, x
∗
(t ), u
∗
(t ), p(t )) = 0;
(iii) ˙ x
∗
(t ) = u
∗
(t ), x
∗
(0) = 0, x
∗
(T ) = 16;
(iv) H(t
∗
, x
∗
(t
∗
), u
∗
(t
∗
), p(t
∗
)) = p
0
(−9 −
1
4
u
∗
(t
∗
)
2
) ÷p(t )u
∗
(t
∗
) = 0.
Since H is concave in (x, u), condition (i) is equivalent to (H
/
u
)
∗
= −p
0
1
2
u
∗
(t ) ÷p(t ) = 0. Thenp
0
= 0
implies p(t ) = 0, which contradicts (p
0
, p(t )) ,= (0, 0). Hence p
0
= 1, and u
∗
(t ) = 2p(t ). From (ii)
we have p(t ) = ¨ p for some constant ¨ p, and so u
∗
(t ) = 2 ¨ p. Moreover, ˙ x
∗
(t ) = u
∗
(t ) = 2 ¨ p. Integrating
and using x
∗
(0) = 0 this gives x
∗
(t ) = 2 ¨ pt , and x
∗
(t
∗
) = 16 yields ¨ p = 8/t
∗
. Finally, (iv) implies
−9 −
1
4
(2 ¨ p)
2
÷ ¨ p2 ¨ p = 0, or ¨ p
2
= 9. Here ¨ p = −3 gives t
∗
= 8/ ¨ p < 0. So the only possible solution
is ¨ p = 3, Then t
∗
= 8/3, u
∗
(t ) = 6, and x
∗
(t ) = 6t .
9.8.2 Consider the case B ≥ aT
2
/4b. Then fromProblem9.4.7, u
∗
(t ) = a(2t −T )/4b÷B/T and x
∗
(t ) =
at (t −T )/4b ÷Bt /T and p(t ) = 2bu
∗
(t ). To determine the optimal T
∗
, the condition is H(T
∗
) = 0,
or ax
∗
(T
∗
) ÷ b(u
∗
(T
∗
))
2
= p(T
∗
)u
∗
(T
∗
) = 2b(u
∗
(T
∗
))
2
. This reduces to aB/b = (u
∗
(T
∗
))
2
, or
u
∗
(T
∗
) =
√
aB/b, that is aT
∗
/4b ÷ B/T
∗
=
√
aB/b. Solving this equation for T
∗
gives the unique
solution T
∗
= 2
√
bB/a. (Note that this is the positive solution T of B = aT
2
/4b.)
If B < aT
2
/4b, we ﬁnd that the equation H
∗
(T
∗
) = 0 does not determine T
∗
. (To save on storage
costs, the ﬁrm waits until t = T −2
√
Bb/a to start production, and then produces at an optimal rate until
delivery time T . Note that no discounting is assumed, so waiting costs nothing.)
9.9
9.9.2 The current value Hamiltonian H
c
= 10u − u
2
− 2 − λu is concave in (x, u), so the following
conditions are sufﬁcient for optimality:
(i) u = u
∗
(t ) maximizes H
c
(t, x
∗
(t ), u, λ(t )) = 10u −u
2
−2 −λ(t )u for u ≥ 0;
(ii)
˙
λ(t ) −0.1λ = −(H
c
)
/
x
(t, x
∗
(t ), u
∗
(t ), λ(t )) = 0;
(iii) λ(5) ≥ 0, with λ(5) = 0 if x
∗
(5) > 0;
(iv) ˙ x
∗
(t ) = −u
∗
(t ), x
∗
(0) = 10, x
∗
(5) ≥ 0.
From (ii) we have λ(t ) = Ae
0.1t
for some constant A. Suppose u
∗
(t ) > 0 for all t in [0, 5]. Then (i) is
equivalent to (H
c
)
/
u
(t, x
∗
(t ), u
∗
(t ), λ(t )) = 10 −2u
∗
(t ) −Ae
0.1t
= 0, that is,
(v) u
∗
(t ) = 5 −
1
2
Ae
0.1t
.
Then ˙ x
∗
(t ) = −5 ÷
1
2
Ae
0.1t
, and integration gives x
∗
(t ) = −5t ÷ 5Ae
0.1t
÷ B, where B is a new
constant. The initial condition x
∗
(0) = 10 yields B = 10 − 5A, so x
∗
(t ) = 5A(e
0.1t
− 1) − 5t ÷ 10.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
9 CONTROL THEORY: BASI C TECHNI QUES 75
Next look at condition (iii) which reduces to A ≥ 0, with A = 0 if x
∗
(5) > 0. But A = 0 would imply
x
∗
(t ) = −5t ÷10, which for t = 5 yields the contradiction x
∗
(5) < 0. Thus A > 0 and x
∗
(5) = 0. But
then 0 = 5A(e
0.5
−1)−15, so A = 3/(e
0.5
−1), and the same solutions for x
∗
(t ) and u
∗
(t ) as in Problem
9.4.6 are found. Since all the conditions (i)–(iv) are satisﬁed by the admissible pair (x
∗
(t ), u
∗
(t )), with
the given λ(t ), we have found the solution.
9.9.3 The current value Hamiltonian H
c
= −2u−u
2
÷λu is concave in (x, u), and u ∈ ޒ, so the following
conditions are sufﬁcient for optimality:
(i) (H
c
)
/
u
= −2 −2u
∗
(t ) ÷λ = 0;
(ii)
˙
λ(t ) −0.1λ = −(H
c
)
/
x
(t, x
∗
(t ), u
∗
(t ), λ(t )) = 0;
(iii) ˙ x
∗
(t ) = u
∗
(t ), x
∗
(0) = 1, x
∗
(1) = 0.
From(ii) we have λ(t ) = Ae
0.1t
for some constant A. From(ii) we have u
∗
(t ) =
1
2
λ(t )−1 =
1
2
Ae
0.1t
−1.
Then ˙ x
∗
(t ) =
1
2
Ae
0.1t
−1, with solution x
∗
(t ) = 5Ae
0.1t
−t ÷B. The constants Aand B are determined
from the boundary conditions, and we get the same solution as in Problem 9.5.3.
9.10
9.10.2 With Aas the state variable, the Hamiltonian is H(t, A, u, p) = U(rA(t ) ÷w−u(t ))e
−ρt
÷pu, and
the scrap value function is S(T, A) = e
−ρT
ϕ(A). (We assume that λ
0
= 1.) Moreover, w is a constant.
With the assumptions in Example 8.5.3, the utility function U has U
/
> 0 and U
//
< 0. This implies
that H(t, A, u, p) is concave in (A, u). Since ϕ(A) is also concave, a set of sufﬁcient conditions for
optimality is then (assuming interior solution in (i)):
(i) H
/
3
(t, A
∗
(t ), u
∗
(t ), p(t )) = 0, or p(t ) = U
/
(rA
∗
(t ) ÷w −u
∗
(t ))e
−ρt
;
(ii) ˙ p = −H
/
2
(t, A
∗
(t ), u
∗
(t ), p(t )) = −rU
/
(rA
∗
(t ) ÷w −u
∗
(t ))e
−ρt
;
(iii) p(T ) = S
/
A
(T, A
∗
(T )) = e
−ρT
ϕ
/
(A
∗
(T ));
(iv)
˙
A
∗
(t ) = u
∗
(t ), A
∗
(0) = A
0
.
In the answer in the book we go a little further. We differentiate the expression for p(t ) in (i) w.r.t. t and
equate it to the expression for ˙ p(t ) in (ii). Using u
∗
(t ) =
˙
A
∗
(t ), this gives
U
//
(rA
∗
÷w −
˙
A
∗
)(r
˙
A
∗
−
´
A
∗
)e
−ρt
−ρU
/
(rA
∗
÷w −
˙
A
∗
)e
−ρt
= −rU
/
(rA
∗
÷w −
˙
A
∗
)e
−ρt
Multiplying by −e
ρt
and rearranging gives
´
A
∗
−r
˙
A
∗
÷(ρ −r)U
/
/U
//
= 0. Combining (i) and (iii), we
also see that ϕ
/
(A
∗
(T )) = U
/
(rA
∗
(T ) ÷w −u
∗
(T )).
9.10.3 Compared with Problem 9.7.2 the only difference is that instead of the condition “x(10) free”, we
have nowincluded a scrap value in the objective function. The scrap value function is S(k) = 10
√
k, with
S
/
(k) = 5/
√
k. Conditions (i)–(iv) in the answer to Problem 9.7.2 are still valid except that p(10) = 0
in (ii) is now replaced by
p(10) =
5
√
k
∗
(10)
(ii)
/
Again p(t ) is strictly decreasing, and p(t ) < 1 for all t in [0, 10] is again easily seen to be impossible.
Suppose p(t ) > 1 for all t in [0, 10]. (This was not an option when we required p(10) = 0.) Then
s
∗
(t ) ≡ 1 and
˙
k
∗
(t ) =
√
k
∗
(t ), with k
∗
(0) = 1. It follows that 2
√
k
∗
(t ) = t ÷2, or k
∗
(t ) = (
1
2
t ÷1)
2
. In
particular, k
∗
(10) = 36. Then (ii)
/
gives p(10) = 5/6 < 1 a contradiction. We conclude that there must
exist a t
∗
in (0, 10) such that p(t
∗
) = 1, and (v) in the answer to Problem 9.7.2 is still valid (although
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
76 9 CONTROL THEORY: BASI C TECHNI QUES
with a different t
∗
).
On (t
∗
, 10] we again get p(t ) = −t /(t
∗
÷ 2) ÷ D and 1 = p(t
∗
) = −t
∗
/(t
∗
÷ 2), which implies
that D = (2t
∗
÷2)/(t
∗
÷2), and thus p(t ) = −t /(t
∗
÷2) ÷(2t
∗
÷2)/(t
∗
÷2). In particular, p(10) =
(2t
∗
−8)/(t
∗
÷2). We now use (ii)
/
to determine t
∗
:
2t
∗
−8
t
∗
÷2
=
5
1
2
t
∗
÷1
=
10
t
∗
÷2
from which it follows that t
∗
= 9. The rest is routine, see the answer in the book. (Again the Arrow
condition is satisﬁed, and it is valid also in this case.)
9.10.4 (a) This is a problemwithscrapvalue functionS(x) =
1
2
x. We useTheorem9.10.1. Let (x
∗
(t ), u
∗
(t ))
be an admissible pair. With p
0
= 1, the Hamiltonian is H(t, x, u, p) = x−u÷pu = x÷(p−1)u. (Note
that the scrap value function is not to be included in the Hamiltonian.) If (x
∗
(t ), u
∗
(t )) is an optimal pair
in the problem, and p(t ) is the adjoint function, then according to (B) in Theorem 9.10.1,
˙ p(t ) = −
∂H
∗
∂x
= −1 and p(1) = S
/
(x
∗
(1)) =
1
2
(i)
Moreover, u
∗
(t ) = 1 if p(t ) > 1 and u
∗
(t ) = 0 if p(t ) < 1. From (i) we get
p(t ) =
3
2
−t
We see that the strictly decreasing function p(t ) is equal to 1 at t = 1/2. Hence
u
∗
(t ) =
¸
1 if t ∈ [0, 1/2]
0 if t ∈ (1/2, 1]
Since ˙ x
∗
(t ) = u
∗
(t ) and x(0) = 1/2, we get
x
∗
(t ) =
¸
t ÷1/2 if t ∈ [0, 1/2]
1 if t ∈ (1/2, 1]
We have found the optimal solution because H(t, x, u, p(t )) and S(x) = x/2 are concave (in fact linear)
functions of (x, u).
(b) The scrap value function is now
¨
S(x) = −
1
4
(x −2)
2
, but the Hamiltonian is as in (a). Condition (i)
is replaced by
˙ p(t ) = −1 and p(1) =
¨
S
/
(x
∗
(1)) = −
1
2
(x
∗
(1) −2) = 1 −
1
2
x
∗
(1) (ii)
From (ii) we see that p(t ) = −t ÷C and since p(1) = 1 −
1
2
x
∗
(1), we have
p(t ) = −t ÷2 −
1
2
x
∗
(1) (iii)
Since x
∗
(0) = 1/2 and 0 ≤ ˙ x
∗
≤ 1, it is clear that 1/2 ≤ x
∗
(1) ≤ 3/2. Condition (iii) therefore gives
1/4 ≤ p(1) ≤ 3/4
Since ˙ p(t ) = −1 for all t , we have p(t ) = p(0) −t . Hence, p(0) = p(1) ÷1 and
5/4 ≤ p(0) ≤ 7/4
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
9 CONTROL THEORY: BASI C TECHNI QUES 77
Condition (ii) is still valid, so there exists a unique number t
∗
between 0 and 1 such that p(t
∗
) = 1, and
u
∗
(t ) =
¸
1 if t ∈ [0, t
∗
],
0 if t ∈ (t
∗
, 1],
x
∗
(t ) =
¸
1/2 ÷t if t ∈ [0, t
∗
]
1/2 ÷t
∗
if t ∈ (t
∗
, 1]
To determine t
∗
we use the transversality condition. We know that p(t ) = p(0) − t = p(1) ÷ 1 − t ,
so p(1) = p(t ) ÷ t − 1 for all t . Since p(t
∗
) = 1, we get p(1) = t
∗
. The transversality condition then
gives t
∗
= p(1) = 1 −
1
2
x
∗
(1) = 1 −
1
2
1
2
÷t
∗
=
3
4
−
1
2
t
∗
, which means that t
∗
=
1
2
. The optimal pair
(x
∗
(t ), u
∗
(t )) is therefore exactly as in (a), but this is accidental. A different scrap value function would
usually have given another solution.
9.10.5 (a) The Hamiltonian H(t, x, u, p) = −u
2
− px ÷ pu is concave in (x, u) and the scrap value
function S(x) = −x
2
is concave in x. The following conditions are therefore sufﬁcient for optimality:
(i) H
/
3
(t, x
∗
(t ), u
∗
(t ), p) = −2u
∗
(t ) ÷p(t ) = 0, so u
∗
(t ) =
1
2
p(t );
(ii) ˙ p(t ) = −∂H
∗
/∂x = p(t ) and p(T ) = −S
/
(x
∗
(T )) = −2x
∗
(T );
(iii) ˙ x
∗
(t ) = −x
∗
(t ) ÷u
∗
(t ), x
∗
(0) = x
0
.
From (ii) we get p(t ) = Ce
t
for an appropriate constant C, and since p(T ) = −2x
∗
(T ), we get
p(t ) = −2x
∗
(T )e
t −T
and also u
∗
(t ) =
1
2
p(t ) = −x
∗
(T )e
t −T
. The differential equation
˙ x
∗
(t ) = −x
∗
(t ) ÷u
∗
(t ) = −x
∗
(t ) −x
∗
(T )e
t −T
has the general solution
x
∗
(t ) = De
−t
−
1
2
x
∗
(T )e
t −T
From x
∗
(T ) = De
−T
−
1
2
x
∗
(T ) we get D =
3
2
x
∗
(T )e
T
. The initial condition x
∗
(0) = x
0
gives
D −
1
2
x
∗
(T )e
−T
=
3
2
x
∗
(T )e
T
−
1
2
x
∗
(T )e
−T
=
1
2
x
∗
(T )(3e
T
−e
−T
) = x
0
so
x
∗
(T ) =
2x
0
3e
T
−e
−T
=
2x
0
e
T
3e
2T
−1
and D =
3
2
x
∗
(T )e
T
=
3x
0
e
2T
3e
2T
−1
Thus the optimal solution is
u
∗
(t ) = −
2x
0
e
t
3e
2T
−1
, x
∗
(t ) =
x
0
(3e
2T −t
−e
t
)
3e
2T
−1
, p(t ) = −
4x
0
e
t
3e
2T
−1
(b) We have
V(x
0
, T ) = −
T
0
(u
∗
(t ))
2
dt −(x
∗
(T ))
2
= −
4x
2
0
(3e
2T
−1)
2
¸
T
0
e
2t
dt ÷e
2T
¸
= −
4x
2
0
(3e
2T
−1)
2
¸
T
0
1
2
e
2t
÷e
2T
¸
= −
4x
2
0
(3e
2T
−1)
2
¸
3
2
e
2T
−
1
2
¸
= −
2x
2
0
3e
2T
−1
It follows that
∂V
∂x
0
= −
4x
0
3e
2T
−1
= p(0) and
∂V
∂T
=
12x
2
0
e
2T
(3e
2T
−1)
2
We see from the solutions in (a) that p(T ) = −2x
∗
(T ) and u
∗
(t ) = −x
∗
(T ), so H
∗
(T ) = −u
∗
(T )
2
÷
p(T )(−x
∗
(T ) ÷u
∗
(T )) = 3x
∗
(T )
2
= ∂V/∂T .
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
78 9 CONTROL THEORY: BASI C TECHNI QUES
9.10.6 The current value Hamiltonian H
c
(t, x, u, λ) = −(x −u)
2
÷λ(u−x ÷a) is concave in (x, u). The
scrap value function S(x) = −x
2
is concave in x. The following conditions are therefore sufﬁcient for
an admissible pair (x
∗
, u
∗
) to solve the problem:
(i) ∂(H
c
)
∗
/∂u = 0 , i.e. λ(t ) = −2(x
∗
(t ) −u
∗
(t ));
(ii)
˙
λ(t ) −rλ = −∂(H
c
)
∗
/∂x = 2(x
∗
(t ) −u
∗
(t )) ÷λ(t ), and λ(T ) = −2x
∗
(T );
(iii) ˙ x
∗
(t ) = u
∗
(t ) −x
∗
(t ) ÷a, x
∗
(0) = 0.
From (i) and (ii) it follows that
˙
λ(t ) = rλ, so λ(t ) = Ae
rt
, where A is a constant. Then (i) yields
x
∗
(t )−u
∗
(t ) = −
1
2
Ae
rt
. But then ˙ x
∗
(t ) = u
∗
(t )−x
∗
(t )÷a =
1
2
Ae
rt
÷a, so x
∗
(t ) = (A/2r)e
rt
÷at ÷B.
The initial condition x
∗
(0) = 0 gives B = −A/2r, so
x
∗
(t ) =
A
2r
(e
rt
−1) ÷at (iv)
From(ii), x
∗
(T ) = −
1
2
λ(T ) = −
1
2
Ae
rT
, and so (iv) with t = T yields −
1
2
Ae
rT
= (A/2r)(e
rT
−1)÷aT .
Solving for A yields
A = −
2arT
e
rT
(1 ÷r) −1
The expressions for λ(t ), x
∗
(t ), and u
∗
(t ) follow easily. See the answer in the book.
9.11
9.11.1 The current value Hamiltonian H
c
= ln u − λ(0.1x − u) is concave in (x, u), and u > 0, so the
following conditions are sufﬁcient for optimality:
(i) (H
c
)
/
u
(t, x
∗
, u
∗
, λ(t )) = 1/u
∗
(t ) ÷λ = 0;
(ii)
˙
λ(t ) −0.2λ = −(H
c
)
/
x
(t, x
∗
, u
∗
, λ(t )) = −0.1λ;
(iii) (a) lim
t →∞
λ(t )e
−0.2t
(−x
∗
(t )) ≥ 0;
(b) There exists a number M such that [λ(t )e
−0.2t
[ ≤ M for all t ≥ 0;
(c) There exists a number t
/
such that λ(t ) ≥ 0 for all t ≥ t
/
;
(iv) ˙ x
∗
(t ) = 0.1x
∗
(t ) −u
∗
(t ), x
∗
(0) = 10, lim
t →∞
x
∗
(t ) ≥ 0.
From (ii) we get
˙
λ(t ) = 0.1λ(t ), and thus λ(t ) = Ae
0.1t
, for some constant A. Condition (i) yields
u
∗
(t ) = 1/λ(t ) = e
−0.1t
/A. Then from (iv), ˙ x
∗
(t ) = 0.1x
∗
(t ) − e
−0.1t
/A. The solution of this linear
differential equation, with x
∗
(0) = 10, is easily seen to be x
∗
(t ) = (10 − 5/A)e
0.1t
÷ 5e
−0.1t
/A.
Condition (iv) requires lim
t →∞
x
∗
(t ) = lim
t →∞
[(10 − 5/A)e
0.1t
÷ 5e
−0.1t
/A] ≥ 0. This obviously
requires 10 − 5/A ≥ 0. From (iii)(c) we see that we must have A ≥ 0, and so A ≥ 1/2. However,
referring to (iii)(a),
λ(t )e
−0.2t
(−x
∗
(t )) = Ae
0.1t
e
−0.2t
(−(10 −5/A)e
0.1t
−5e
−0.1t
/A) = −(10A −5) −5e
−0.2t
The limit of this expression can be ≥ 0 only if 10A−5 ≤ 0, i.e. A ≤ 1/2. Thus we must have A = 1/2.
Then u
∗
(t ) = 2e
−0.1t
, x
∗
(t ) = 10e
−0.1t
, with λ(t ) =
1
2
e
0.1t
.
It remains to check that the conditions in (iii) are satisﬁed. First, (iii)(a) is satisﬁed because we
have lim
t →∞
1
2
e
0.1t
e
−0.2t
(−10e
−0.1t
) = −5 lim
t →∞
e
−0.2t
= 0. Since [λ(t )e
−0.2t
[ = [
1
2
e
0.1t
e
−0.2t
[ =
1
2
e
−0.1t
≤
1
2
for all t ≥ 0, (iii)(b) is also satisﬁed. Finally, λ(t ) =
1
2
e
0.1t
≥ 0 for all t ≥ 0. We have
therefore found the solution.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
9 CONTROL THEORY: BASI C TECHNI QUES 79
9.11.2 The current value Hamiltonian (with λ
0
= 1) is H
c
= x(2 − u) ÷ λuxe
−t
, and the following
conditions must be satisﬁed for (x
∗
(t ), u
∗
(t )) to be optimal:
(i) u = u
∗
(t ) maximizes H
c
(t, x
∗
(t ), u, λ(t )) = 2x
∗
(t ) ÷x
∗
(t )(e
−t
λ(t ) −1)u for u ∈ [0, 1];
(ii)
˙
λ(t ) −λ(t ) = −∂(H
c
)
∗
/∂x = −(2 −u
∗
(t )) −λ(t )u
∗
(t )e
−t
;
(iii) ˙ x
∗
(t ) = u
∗
(t )x
∗
(t )e
−t
, x
∗
(0) = 1.
Since ˙ x
∗
(t ) ≥ 0 and x
∗
(0) = 1, x
∗
(t ) ≥ 1 for all t . Looking at (i) we see that
u
∗
(t ) =
¸
1 if λ(t )e
−t
> 1
0 if λ(t )e
−t
< 1
We guess that p(t ) = λ(t )e
−t
→ 0 as t → ∞. Then λ(t )e
−t
< 1 on some maximal interval (t
∗
, ∞).
On this interval u
∗
(t ) = 0 and
˙
λ(t ) −λ(t ) = −2, and so λ(t ) = Ce
t
÷2, or λ(t )e
−t
= C ÷2e
−t
, which
tends to 0 as t → ∞only if C = 0. Then λ(t ) = 2. Note that λ(t )e
−t
∗
= 2e
−t
∗
= 1 when t
∗
= ln 2,
and we propose that u
∗
(t ) = 1 on [0, ln 2], u
∗
(t ) = 0 on (ln 2, ∞). Then ˙ x
∗
(t ) = x
∗
(t )e
−t
on [0, ln 2],
˙ x
∗
(t ) = 0 on (ln 2, ∞). On [0, ln 2],
dx
∗
(t )/x
∗
(t ) =
e
−t
dt , so ln x
∗
(t ) = −e
−t
÷ A, and with
x
∗
(0) = 1 this gives x
∗
(t ) = e
1−e
−t
. On (t
∗
, ∞) we have x
∗
(t ) = e
1−e
−ln 2
= e
1−1/2
= e
1/2
.
On [0, ln 2] we have
˙
λ(t ) ÷ (e
−t
− 1)λ(t ) = −1. We use formula (5.4.6) with a(t ) = e
−t
− 1 and
b(t ) = −1. Then
a(t ) dt =
(e
−t
−1) dt = −e
−t
−t and
λ(t ) = Ce
e
−t
÷t
÷e
e
−t
÷t
e
−e
−t
−t
(−1) dt = Ce
e
−t
÷t
−e
e
−t
÷t
e
−e
−t
e
−t
dt = Ce
e
−t
÷t
−e
t
because the last integral is obviously equal to e
−e
−t
. Since λ(ln 2) = 2 we ﬁnd that C = 2e
−1/2
. We have
obtained the same answers as in the book, keeping in mind that p(t ) = λ(t )e
−t
.
It does not change the problem if x(∞) ≥ 0 is added as a restriction in the problem. Then (B) and
(C) in Note 9.11.3 are trivially satisﬁed, and the expression in (A) reduces to lim
t →∞
2e
−t
(0 − e
1/2
),
which is clearly 0. The Arrow concavity condition holds in this problem and this yields optimality also
in the inﬁnite horizon case.
9.11.4 The current value Hamiltonian H
c
= (x − u) ÷ λue
−t
is concave in (x, u). The problem is not
affected by introducing the requirement that lim
t →∞
x
∗
(t ) ≥ 0. So the following conditions are sufﬁcient
for optimality:
(i) u = u
∗
(t ) maximizes x
∗
(t ) ÷e
−t
(λ(t ) −e
t
)u for u ∈ [0, 1];
(ii)
˙
λ(t ) −λ(t ) = −(H
c
)
/
x
(t, x
∗
, u
∗
, λ(t )) = −1;
(iii) (a) lim
t →∞
λ(t )e
−t
(−x
∗
(t )) ≥ 0;
(b) There exists a number M s.t. [λ(t )e
−t
[ ≤ M for all t ≥ 0;
(c) There exists a number t
/
s.t. λ(t ) ≥ 0 for all t ≥ t
/
;
(iv) ˙ x
∗
(t ) = u
∗
(t )e
−t
, x
∗
(−1) = 0.
From (ii) it follows that λ(t ) = Ae
t
÷1. We guess that p(t ) = e
−t
λ(t ) = e
−t
(Ae
t
÷1) = A÷e
−t
→0
as t → ∞, so A = 0. From (i) we see that u
∗
(t ) = 1 if e
t
< 1, and u
∗
(t ) = 0 if e
t
> 1. It follows that
u
∗
(t ) = 1 in [−1, 0] and u
∗
(t ) = 0 in (0, ∞). Then from (iv), we get x
∗
(t ) = e − e
−t
in [−1, 0] and
x
∗
(t ) = e − 1 in (0, ∞). The conditions in (iii) are obviously satisﬁed, so we have found the optimal
solution. (The answer in the book is wrong.)
9.12
9.12.1 (a) The current value Hamiltonian H
c
= ax −
1
2
u
2
÷ λ(−bx ÷ u) is concave in (x, u), so the
following conditions are sufﬁcient for optimality:
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
80 9 CONTROL THEORY: BASI C TECHNI QUES
(i) (H
c
)
/
u
(t, x
∗
(t ), u
∗
(t ), λ(t )) = −u
∗
(t ) ÷λ(t ) = 0;
(ii)
˙
λ(t ) −rλ(t ) = −(H
c
)
/
x
(t, x
∗
(t ), u
∗
(t ), λ(t )) = −a ÷bλ(t );
(iii) lim
t →∞
λ(t )e
−rt
(x(t ) −x
∗
(t )) ≥ 0 for all admissible x(t );
(iv) ˙ x
∗
(t ) = −bx
∗
(t ) ÷u
∗
(t ), x
∗
(0) = 10.
From (i) we get u
∗
(t ) = λ(t ), and thus ˙ x
∗
(t ) = −bx
∗
(t ) ÷λ(t ), and x = x
∗
and λ must satisfy
˙ x = −bx ÷λ = F(x, λ),
˙
λ = (b ÷r)λ −a = G(x, λ) (∗)
The equilibrium point is ( ¨ x,
¨
λ) = (a/b(b ÷r), a/(b ÷r).
(b) The Jacobian matrix of (∗) is
F
/
x
F
/
λ
G
/
x
G
/
λ
=
−b 1
0 b ÷r
, with eigenvalues −b and b ÷r. Since
they are real and of opposite signs, the equilibrium point is a saddle point. To prove sufﬁciency, we can
restrict attention to admissible x(t ) satisfying lim
t →∞
x(t )e
−rt
≥ 0, because if the limit is < 0, then the
value of the criterion is −∞. For such x(t ), condition (iii) is evidently satisﬁed.
(c) V =
∞
0
[ax
∗
(t ) −
1
2
(u
∗
(t ))
2
]e
−rt
dt =
∞
0
ax
0
e
−(b÷r)t
dt ÷terms that do not depend on x
0
. But
then ∂V/∂x
0
=
∞
0
ae
−(b÷r)t
dt = a/(b ÷r) = λ(0).
9.12.2 From the answer to Problem 9.9.1 with x(0) = 1, we ﬁnd x
∗
= Ae
(1÷
√
2 )t
÷(1 −A)e
(1−
√
2 )t
. and
λ = A
√
2 e
(
√
2÷1)t
− (1 − A)
√
2 e
(1−
√
2 )t
. The adjoint variable p(t ) = λ(t )e
−2t
tends to 0 as t → ∞
if and only if A = 0. Then x
∗
= e
(1−
√
2 )t
and λ(t ) = −
√
2 e
(1−
√
2 )t
(with p(t ) = −
√
2 e
(−1−
√
2 )t
). To
prove sufﬁciency, note that if lim
t →∞
x
2
(t )e
−2t
= lim
t →∞
(x(t )e
−t
)
2
,= 0, then the objective function
is −∞. We can therefore restrict attention to admissible solutions for which lim
t →∞
x(t )e
−t
= 0. Then
condition (iii) is satisﬁed and we have found the optimal solution.
9.12.3 (a) With H
c
= ln C ÷λ(AK
α
−C), ∂(H
c
)
∗
/∂C = 0 implies 1/C
∗
−λ = 0, or C
∗
λ = 1. Taking
ln of each side and differentiating w.r.t. t yields
˙
C
∗
/C
∗
÷
˙
λ/λ = 0. Also,
˙
λ − rλ = −∂(H
c
)
∗
/∂K =
−λαA(K
∗
)
α−1
or, equivalently,
˙
λ/λ = r − αA(K
∗
)
α−1
. It follows that if K = K
∗
(t ) > 0 and C =
C
∗
(t ) > 0 solve the problem, then the second equation in (∗) holds. (The ﬁrst equation is part of the
problem.)
(b) The Jacobian matrix evaluated at (400, 40) is J =
1/20 −1
−1/400 0
and [J[ = −1/400 < 0, so the
equilibrium point is a saddle point.
(c) If K
0
= 100 and T = ∞the solution curve converges towards the equilibrium point. For sufﬁcient
conditions, see Note 9.11.3.
9.12.4 (a) The current value Hamiltonian H
c
= −(x−1)
2
−
1
2
u
2
÷λ(x−u) is concave in (x, u). Since u ∈ ޒ,
the maximumconditionreduces to (i) (H
c
)
/
u
(t, x
∗
, u
∗
, λ(t )) = −u
∗
(t )−λ = 0. The differential equation
for λ is (ii)
˙
λ(t ) −λ(t ) = −(H
c
)
/
x
(t, x
∗
, u
∗
, λ(t )) = 2x
∗
(t ) −2 −λ. Of course, ˙ x
∗
(t ) = x
∗
(t ) −u
∗
(t ).
It follows that the optimal pair x
∗
(t ), u
∗
(t )) must satisfy
˙ x = F(x, λ) = x −u = x ÷λ
˙
λ = G(x, λ) = 2x −2
(∗)
The Jacobian matrix of (∗) is
F
/
x
F
/
λ
G
/
x
G
/
λ
=
1 1
2 0
. The determinant is −2, so the equilibrium point
(1, −1) is a saddle point. The eigenvalues are −1 and 2.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
10 CONTROL THEORY WI TH MANY VARI ABL ES 81
(b) Solving the ﬁrst equation in (∗) for λ yields λ = ˙ x −x, and then
˙
λ = ´ x − ˙ x. Inserted into the second
equation in (∗) yields ´ x − ˙ x −2x = −2. The general solution of this equation is x(t ) = Ae
−t
÷Be
2t
÷1,
and x(0) = 1/2 yields B = −A −1/2, so
x(t ) = Ae
−t
−(A ÷1/2)e
2t
÷1
Using λ = ˙ x −x, we ﬁnd the corresponding solution for λ,
λ(t ) = −2Ae
−t
−(A ÷1/2)e
2t
−1
If A ,= −1/2 we see that x(t ) and λ(t ) both diverge as t → ∞. For A = −1/2, it follows that
x(t ) = −(1/2)e
−t
÷1 →1 and λ(t ) = e
−t
−1 →−1 as t →∞. Note that fromx(t ) = −(1/2)e
−t
÷1
and λ(t ) = e
−t
−1 we ﬁnd that (x, λ) = (x(t ), λ(t )) satisﬁes λ = −2x ÷1.
It remains to prove that condition (d) in Theorem 9.11.1 is satisﬁed. Note that the integrand in the
objective function can be written (−x
2
÷ 2x − 1 −
1
2
u
2
)e
−t
, so we need only consider admissible x(t )
for which lim
t →∞
x(t )e
−t
≥ 0, because if lim
t →∞
x(t )e
−t
< 0 the objective function is −∞.
10 Control Theory with Many Variables
10.1
10.1.3 To prove that g is concave, let x
1
, x
2
, λ ∈ (0, 1) and choose u
1
, u
2
in U
x
such that g(x
1
) = F(x
1
, u
1
),
g(x
2
) = F(x
2
, u
2
). Then g(λx
1
÷(1 −λ)x
2
) ≥ F(λx
1
÷(1 −λ)x
2
, λu
1
÷(1 −λ)u
2
) ≥ λF(x
1
, u
1
) ÷
(1 −λ)F(x
2
, u
2
) = λg(x
1
) ÷(1 −λ)g(x
2
). Note that λu
1
÷(1 −λ)u
2
∈ U
λx
1
÷(1−λ)x
2
.
10.2
10.2.2 Suppose T < 2/a. If t ∈ [0, T − 2/a], then u
∗
(t ) = 1 and then ˙ x
∗
1
(t ) = ax
∗
1
(t ) with x
∗
1
(0) = x
0
1
.
If follows that x
∗
1
(t ) = x
0
1
e
at
. In particular, x
∗
1
(T − 2/a) = x
0
1
e
aT −2
. Moreover, we have ˙ x
∗
2
(t ) =
a(1 −u
∗
(t ))x
∗
1
(t ) = 0, and so x
∗
2
(t ) = x
0
2
.
If t ∈ (T −2/a, T ], then u
∗
(t ) = 0 and ˙ x
∗
1
(t ) = 0 with x
∗
1
(T −2/a) = x
0
1
e
aT −2
, so x
∗
1
(t ) = x
0
1
e
aT −2
.
Moreover, ˙ x
∗
2
(t ) = ax
0
1
e
aT −2
, so integration gives x
∗
2
(t ) = ax
0
1
e
aT −2
t ÷B, with the boundary condition
x
∗
2
(T −2/a) = x
0
2
determining B. In fact, we get x
∗
2
(t ) = x
0
2
÷ax
0
1
e
aT −2
(t −(T −2/a)).
10.2.3 (a) There are two state variables x
1
and x
2
, so we introduce two adjoint variables p
1
and p
2
. There are
also two control variables u
1
and u
2
. The Hamiltonian H =
1
2
x
1
÷
1
5
x
2
−u
1
−u
2
÷p
1
u
1
÷p
2
u
2
is linear
and hence concave. The following conditions are sufﬁcient for the admissible quadruple (x
∗
1
, x
∗
2
, u
∗
1
, u
∗
2
)
to be optimal:
(i) (u
1
, u
2
) = (u
∗
1
(t ), u
∗
2
(t )) maximizes (p
1
(t ) −1)u
1
÷(p
2
(t ) −1)u
2
for u
1
∈ [0, 1], u
2
∈ [0, 1];
(ii) ˙ p
1
(t ) = −(H
/
x
1
)
∗
= −1/2, p
1
(T ) = 0, ˙ p
2
(t ) = −(H
/
x
2
)
∗
= −1/5, p
2
(T ) = 0;
We see immediately from (ii) that p
1
(t ) =
1
2
(T −t ) and p
2
(t ) =
1
5
(T −t ). Note that p
1
(0) =
1
2
T > 1
since T > 5. Thus p
1
(t ) strictly decreases from a level higher than 1 at t = 0 to 0 at t = T . Looking
at (i) we see that u
∗
1
(t ) = 1 for p
1
(t ) > 1 and 0 for p
1
(t ) < 1. Since p
1
(t
∗
) = 1 when
1
2
(T − t
∗
) = 1,
we get t
∗
= T −2. In the same way, p
2
(0) =
1
5
T > 1 since T > 5. Thus p
2
(t ) strictly decreases from
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
82 10 CONTROL THEORY WI TH MANY VARI ABL ES
a level higher than 1 at t = 0 to 0 at t = T . Looking at (i) we see that u
∗
2
(t ) = 1 for p(t ) > 1 and 0 for
p(t ) < 1. Since p
2
(t
∗∗
) = 1 when
1
5
(T −t
∗∗
) = 1, we get t
∗∗
= T −5. We conclude that
u
∗
1
(t ) =
¸
1 if t ∈ [0, T −2]
0 if t ∈ (T −2, T ]
u
∗
2
(t ) =
¸
1 if t ∈ [0, T −5]
0 if t ∈ (T −5, T ]
The corresponding values for (x
∗
1
(t ), x
∗
2
(t )) are easily worked out. See the answer in the book.
(b) The scrap value function is S(x
1
, x
2
) = 3x
1
÷ 2x
2
. The Hamiltonian and the differential equations
for p
1
and p
2
are the same as in (a). The transversality conditions are changed. In fact, according to
Theorem 10.1.5 (C)(c’), we have p
1
(T ) = S
/
1
(x
∗
1
(t ), x
2
(t )) = 3 and p
2
(T ) = S
/
2
(x
∗
1
(t ), x
2
(t )) = 2.
Then p
1
(t ) = 3 ÷
1
2
(T − t ) and p
2
(t ) = 2 ÷
1
5
(T − t ). For t ∈ [0, T ] we see that p
1
(t ) and p
2
(t ) are
both greater than 1, and condition (i) in (a) implies that u
∗
1
(t ) = u
∗
2
(t ) = 1 for all t ∈ [0, T ], and thus
x
∗
1
(t ) = x
∗
2
(t ) = t .
10.2.4 The Hamiltonian H = x
2
÷c(1 −u
1
−u
2
) ÷p
1
au
1
÷p
2
(au
2
÷bx
1
) is linear and hence concave.
The control region is U = {(u
1
, u
2
) : 0 ≤ u
1
, 0 ≤ u
2
, u
1
÷ u
2
≤ 1}. The following conditions are
sufﬁcient for a quadruple (x
∗
1
, x
∗
2
, u
∗
1
, u
∗
2
) to be admissible and optimal:
(i) (u
1
, u
2
) = (u
∗
1
(t ), u
∗
2
(t )) maximizes (ap
1
(t ) −c)u
1
÷(ap
2
(t ) −c) for (u
1
, u
2
) ∈ U;
(ii) ˙ p
1
(t ) = −(H
/
x
1
)
∗
= −bp
2
(t ), p
1
(T ) = 0, ˙ p
2
(t ) = −(H
/
x
2
)
∗
= −1, p
2
(T ) = 0;
(iii) ˙ x
∗
1
(t ) = au
∗
1
(t ), x
∗
1
(0) = x
0
1
, ˙ x
∗
2
(t ) = au
∗
2
(t ) ÷bx
∗
1
(t ), x
∗
2
(0) = x
0
2
.
From (ii) we see that p
2
(t ) = T − t . Therefore ˙ p
1
(t ) = −b(T − t ). Integrating and using p
1
(T ) = 0,
we get p
1
(t ) =
1
2
b(T −t )
2
. To ﬁnd the optimal controls we must for each t in [0, T ] solve the problem
max ϕ(u
1
, u
2
) = max
¸
¸
1
2
ab(T −t )
2
−c
¸
u
1
÷
¸
a(T −t ) −c
¸
u
2
s.t. (u
1
, u
2
) ∈ U
¸
(∗)
The control region U is the closed triangular region with corners at (0, 0), (1, 0), and (0, 1). Since ϕ is
a linear function it will attain its maximum over U at one of those corners. (In some cases there may be
more than one maximum point, but even then at least one corner will be a maximum point.) Note that
ϕ(0, 0) = 0, ϕ(1, 0) =
1
2
ab(T − t )
2
− c, and ϕ(0, 1) = a(T − t ) − c. In the chains of equivalences
below it is understood that either the top inequality holds all the way or the bottom inequality holds all
the way. We see that (with t < T )
ϕ(1, 0) ≷ ϕ(0, 1) ⇐⇒
1
2
ab(T −t )
2
−c ≷ a(T −t ) −c ⇐⇒ t ≶ T −2/b
ϕ(0, 1) ≷ ϕ(0, 0) ⇐⇒ a(T −t ) −c ≷ 0 ⇐⇒ t ≶ T −c/a
ϕ(1, 0) ≷ ϕ(0, 0) ⇐⇒ T −t ≷
2c/ab ⇐⇒ t ≶ T −
2c/ab
Putting all this together (note that the assumption T −c/a > T −2/b in the problem implies c/a < 2/b,
and then c/a <
√
2c/ab < 2/b), we ﬁnd that a set of optimal controls are
(u
∗
1
(t ), u
∗
2
(t )) =
⎧
⎪
⎨
⎪
⎩
(1, 0) if t ∈ [0, T −2/b]
(0, 1) if t ∈ (T −2/b, T −c/a]
(0, 0) if t ∈ (T −c/a, T ]
(∗∗)
(For values of t in the corresponding open intervals, the optimal values of u
1
and u
2
are uniquely
determined; for t = T −2/b, t = T −c/a, and t = T we choose the values so that the control functions
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
10 CONTROL THEORY WI TH MANY VARI ABL ES 83
become leftcontinuous.) The corresponding values of x
∗
1
(t ) and x
∗
2
(t ) follow from (iii) and (∗), but the
expressions on the interval (T −c/a, T −2/b) get very messy.
10.2.5 There are two state variables x
1
and x
2
, so we introduce two adjoint variables p
1
and p
2
. The
Hamiltonian is H(t, x
1
, x
2
, u, p
1
, p
2
) = x
1
− cx
2
÷ u
0
− u ÷ p
1
u ÷ p
2
bx
1
. (We have p
0
= 1, since
p
1
(T ) = p
2
(T ) = 0.) The Hamiltonian is concave in (x
1
, x
2
, u), so according to Theorem 10.1.2 the
admissible triple (x
∗
1
, x
∗
2
, u
∗
) is optimal provided for each t in [0, T ],
(i) u = u
∗
(t ) maximizes H(t, x
∗
1
(t ), x
∗
2
(t ), u, p
1
(t ), p
2
(t )) = x
∗
1
(t ) −cx
∗
2
(t ) ÷u
0
−u÷p
1
(t )u÷
p
2
(t )bx
∗
1
(t ) = ÷p
2
(t )bx
∗
1
(t ) ÷(p
1
(t ) −1)u for u in [0, u
0
] (where does not depend on u).
(ii) ˙ p
1
(t ) = −∂H
∗
/∂x
1
= −1 −bp
2
(t ), p
1
(T ) = 0 and ˙ p
2
(t ) = −∂H
∗
/∂x
2
= c, p
2
(T ) = 0
From (i) we see that p
1
(t ) > 1 ⇒ u
∗
(t ) = u
0
, p
1
(t ) < 1 ⇒ u
∗
(t ) = 0. Moreover, from (ii),
p
2
(t ) = c(t −T ), and ˙ p
1
(t ) = −1−bp
2
(t ) = −1−bc(t −T ), which gives p
1
(t ) = T −t −
1
2
bc(t −T )
2
=
−
1
2
bct
2
÷ (bcT − 1)t ÷ T −
1
2
bcT
2
, since p
1
(T ) = 0. Note that p
1
(t ) is a quadratic polynomial in t ,
with p
1
(0) = T (1 −
1
2
bcT ) and maximum at t
1
= T −1/bc (since ˙ p
1
(t
1
) = 0). The maximum value of
p
1
is p
1
(t
1
) = 1/2bc.
We restrict our attention to the main case bcT > 2 and 2bc < 1. (The other cases are much simpler.)
We then get p
1
(0) = T (1 −
1
2
bcT ) < 0, p
1
(t
1
) = 1/2bc > 1, p
1
(T ) = 0. The graph of p is shown in
Figure 10.2.5.
t
p
1
t
∗
t
∗∗
T
Figure 10.2.5
There will be two points t
∗
and t
∗∗
, such that 0 < t
∗
< t
∗∗
< T and p
1
(t
∗
) = p
1
(t
∗∗
) = 1. Now,
p
1
(t ) =
1
2
bct
2
−(bcT −1)t −T ÷
1
2
bcT
2
÷1 = 0 ⇐⇒ t = T −
1
bc
±
1
bc
√
1 −2bc
This gives
t
∗
= T −
1
bc
−
1
bc
√
1 −2bc , t
∗∗
= T −
1
bc
÷
1
bc
√
1 −2bc
The optimal control u
∗
and the corresponding x
∗
1
(t ) are given by
u
∗
(t ) =
⎧
⎨
⎩
0 for t in [0, t
∗
],
1 for t in (t
∗
, t
∗∗
]
0 for t in (t
∗∗
, T ]
, x
∗
1
(t ) =
⎧
⎨
⎩
x
0
1
for t in [0, t
∗
],
t −t
∗
÷x
0
1
for t in (t
∗
, t
∗∗
]
t
∗∗
−t
∗
÷x
0
1
for t in (t
∗∗
, T ]
The expression for x
∗
2
(t ) is somewhat messy:
x
∗
2
(t ) =
⎧
⎨
⎩
bx
0
1
t ÷x
0
2
for t in [0, t
∗
],
1
2
bt
2
÷b(x
0
1
−t
∗
)t ÷x
0
2
÷
1
2
b(t
∗
)
2
for t in (t
∗
, t
∗∗
]
b(t
∗∗
−t
∗
)t ÷bx
0
1
t ÷
1
2
b[(t
∗
)
2
−(t
∗∗
)
2
] ÷x
0
2
for t in (t
∗∗
, T ]
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
84 10 CONTROL THEORY WI TH MANY VARI ABL ES
10.2.7 There are two state variables and one control variable. We shall use Theorem10.1.2. The Hamiltonian
is H(t, x, y, u, p
1
, p
2
) = x ÷(p
1
÷p
2
−
1
2
)u. Suppose (x
∗
, y
∗
, u
∗
) is an admissible triple which solves
the problem. Then:
(i) For each t in [0, 2], u = u
∗
(t ) maximizes
H(t, x
∗
(t ), y
∗
(t ), u, p
1
(t ), p
2
(t )) = x
∗
(t ) ÷(p
1
(t ) ÷p
2
(t ) −
1
2
)u for u in [0, 1];
(ii) ˙ p
1
(t ) = −∂H
∗
/∂x = −1, ˙ p
2
(t ) = −∂H
∗
/∂y = 0;
(iii) (a) p
1
(2) = 0,
(b) p
2
(2) ≤ 0, and p
2
(2) = 0 if y
∗
(2) < 1;
(iv) ˙ x
∗
(t ) = u
∗
(t ), x
∗
(0) = 1, ˙ y
∗
(t ) = u
∗
(t ), y
∗
(0) = 0.
From (ii), ˙ p
1
= −1, and since p
1
(2) = 0, we have p
1
(t ) = 2 −t . Because ˙ p
2
= 0, p
2
(t ) = ¨ p
2
, where
¨ p
2
is a constant. Hence, p
1
(t ) ÷p
2
(t ) −
1
2
= 2−t ÷ ¨ p
2
−
1
2
= t
∗
−t, where t
∗
= 3/2÷ ¨ p
2
is a constant.
Condition (i) gives
u
∗
(t ) =
¸
1 if t < t
∗
0 if t > t
∗
If t
∗
= 2, then u
∗
(t ) ≡ 1 and y
∗
(t ) ≡ t , and then y
∗
(2) > 1, which is impossible.
If t
∗
= 0, then u
∗
(t ) ≡ 0 and y
∗
(t ) ≡ 0, which gives y
∗
(2) = 0 < 1. In this case ¨ p
2
= p
2
(2) = 0
because of (iii). Hence, t
∗
= 3/2, contradicting t
∗
= 0.
Thus we must have 0 < t
∗
< 2, and then x
∗
(t ) −1 = y
∗
(t ) = t for t ≤ t
∗
and x
∗
(t ) −1 = y
∗
(t ) = t
∗
for t > t
∗
. In particular, y
∗
(2) = t
∗
= 3/2 ÷ ¨ p
2
. It remains to determine ¨ p
2
and t
∗
. Since y
∗
(2) ≤ 1,
we must have 3/2 ÷ ¨ p
2
≤ 1, i.e. ¨ p
2
≤ −1/2 < 0. From (iii), y
∗
(2) = 1, and so ¨ p
2
= −1/2 and t
∗
= 1.
The Hamiltonian is concave in (x, y, u) (in fact linear), so we have found a solution:
u
∗
(t ) =
¸
1 if t ≤ 1
0 if t > 1
, x
∗
(t ) −1 = y
∗
(t ) =
¸
t if t ≤ 1
1 if t > 1
, p
1
(t ) = 2 −t, p
2
(t ) = −
1
2
10.3
10.3.1 The Hamiltonian H = (x −u)e
−rt
÷p(t )ue
−t
is concave in (x, u). If (x
∗
(t ), u
∗
(t )) is optimal, then
(i) u = u
∗
(t ) maximizes (e
−t
p(t ) −e
−rt
)u for u ∈ [0, 1];
(ii) ˙ p(t ) = −H
/
x
(t, x
∗
(t ), u
∗
(t ), p(t )) = −e
−rt
;
(iii) ˙ x
∗
(t ) = u
∗
(t )e
−t
, x
∗
(0) = x
0
≥ 0.
From (ii) we get p(t ) = (1/r)e
−rt
÷ C. There is no restriction on x(t ) as t → ∞, so we guess that
p(t ) →0 as t →∞. Then we must have C = 0, so p(t ) = (1/r)e
−rt
. With this choice of p(t ), we see
that u = u
∗
(t ) maximizes (1/r)e
−rt
(e
−t
−r)u for u ∈ [0, 1]. Thus, u
∗
(t ) = 1 if e
−t
> r and u
∗
(t ) = 0
if e
−t
< r. We have e
−t
∗
= r when t
∗
= −ln r, and then we see that (draw a picture!)
u
∗
(t ) =
¸
1 if t ∈ [0, −ln r]
0 if t ∈ (−ln r, ∞)
From (iii) we ﬁnd that x
∗
(t ) = x
0
÷1 −e
−t
in [0, −ln r], while x
∗
(t ) = x
0
÷1 −r in (−ln r, ∞). Note
that since ˙ x ≥ 0 for all t ≥ 0 and x(0) ≥ 0, we have x(t ) ≥ x
0
for all t ≥ 0.
We have p(t ) = e
−rt
/r ≥ 0, so according to Note 10.3.2 it remains only to verify (10.3.10a). In
fact, we see that lim
t →∞
p(t )(x
0
−x
∗
(t )) = lim
t →∞
(e
−rt
/r)(x
0
−x
0
−1 ÷r) = 0.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
10 CONTROL THEORY WI TH MANY VARI ABL ES 85
10.3.2 (a) The model is closely related to the model in Example 10.2.2. The Hamiltonian is H = x
2
e
−rt
÷
p
1
aux
1
÷p
2
a(1 −u)x
1
. If (x
∗
1
(t ), x
∗
2
(t ), u
∗
(t )) is optimal, then
(i) u = u
∗
(t ) maximizes ax
∗
1
(t )(p
1
(t ) −p
2
(t ))u for u ∈ [0, 1];
(ii) ˙ p
1
(t ) = −ap
1
(t )u
∗
(t ) −ap
2
(t )(1 −u
∗
(t )), ˙ p
2
(t ) = −e
−rt
;
(iii) ˙ x
∗
1
(t ) = au
∗
(t )x
∗
1
(t ), x
∗
1
(0) = x
0
1
> 0, ˙ x
∗
2
(t ) = a(1 −u
∗
(t ))x
∗
1
(t ), x
∗
2
(0) = 0.
From (ii) we get p
2
(t ) = e
−rt
/r ÷ C. There is no restriction on x
2
(t ) as t → ∞, so we guess that
p
2
(t ) →0 as t →∞. Then we must have C = 0, so p
2
(t ) = e
−rt
/r.
From (i) we see that
u
∗
(t ) =
¸
1 if p
1
(t ) > e
−rt
/r
0 if p
1
(t ) < e
−rt
/r
Suppose p
1
(0) > p
2
(0) = 1/r. Then u
∗
(t ) = 1 to the immediate right of t = 0 and ˙ p
1
(t ) = −ap
1
(t ), so
p
1
(t ) = p
1
(0)e
−at
> (1/r)e
−at
> (1/r)e
−rt
, since r > a, and we see that we must have p
1
(t ) > p
2
(t )
for all t ≥ 0. Then u
∗
(t ) ≡ 1 and from (iii) we have x
∗
2
(t ) ≡ 0, and the objective function is 0. This is
not the optimal solution. (In the terminology of Example 10.2.2 the total discounted consumption is 0.)
If p
1
(0) = p
2
(0), then ˙ p
1
(0) = −ap
2
(0) = −a/r > −1 = ˙ p
2
(0), and again we see that p
1
(t ) > p
2
(t )
for all t ≥ 0. Suppose p
1
(0) < 1/r. Then u
∗
(t ) = 0 for t close to 0. Let us see if we can have u
∗
(t ) = 0
for all t . Then ˙ p
1
(t ) = −ap
2
(t ) = −(a/r)e
−rt
and so p
1
(t ) = (a/r
2
)e
−rt
÷ D. Again we must
have D = 0 and then p
1
(t ) = (a/r
2
)e
−rt
< (1/r)e
−rt
= p
2
(t ). Finally, using (10.3.10(a)), we have
p
1
(t )(x
0
1
−x
∗
1
(t )) = 0 and p
2
(t )(0 −x
∗
2
(t )) = (1/r)e
−rt
(−ax
0
1
) →0 as t →∞. As in Example 10.2.2
the Arrow condition is satisﬁed, so we have found the optimal solution. Note that using the interpretation
in Example 10.2.2, in this case the discount factor r is so high that it is optimal with no further investment
in the investment sector, which leads to consumption increasing at a constant rate.
(b) Choose the control u(t ) = b/a, with 0 < r < b < a. Then u(t ) ∈ [0, 1] and we seek corresponding
admissible state variables. From ˙ x
1
(t ) = a(b/a)x
1
(t ) = bx
1
(t ), with x
1
(0) = x
0
1
, we ﬁnd x
1
(t ) = x
0
1
e
bt
.
Then ˙ x
2
(t ) = (a − b)x
0
1
e
bt
, so x
2
(t ) = (a − b)x
0
1
(1/b)e
bt
÷ C. With x
2
(0) = 0, we ﬁnd that C =
−(a −b)(1/b)x
0
1
, so x
2
(t ) = (a −b)(1/b)x
0
1
(e
bt
−1). Then the objective function is
∞
0
x
2
(t )e
−rt
dt =
∞
0
[(a − b)(1/b)x
0
1
e
(b−r)t
− e
−rt
] dt =
∞
0
[(a − b)(1/b)x
0
1
[(1/(b − r)]e
(b−r)t
÷ e
−rt
/r]. By using
0 < r < b < a we see that the integral diverges.
10.4
10.4.2 First we apply Theorem 10.4.1. The control region U = [0, 1] is convex and the condition in Note
10.4.2 is satisﬁed because [ux[ ≤ [x[ since [u[ ≤ 1. The set N(t, x) = {((1−u)x
2
÷γ, ux) : γ ≤ 0, u ∈
[0.1]} is convex (a rectangle) by the same argument as in Example 10.4.1. Thus there exists an optimal
control.
The Hamiltonian is H = (1 −u)x
2
÷pux = x
2
÷ux(p −x), and if (x
∗
(t ), u
∗
(t )) is optimal then:
(i) u = u
∗
(t ) maximizes x
∗
(t )(p(t ) −x
∗
(t ))u for u ∈ [0, 1];
(ii) ˙ p(t ) = −(H
/
x
)
∗
= −2(1 −u
∗
(t ))x
∗
(t ) −p(t )u
∗
(t ), p(1) = 0;
(iii) ˙ x
∗
(t ) = u
∗
(t )x
∗
(t ), x
∗
(0) = x
0
> 0.
From (iii) we see that ˙ x
∗
(t ) ≥ 0 so x
∗
(t ) ≥ x
0
> 0. Thus (i) implies that
u
∗
(t ) =
¸
1 if p(t ) > x
∗
(t )
0 if p(t ) < x
∗
(t )
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
86 10 CONTROL THEORY WI TH MANY VARI ABL ES
We claim that p(t ) is strictly decreasing. In fact, for those t where p(t ) > x
∗
(t ) we have u
∗
(t ) = 1 and
˙ p(t ) = −p(t ) < 0. For those t where p(t ) < x
∗
(t ) we have u
∗
(t ) = 0 and ˙ p(t ) = −2x
∗
(t ) < 0. Since
x
∗
(t ) is increasing from the level x
0
> 0 and p(t ) is strictly decreasing and is 0 at t = 1, we have to have
p(t ) < x
∗
(t ) in some interval (t
∗
, 1]. Then u
∗
(t ) = 0 in this interval.
If t
∗
= 0, then u
∗
(t ) ≡ 0, x
∗
(t ) ≡ x
0
, and ˙ p(t ) ≡ −2x
0
. Since p(1) = 0 we get p(t ) = 2x
0
(1 −t ).
But then p(0) = 2x
0
, contradicting p(0) ≤ x(0) = x
0
. With t
∗
> 0,
u
∗
(t ) =
¸
1 if t < t
∗
0 if t > t
∗
and x
∗
(t ) =
¸
x
0
e
t
if t < t
∗
x
0
e
t
∗
if t > t
∗
In (t
∗
, 1] we have ˙ p(t ) = −2x
∗
(t ) = −2x
0
e
t
∗
and p(1) = 0, so p(t ) = 2x
0
e
t
∗
(1 − t ). But at t
∗
we
have p(t
∗
) = x
∗
(t
∗
), so 2x
0
e
t
∗
(1 − t
∗
) = x
0
e
t
∗
, from which it follows that t
∗
= 1/2. We ﬁnd that
p(t ) = x
0
e
1−t
in [0, 1/2]. We have found the optimal solution.
10.4.3 The Hamiltonian is H = p
0
x
2
÷p(1 −u
2
). According to the maximum principle, if (x
∗
(t ), u
∗
(t ))
is an optimal pair, there exist a continuous and piecewise differentiable function p(t ) and a constant p
0
,
either 0 or 1, such that (p
0
, p(t )) ,= (0, 0) and
(i) u = u
∗
(t ) maximizes p
0
(x
∗
)
2
÷p(t )(1 −u
2
) for u ∈ [−1, 2];
(ii) ˙ p(t ) = −H
/
x
(t, x
∗
(t ), u
∗
(t ), p(t )) = −2p
0
x
∗
(t );
(iii) ˙ x
∗
(t ) = 1 −(u
∗
(t ))
2
, x
∗
(0) = x
∗
(1) = 4.
Suppose p
0
= 0. Then from (ii), p(t ) = ¨ p ,= 0, and u
∗
(t ) maximizes − ¨ pu
2
for u ∈ [−1, 2]. If ¨ p > 0,
then u
∗
(t ) ≡ 0 and ˙ x
∗
(t ) ≡ 1, so with x
∗
(0) = 4, x
∗
(t ) = t ÷4, and then x
∗
(1) ,= 4. On the other hand,
if ¨ p < 0, then u
∗
(t ) ≡ 2 and ˙ x
∗
(t ) ≡ −3, so with x
∗
(0) = 4, x
∗
(t ) = −3t ÷ 4, and then x
∗
(1) ,= 4.
Thus, assuming p
0
= 0 leads to contradictions, so p
0
= 1.
An optimal control u
∗
(t ) must maximize p(t )(1−u
2
) for u ∈ [−1, 2]. Then we see that if p(t ) > 0,
one should use u
∗
(t ) = 0, and if p(t ) < 0, then one should use u
∗
(t ) = 2. (In neither case should one
use u
∗
(t ) = −1!) From (iii) and u ∈ [−1, 2] we see that ˙ x
∗
(t ) is never less than −3. Since x
∗
(0) = 4,
it means that x
∗
(t ) is always ≥ 1. (Formally, x
∗
(t ) − x
∗
(0) =
t
0
˙ x
∗
(τ) dτ ≥
t
0
(−3) dτ = −3t , so
x
∗
(t ) ≥ x
∗
(0) −3t = 4 −3t , which is ≥ 1 in [0, 1].) From (ii) it follows that ˙ p(t ) = −2x
∗
(t ) < 0, so
p(t ) is strictly decreasing.
Suppose p(t ) < 0 for all t ∈ [0, 1]. Then u
∗
(t ) ≡ 2 and we get a contradiction to x
∗
(1) = 4. If
p(t ) > 0 for all t ∈ [0, 1], then u
∗
(t ) ≡ 0 and again we get a contradiction to x
∗
(1) = 4. We conclude
that the strictly decreasing function p(t ) is > 0 in some interval [0, t
∗
] and < 0 in (t
∗
, 1]. Then
u
∗
(t ) =
¸
0 if t ∈ [0, t
∗
]
2 if t ∈ (t
∗
, 1]
In [0, t
∗
] we have ˙ x
∗
(t ) = 1 and since x
∗
(0) = 4, x
∗
(t ) = t ÷ 4. In (t
∗
, 1] we have ˙ x
∗
(t ) = −3, and
since x
∗
(1) = 4, we have x
∗
(t ) = −3t ÷ 7. Now p(t ) is continuous at t
∗
, so t
∗
÷ 4 = −3t
∗
÷ 7, so
t
∗
= 3/4.
It remains to ﬁnd p(t ). On [0, 3/4] we have ˙ p(t ) = −2x
∗
(t ) = −2t −8, and so p(t ) = −t
2
−8t ÷C.
Since p(3/4) = 0, C = 105/16. In (3/4, 1] we have ˙ p(t ) = −2x
∗
(t ) = 6t − 14, and so p(t ) =
3t
2
− 14t ÷ D. Since p(3/4) = 0, D = 141/16. The answer is summed up in the answer in the book.
(Note the misprint in line 3 of the answer to Problem 10.4.3 in the book: . . . When u = 2, ˙ x = −3 . . . )
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
10 CONTROL THEORY WI TH MANY VARI ABL ES 87
10.6
10.6.1 (a) H = −
1
2
u
2
−x −pu and L = H ÷q(x −u). H is concave in (x, u) and h(t, x, u) = x −u is
linear and therefore quasiconcave. The conditions in Theorem 10.6.1 are
(i) ∂L
∗
/∂u = −u
∗
(t ) −p(t ) −q(t ) = 0;
(ii) q(t ) ≥ 0 (= 0 if x
∗
(t ) > u
∗
(t ));
(iii) ˙ p(t ) = 1 −q(t ), with p(2) = 0.
(b) In [0, t
∗
] we have x
∗
(t ) = u
∗
(t ), so ˙ x
∗
(t ) = −u
∗
(t ) = −x
∗
(t ), and with x
∗
(0) = 1 we get x
∗
(t ) =
u
∗
(t ) = e
−t
. From (i) we have q(t ) = −u
∗
(t ) −p(t ) = −e
−t
−p(t ), so (iii) gives ˙ p(t ) = 1 −q(t ) =
1÷e
−t
÷p(t ). This linear differential equation has the solution p(t ) = Ae
t
−1−
1
2
e
−t
. Fromthe argument
in the problem, q(t
∗ −
) = 0. Thus q(t
∗ −
) = −e
−t
∗
−p(t
∗
) = 0, so p(t
∗
) = −e
−t
∗
= Ae
t
∗
−1 −
1
2
e
−t
∗
,
or Ae
t
∗
= 1 −
1
2
e
−t
∗
.
In (t
∗
, 1] we have q(t ) = 0 and ˙ p(t ) = 1, and since p(2) = 0, we get p(t ) = t −2. Then from (i),
u
∗
(t ) = −p(t ) = 2 −t , and so ˙ x
∗
(t ) = t −2 and then x
∗
(t ) =
1
2
t
2
−2t ÷B. In particular, since x
∗
(t )
is continuous at t
∗
, x
∗
(t
∗
) =
1
2
(t
∗
)
2
− 2t
∗
÷ B = e
−t
∗
. This gives B = e
−t
∗
−
1
2
(t
∗
)
2
÷ 2t
∗
. Finally,
since p(t ) is continuous at t
∗
, we have t
∗
−2 = Ae
t
∗
−1 −
1
2
e
−t
∗
= 1 −
1
2
e
−t
∗
−1 −
1
2
e
−t
∗
= −e
−t
∗
,
so e
−t
∗
= 2 − t
∗
. By using this relationship you will see that the values of A and B are the same as in
the answer in the book.
10.6.2 This is a problemof the form(10.6.1)–(10.6.4). The Lagrangian (10.6.5) is here L = H÷q(x−u) =
x −
1
2
u
2
÷ pu ÷ q(x − u). Note that the Hamiltonian H = x −
1
2
x
2
÷ pu is concave (in fact linear)
in (x, u) and that h = x − u is quasiconcave (in fact linear) in (x, u). According to Theorem 10.6.1,
the following conditions are sufﬁcient for (x
∗
(t ), u
∗
(t )) to be optimal: There exist a continuous function
p(t ) and a piecewise continuous function q(t ) such that
(i) ∂L
∗
/∂u = −u
∗
(t ) ÷p(t ) −q(t ) = 0;
(ii) q(t ) ≥ 0, with q(t ) = 0 if x
∗
(t ) > u
∗
(t );
(iii) ˙ p(t ) = −∂L
∗
/∂x = −1 −q(t ), p(2) = 0;
(iv) ˙ x
∗
(t ) = u
∗
(t ), x
∗
(0) = 1.
We guess that u
∗
(t ) = x
∗
(t ) on some interval [0, t
∗
], and then (iv) gives ˙ x
∗
(t ) = x
∗
(t ), with x
∗
(0) = 1,
so x
∗
(t ) = e
t
= u
∗
(t ). Then from (i) we have q(t ) = p(t ) − e
t
, and (iii) gives ˙ p(t ) = −1 − q(t ) =
−1 − p(t ) ÷ e
t
, or ˙ p(t ) ÷ p(t ) = −1 ÷ e
t
. The solution of this linear differential equation is p(t ) =
Be
−t
÷
1
2
e
t
−1, and then q(t ) = Be
−t
÷
1
2
e
t
−1 −e
t
= Be
−t
−
1
2
e
t
−1.
On (t
∗
, 2] we guess that x
∗
(t ) > u
∗
(t ). Then from (ii) we have q(t ) = 0, and so (iii) gives p(t ) =
2−t . Then from(i) u
∗
(t ) = p(t ) −q(t ) = 2−t , and (iv) gives ˙ x
∗
(t ) = 2−t , so x
∗
(t ) = −
1
2
t
2
÷2t ÷A.
Since x
∗
(t ) is continuous at t
∗
, we have −
1
2
(t
∗
)
2
÷ 2t
∗
÷ A = e
t
∗
, so A = e
t
∗
÷
1
2
(t
∗
)
2
− 2t
∗
. Since
p(t ) is also continuous at t
∗
, we get Be
−t
∗
÷
1
2
e
t
∗
− 1 = 2 − t
∗
, so Be
−t
∗
= −
1
2
e
t
∗
÷ 3 − t
∗
. Finally,
since q(t
∗−
) = 0 (see the argument in the previous problem), we get Be
−t
∗
=
1
2
e
t
∗
÷ 1. From the last
two equalities we get e
t
∗
= 2 −t
∗
, i.e. t
∗
≈ 0.44. To conﬁrm that all the conditions (i)–(iv) are satisﬁed,
we should verify that q(t ) = (
1
2
e
2t
∗
÷e
t
∗
)e
−t
−
1
2
e
t
−1 is nonnegative in [0, t
∗
]. This is the case because
we ﬁnd that ˙ q(t ) < 0 and q(t
∗
) = 0. The solution is summed up in the answer in the book.
10.6.3 Note that there are two constraints, h
1
= u − c ≥ 0 and h
2
= ax − u ≥ 0. The Lagrangian is
L = H ÷ q
1
(u − c) ÷ q
2
(ax − u) = u ÷ p(ax − u) ÷ q
1
(u − c) ÷ q
2
(ax − u). The Hamiltonian is
concave (in fact linear) in (x, u) and h
1
and h
2
are quasiconcave (in fact linear) in (x, u). According to
Theorem10.6.1, the following conditions are sufﬁcient for an admissible pair (x
∗
(t ), u
∗
(t )) to be optimal:
There exist a continuous function p(t ) and piecewise continuous functions q
1
(t ) and q
2
(t ) such that
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
88 10 CONTROL THEORY WI TH MANY VARI ABL ES
(i) ∂L
∗
/∂u = 1 −p(t ) ÷q
1
(t ) −q
2
(t ) = 0;
(ii) q
1
(t ) ≥ 0, with q
1
(t ) = 0 if u
∗
(t ) > c;
(iii) q
2
(t ) ≥ 0, with q
2
(t ) = 0 if ax
∗
(t ) > u
∗
(t );
(iv) ˙ p(t ) = −∂L
∗
/∂x = −ap(t ) −aq
2
(t );
(v) p(T ) ≥ 0 with p(T ) = 0 if x
∗
(T ) > x
T
;
(vi) ˙ x
∗
(t ) = ax
∗
(t ) −u
∗
(t ), x
∗
(0) = x
0
, x
∗
(T ) ≥ x
T
;
(vii) c ≤ u
∗
(t ) ≤ ax
∗
(t )
In the similar model in Example 10.6.2 it was optimal to start out with u
∗
(t ) = c in an initial interval,
and then keep x
∗
(t ) constant, so let us try the same here:
u
∗
(t ) =
¸
c if t ∈ [0, t
/
]
ax
∗
(t ) if t ∈ (t
/
, T ]
, then x
∗
(t ) =
¸
(x
0
−c/a)e
at
÷c/a if t ∈ [0, t
/
]
(x
0
−c/a)e
at
/
÷c/a if t ∈ (t
/
, T ]
(viii)
In the interval [0, t
/
] we have u
∗
(t ) < ax
∗
(t ) because c < (ax
0
−c)e
at
÷c, and then (iii) gives q
2
(t ) = 0,
so we have ˙ p(t ) = −ap(t ). In the interval (t
/
, T ] we have u
∗
(t ) = ax
∗
(t ) = (ax
0
−c)e
at
/
÷c > c, so
according to (ii), q
1
(t ) = 0. Then (i) gives q
2
(t ) = 1 −p(t ), which inserted into (iv) gives ˙ p(t ) = −a.
We claim moreover that p(t
/
) must be 1. In fact from (i), since q
2
(t
/−
) = 0, we have 1 − p(t
/−
) =
−q
1
(t
/−
) ≤ 0 and since q
1
(t
/÷
) = 0, we have 1 − p(t
/÷
) = q
2
(t
/÷
) ≥ 0. Because p(t ) is continuous,
p(t
/
) = 1. Then we get
˙ p(t ) =
¸
−ap if t ∈ [0, t
/
]
−a if t ∈ (t
/
, T ]
and p(t
/
) = 1 ⇒ p(t ) =
¸
e
−a(t −t
/
)
if t ∈ [0, t
/
]
a(t
/
−t ) ÷1 if t ∈ (t
/
, T ]
(ix)
The corresponding values of q
1
(t ) and q
2
(t ) are
q
1
(t ) =
¸
e
−a(t −t
/
)
−1 if t ∈ [0, t
/
]
0 if t ∈ (t
/
, T ]
, q
2
(t ) =
¸
0 if t ∈ [0, t
/
]
a(t −t
/
) if t ∈ (t
/
, T ]
(x)
Case A: x
∗
(T ) > x
T
. Then p(T ) = 0 and thus a(t
/
− T ) ÷ 1 = 0, so t
/
= t
A
, where t
A
= T − 1/a.
The optimal solution is given by (viii), p(t ) by (ix), and q
1
(t ) and q
2
(t ) by (x), all with t
/
replaced by
T − 1/a. It is a useful exercise to check that all the conditions in (i)–(vii) are satisﬁed. In particular,
check that q
1
(t ) and q
2
(t ) are both ≥ 0. We must also check that x
∗
(T ) > x
T
. We see from (viii) that
this is equivalent to (x
0
−c/a)e
a(T −1/a)
÷c/a > x
T
, or t
A
> t
B
, with t
B
deﬁned in (xi) below.
Case B: x
∗
(T ) = x
T
. Then from (viii) we get (x
0
− c/a)e
at
/
÷ c/a = x
T
, which solved for t
/
gives
t
/
= t
B
, where
t
B
=
1
a
ln
x
T
−c/a
x
0
−c/a
(xi)
Note that from (v) we need to have p(T ) ≥ 0. The formula for p(t ) in (ix) gives a(t
b
−T ) ÷1 ≥ 0, or
t
B
≥ t
A
. The solution with t
/
= t
B
is valid if the last inequality is satisﬁed.
The ﬁnal conclusion is given in the answer in the book. (In line 2 of the answer to Problem 10.6.3,
replace x
∗
by x
∗
and t
∗
by t
/
.)
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
10 CONTROL THEORY WI TH MANY VARI ABL ES 89
10.6.4 The Lagrangian is L = H ÷ q
1
(1 − u) ÷ q
2
(1 ÷ u) ÷ q
3
(2 − x − u) = x ÷ p(x ÷ u) ÷ q
1
(1 −
u) ÷q
2
(1 ÷u) ÷q
3
(2 −x −u). The Hamiltonian H = x ÷p(x ÷u) is concave (in fact linear) in (x, u)
and h
1
= 1 −u, h
2
= 1 ÷u, and h
3
= 2 −x −u are quasiconcave (in fact linear) in (x, u). According
to Theorem 10.6.1, the following conditions are sufﬁcient for (x
∗
(t ), u
∗
(t )) to be an optimal pair: there
exist a continuous function p(t ) and piecewise continuous functions q
1
(t ), q
2
(t ), and q
3
(t ), such that
(i) ∂L
∗
/∂u = p(t ) −q
1
(t ) ÷q
2
(t ) −q
3
(t ) = 0;
(ii) q
1
(t ) ≥ 0, with q
1
(t ) = 0 if u
∗
(t ) < 1;
(iii) q
2
(t ) ≥ 0, with q
2
(t ) = 0 if u
∗
(t ) > −1;
(iv) q
3
(t ) ≥ 0, with q
3
(t ) = 0 if u
∗
(t ) ÷x
∗
(t ) < 2;
(v) ˙ p(t ) = −∂L
∗
/∂x = −1 −p(t ) ÷q
3
(t ), p(1) = 0;
(vi) ˙ x
∗
(t ) = x
∗
(t ) ÷u
∗
(t ), x
∗
(0) = 0, i.e. (x
∗
, u
∗
) is admissible.
If we disregard the constraint x ÷u ≤ 2, this is the problem solved in Example 9.4.1, whose solution was
(x(t ), u(t )) = (e
t
−1, 1). Note that in this case x(t ) ÷u(t ) = e
t
≤ 2 as long as t ≤ ln 2. We guess that
this is the optimal solution on the interval [0, ln 2] in the present problem too. In fact, we will try to guess
the optimal solution and then verify its optimality by checking that all the conditions (i)–(vi) are satisﬁed.
So we start out with (x
∗
(t ), u
∗
(t )) = (e
t
−1, 1) on [0, ln 2]. At t = ln 2 we have x
∗
(ln 2) = e
ln 2
−1 = 1,
and, looking at the objective function, for t > ln 2 it seems optimal to increase x(t ) as fast as the constraint
x ÷ u ≤ 2 allows, i.e. putting ˙ x
∗
(t ) = u
∗
(t ) ÷ x
∗
(t ) = 2, as long as the h
1
and h
2
constraints are not
violated. Now, with ˙ x
∗
(t ) = 2 on [ln 2, 1], and x
∗
(ln 2) = 1, we get x
∗
(t ) = 2t ÷ 1 − 2 ln 2. Then
u
∗
(t ) = 2 − x
∗
(t ) = 1 ÷ 2 ln 2 − 2t , and it is easy to verify that u
∗
(t ) = 1 ÷ 2 ln 2 − 2t takes values
in (−1, 1) when t ∈ (ln 2, 1]. The suggestion we have for an optimal solution is therefore: In [0, ln 2],
(x
∗
(t ), u
∗
(t )) = (e
t
−1, 1), in (ln 2, 1], (x
∗
(t ), u
∗
(t )) = (2t ÷1 −2 ln 2, 1 ÷2 ln 2 −2t ).
We knowthat the suggestedsolutionis admissible. It remains toﬁndappropriate multipliers satisfying
(i)–(v).
In the interval (ln 2, 1], u
∗
(t ) ∈ (−1, 1), so from (ii) and (iii), q
1
(t ) = q
2
(t ) = 0. Then (i) gives
p(t ) = q
3
(t ) and from (v), ˙ p(t ) = −1 with p(1) = 0, so p(t ) = 1 −t . In particular, p(ln 2) = 1 −ln 2.
In the interval [0, ln 2), u
∗
(t ) = 1 > −1 and x
∗
(t ) ÷ u
∗
(t ) = e
t
< 2. Then from (iii) and (iv),
q
2
(t ) = q
3
(t ) = 0. Then (v) gives ˙ p(t ) = −1 −p(t ). Solving the linear differential equation on [0, ln 2]
with p(ln 2) = 1 − ln 2 gives p(t ) = (4 − 2 ln 2)e
−t
− 1. Then from (i), q
1
(t ) = p(t ). The complete
suggestion for an optimal solution is therefore:
u
∗
(t ) x
∗
(t ) p(t ) q
1
(t ) q
2
(t ) q
3
(t )
t ∈ [0, ln 2] e
t
−1 1 (4 −2 ln 2)e
−t
−1 (4 −2 ln 2)e
−t
−1 0 0
t ∈ (ln 2, 1] 2t ÷1 −2 ln 2 1 ÷2 ln 2 −2t 1 −t 0 0 1 −t
Having checked that (x
∗
(t ), u
∗
(t )) satisﬁes all the conditions (i)–(vi), we conclude that (x
∗
(t ), u
∗
(t )) is
optimal. Note that q
1
(t ) and q
3
(t ) have jump discontinuities at t = ln 2.
10.7
10.7.1 We maximize
5
0
(−u −x) dt , so the Lagrangian is L = H ÷qx = −u −x ÷p(u −t ) ÷qx. Here
H is concave in (x, u) and h(t, x) = x is quasiconcave, so by Theorem 10.7.1, the conditions (i)–(vi)
below are sufﬁcient for (x
∗
(t ), u
∗
(t )) to be optimal:
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
90 10 CONTROL THEORY WI TH MANY VARI ABL ES
(i) u = u
∗
(t ) maximizes −u −x
∗
(t ) ÷p(t )(u −t ) = −x
∗
(t ) −tp(t ) ÷u(p(t ) −1) for u ≥ 0;
(ii) q(t ) ≥ 0, with q(t ) = 0 if x
∗
(t ) > 0;
(iii) ˙ p(t ) = −∂L
∗
/∂x = 1 −q(t ), p(5) = 0;
(iv) p(5
−
) −p(5) = β;
(v) β ≥ 0, with β = 0 if x
∗
(5) > 0;
(vi) ˙ x
∗
(t ) = u
∗
(t ) −t , x
∗
(0) = 1.
Since we want to keep x
∗
(t ) down, we put u
∗
(t ) = 0 in some interval [0, t
∗
]. Then ˙ x
∗
(t ) = −t with
x
∗
(0) = 1, so x
∗
(t ) = −
1
2
t
2
÷ 1. We see that x
∗
(t ) is decreasing and is 0 at t
∗
=
√
2. In [0,
√
2) we
have by (ii), q(t ) = 0. Then (iii) gives ˙ p(t ) = 1, and thus p(t ) = t ÷A, for some constant A.
In order still to keep x
∗
(t ) down, we try u
∗
(t ) = t in (
√
2, 5]. Then ˙ x
∗
(t ) = 0 and thus x
∗
(t ) =
x
∗
(
√
2) = 0. For u
∗
(t ) = t to be the maximizer in (i) one has to have p(t ) = 1, in particular p(5
−
) = 1.
Since p(t ) is continuous at t =
√
2, we have
√
2 ÷A = 1, so A = 1 −
√
2. From (iii) we get q(t ) = 1.
Finally, since p(5) = 0, (iv) gives β = 1. Now all the conditions (i)–(vi) are satisﬁed, so (x
∗
(t ), u
∗
(t ))
is optimal.
10.7.2 The Lagrangian is L = H ÷qx = 1 −x ÷pu÷qx. Here H is concave in (x, u) and h(t, x) = x is
quasiconcave, and the conditions (i)–(vi) below are therefore sufﬁcient for (x
∗
(t ), u
∗
(t )) to be optimal:
(i) u = u
∗
(t ) maximizes 1 −x
∗
(t ) ÷p(t )u for u ∈ [−1, 1];
(ii) q(t ) ≥ 0, with q(t ) = 0 if x
∗
(t ) > 0;
(iii) ˙ p(t ) = −∂L
∗
/∂x = 1 −q(t ), p(2) = 0;
(iv) p(2
−
) −p(2) = β;
(v) β ≥ 0, with β = 0 if x
∗
(2) > 0;
(vi) ˙ x
∗
(t ) = u
∗
(t ), x
∗
(0) = 1.
We start by putting u
∗
(t ) = −1. Then x
∗
(t ) = 1 −t is decreasing and is 0 at t
∗
= 1. In [0, 1) we have
by (ii), q(t ) = 0. Then (iii) gives ˙ p(t ) = 1, and thus p(t ) = t ÷A, for some constant A.
In order still to keep x
∗
(t ) down put u
∗
(t ) = 0 in (1, 2]. Then with x
∗
(1) = 0 we get x
∗
(t ) = 0. For
u
∗
(t ) = 0 to be the maximizer in (i) for t ∈ (1, 2), one has to have p(t ) = 0, in particular p(2
−
) = 0.
Then since p(2) = 0, we get from (iv) that β = 0. Since p(t ) is continuous at t = 1, p(1) = 1 ÷A = 0,
so A = −1. Finally, from (iii) we get q(t ) = 1. Now all the conditions (i)–(vi) are satisﬁed, so the
optimal solution is:
(x
∗
(t ), u
∗
(t ), p(t )) =
¸
(1 −t, −1, t −1) if t ∈ [0, 1]
(0, 0, 0) if t ∈ (1, 2]
, q(t ) =
¸
0 if t ∈ [0, 1]
1 if t ∈ (1, 2]
with β = 0.
10.7.3 The Lagrangian is L = H ÷qx = −u
2
−x ÷pu÷qx. Here H is concave in (x, u) and h(t, x) = x
is quasiconcave, so the conditions (i)–(vi) below are therefore sufﬁcient for (x
∗
(t ), u
∗
(t )) to be optimal:
(i) u = u
∗
(t ) maximizes −x
∗
(t ) ÷p(t )u −u
2
for u ∈ ޒ;
(ii) q(t ) ≥ 0, with q(t ) = 0 if x
∗
(t ) > 0;
(iii) ˙ p(t ) = −∂L
∗
/∂x = 1 −q(t ), p(10) = 0;
(iv) p(10
−
) −p(10) = β;
(v) β ≥ 0, with β = 0 if x
∗
(10) > 0;
(vi) ˙ x
∗
(t ) = u
∗
(t ), x
∗
(0) = 1.
Since H is concave in u and u ∈ ޒ, (i) is equivalent to (H
/
u
)
∗
= p(t ) − 2u
∗
(t ) = 0, so u
∗
(t ) =
1
2
p(t ).
We have x
∗
(0) = 1. Let [0, t
∗
] be the maximal interval where x
∗
(t ) > 0. Then from (ii), q(t ) = 0,
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
10 CONTROL THEORY WI TH MANY VARI ABL ES 91
and (iii) gives ˙ p(t ) = 1, and thus p(t ) = t ÷ A. Then u
∗
(t ) =
1
2
(t ÷ A) and ˙ x
∗
(t ) =
1
2
(t ÷ A), so
x
∗
(t ) =
1
4
(t ÷ A)
2
÷ B. Since x
∗
(0) = 1, B = −
1
4
A
2
÷ 1. If t
∗
= 10, then p(t ) = t − 10 since
p(10) = 0, and u
∗
(t ) =
1
2
(t − 10) < 0 for t < 10, contradicting u
∗
(t ) ≥ 0. Thus t
∗
< 10 and
x
∗
(t
∗
) = 0, and so x
∗
(t
∗
) =
1
4
(t
∗
÷ A)
2
−
1
4
A
2
÷ 1 = 0. The function x
∗
(t ) must have a minimum at
t
∗
so ˙ x
∗
(t
∗
) =
1
2
(t
∗
÷A) = 0, and so A = −t
∗
< 0. Hence x
∗
(t
∗
) = 1 −
1
4
A
2
= 0, so A = −2. With
p(t ) = t −2 we have u
∗
(t ) =
1
2
(t −2), and x
∗
(t ) =
1
4
(t −2)
2
in [0, 2].
Looking at the objective function, when x
∗
(t ) has become 0, it is obvious that we need to keep
u
∗
(t ) = 0 on (2, 10]. So u
∗
(t ) = x
∗
(t ) = 0, and then p(t ) = 0. Then from (iii), q(t ) = 1 and (iv) gives
β = p(10
−
) = 0 since p(10) = 0. Now all the conditions (i)–(vi) are satisﬁed, so the optimal solution is
(x
∗
(t ), u
∗
(t ), p(t )) =
¸
(
1
4
(t −2)
2
,
1
2
(t −2), t −2) if t ∈ [0, 2]
(0, 0, 0) if t ∈ (2, 10]
, q(t ) =
¸
0 if t ∈ [0, 2]
1 if t ∈ (2, 10]
with β = 0.
10.7.4 (a) The Hamiltonian H = (4 − t )u ÷ pu is concave in (x, u), so the following conditions are
sufﬁcient for (x
∗
(t ), u
∗
(t )) to be optimal:
(i) u = u
∗
(t ) maximizes
p(t ) −(t −4)
u for u ∈ [0, 2];
(ii) ˙ p(t ) = −∂H
∗
/∂x = 0;
(iii) ˙ x
∗
(t ) = u
∗
(t ), x
∗
(0) = 1, x
∗
(3) = 3.
From (ii) we get p(t ) = ¨ p for some constant ¨ p. Condition (i) implies that we must have u
∗
(t ) = 2 if
¨ p > t − 4 and u
∗
(t ) = 0 if ¨ p < t − 4. If ¨ p < t − 4 for all t in [0, 3], then u
∗
(t ) ≡ 0, and from (iii)
we have x
∗
(t ) ≡ 1, contradicting x
∗
(3) = 3. In the same way we see that ¨ p > t − 4 for all t in [0, 3]
is impossible. Hence we have to choose u
∗
(t ) = 2 in some interval [0, t
∗
] and u
∗
(t ) = 0 in (t
∗
, 3], with
t
∗
− 4 = ¨ p. Now from (iii) we have x
∗
(t ) = 2t ÷ 1 in [0, t
∗
], and x
∗
(t ) = 2t
∗
÷ 1 in (t
∗
, 3]. Since
x
∗
(3) = 2t
∗
÷ 1 = 3, we see that t
∗
= 1, and then p(t ) = ¨ p = t
∗
− 4 = −3. It is clear that we have
found the optimal solution, since all the conditions (i)–(iii) are satisﬁed.
(b) The Lagrangian is L = H ÷q(t ÷1 −x) = (4 −t )u ÷pu ÷q(t ÷1 −x). Here H is concave in
(x, u) and h(t, x) = t ÷1 −x is quasiconcave, so the conditions (i) and (iii) in (a) in addition to
(ii)
/
q(t ) ≥ 0, with q(t ) = 0 if t ÷1 > x
∗
(t ),
(iii)
/
˙ p(t ) = −∂L
∗
/∂x = q(t ),
(iv) p(3
−
) −p(3) = −β,
(v) β ≥ 0, with β = 0 if 4 −x
∗
(3) > 0,
are sufﬁcient for (x
∗
(t ), u
∗
(t )) to be optimal.
The objective function indicates that we should keep u
∗
(t ) as large as possible, especially at the
beginning. But having u
∗
(t ) larger than 1 will cause x
∗
(t ) to violate the constraint x ≤ t ÷ 1, so we
suggest u
∗
(t ) = 1, and then x
∗
(t ) = t ÷1 in some interval [0, t
∗
]. Note that according to (i), u
∗
(t ) = 1
can only maximize the Hamiltonian in [0, t
∗
] provided p(t ) = t −4. From (iii)
/
we further get q(t ) = 1
in [0, t
∗
]. With x
∗
(t ) = t ÷1 we get x
∗
(2) = 3, and since x
∗
(3) = 3 and ˙ x
∗
(t ) ≥ 0, we must have t
∗
≤ 2.
In fact, we suggest t
∗
= 2 and then u
∗
(t ) = 0 in (2, 3]. From ˙ x
∗
(t ) ≥ 0, we get x
∗
(t ) ≤ x
∗
(3) = 3 and
then h(t, x
∗
(t )) = t ÷1−x
∗
(t ) ≥ t −2. It follows that h(t, x
∗
(t )) > 0 for t in (2, 3]. But by (ii)
/
we have
q(t ) = 0 in (2, 3]. Then (iii)
/
yields p(t ) = ¨ p for some constant ¨ p. Since p(t ) is continuous at t = 2,
p(2
−
) = 2 −4 = −2 = ¨ p. It remains to determine β. We see that h(3, x
∗
(3)) = 3 ÷1 −3 = 1 > 0, so
from (v) we get β = 0, and (iv) gives p(3
−
) = p(3) = −2.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
92 11 DI F F ERENCE EQUATI ONS
The optimal solution is spelled out the answer in the book. It is a useful exercise to check carefully
that all the conditions (i), (ii)
/
, (iii)
/
, (iv), and (v) are now satisﬁed. Note in particular that for t in (2, 3]
the expression (p(t ) −(t −4))u = (−2 −(t −4))u = (2 −t )u is maximized by u = u
∗
(t ) = 0, since
2 −t is negative in (2, 3].
11 Difference Equations
11.1
11.1.2 In parts (a)–(f) the solution is given by x
t
= a
t
(x
0
− x
∗
) ÷ x
∗
, cf. formula (11.1.5). In (g)–(i) the
solution is x
t
= x
0
÷t b.
(a) Since 0 < a < 1, the power a
t
decreases monotonically towards 0 as a limit as t → ∞. Because
x
0
−x
∗
< 0 it follows that x
t
will increase monotonically towards the limit x
∗
.
(b) a
t
alternates between negative and positive values and tends to 0. We get damped oscillations around
the limit x
∗
.
(c) x
t
increases monotonically and faster and faster towards ∞.
(d) Since a < −1, the powers a
t
alternate between negative and positive values, while [a
t
[ tends to ∞
as t →∞. Thus we get explosive oscillations about x
∗
.
(e) The solution is constant, x
t
= x
∗
for all t .
(f) Oscillations around x
∗
with constant amplitude.
(g) x
t
= x
0
÷t b increases (linearly) towards ∞.
(h) The solution is monotonically (linearly) decreasing towards −∞.
(i) x
t
= x
0
for all t .
11.2
11.2.3 (a) Let the remaining debt on 1 January in year n be L
n
. Then L
0
= L. Since the payment on the
principal in year n is L
n−1
−L
n
and the interest is rL
n−1
, we have L
n−1
−L
n
=
1
2
rL
n−1
, n = 1, 2, . . . .
The solution is L
n
= (1 −
1
2
r)
n
L.
(b) (1 −
1
2
r)
10
L =
1
2
L implies that r = 2 −2 · 2
−1/10
≈ 0.133934
(c) The payment in year n will be L
n−1
− L
n
÷ rL
n−1
=
3
2
rL
n−1
=
3
2
r(1 −
1
2
r)
n−1
L. The loan will
never be completely paid since L
n
> 0 for all n (but it does tend to 0 in the limit as n →∞).
11.2.4 Let r
t
be the interest rate in period t , a
t
the repayment, and b
t
the outstanding balance. Then b
t ÷1
=
(1 ÷r
t
)b
t
−a
t ÷1
, where b
0
= K. We get
b
1
= (1 ÷r
0
)b
0
−a
1
= (1 ÷r
0
)K −a
1
b
2
= (1 ÷r
1
)b
1
−a
2
= (1 ÷r
1
)(1 ÷r
0
)K −(1 ÷r
1
)a
1
−a
2
b
3
= (1 ÷r
2
)b
2
−a
3
= (1 ÷r
2
)(1 ÷r
1
)(1 ÷r
0
)K −(1 ÷r
2
)(1 ÷r
1
)a
1
−(1 ÷r
2
)a
2
−a
3
· · · · · · · · ·
The pattern is clear, and it can be shown by induction that
b
t
=
t −1
¸
s=0
(1 ÷r
s
)K −
t −1
¸
s=1
¸
t −1
¸
k=s
(1 ÷r
k
)a
s
¸
−a
t
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
11 DI F F ERENCE EQUATI ONS 93
It is reasonable to suppose that if the interest rate changes, then the repayments also change to ensure
that b
t ÷1
< b
t
, i.e. a
t ÷1
> r
t
b
t
. If the repayment in period t ÷1 is less than the interest accrued during
period t , i.e. if a
t ÷1
< r
t
b
t
, then the outstanding debt will increase, and if this situation continues, the
loan will never be paid off.
11.3
11.3.1 (a) x
t ÷1
= A÷B 2
t ÷1
= A÷2B 2
t
and x
t ÷2
= A÷B 2
t ÷2
= A÷4B 2
t
, so x
t ÷2
−3x
t ÷1
÷2x
t
=
A ÷4B 2
t
−3A −6B 2
t
÷2A ÷2B 2
t
= 0 for all t .
(Section 11.4 shows how to ﬁnd this solution, in the form x
t
= A1
t
÷B 2
t
.)
(b) With x
t
= A3
t
÷B4
t
we get x
t ÷1
= 3A3
t
÷4B4
t
, x
t ÷2
= 9A3
t
÷16B4
t
, and x
t ÷2
−7x
t ÷1
÷12x
t
=
9A3
t
÷16B4
t
−21A3
t
−28B4
t
÷12A3
t
÷12B4
t
= 0.
11.3.5 We shall prove that
u
(1)
t
and u
(2)
t
are linearly dependent ⇐⇒
u
(1)
0
u
(2)
0
u
(1)
1
u
(2)
1
= 0
Proof of ⇒: If the solutions u
(1)
t
and u
(2)
t
are linearly dependent, then there exist constants c
1
and c
2
, not
both equal to 0, such that c
1
u
(1)
t
÷c
2
u
(2)
t
= 0 for all t . This holds, in particular, for t = 0 and t = 1, and
so the columns of the determinant above are linearly dependent, and the determinant must be 0.
Proof of ⇐: If the determinant is zero, the columns are linearly dependent, so there exist constants c
1
and c
2
, not both 0, such that
c
1
u
(1)
t
÷c
2
u
(1)
t
= 0 (∗)
for t = 0 and for t = 1. Now suppose that (∗) holds for t = 0, 1, . . . , T − 1, where T is some integer
greater than 1. Then
c
1
u
(1)
T
÷c
2
u
(2)
T
= −a
t
¸
c
1
u
(1)
T −1
÷c
2
u
(2)
T −1
¸
−b
t
¸
c
1
u
(1)
T −2
÷c
2
u
(2)
T −2
¸
= 0
so (∗) holds for t = T also. It follows by induction that (∗) holds for all t ≥ 0. Hence, u
(1)
t
and u
(2)
t
are
linearly dependent.
11.3.6 (a) From Problem 2 we can ﬁnd the linearly independent solution u
(1)
t
= 1 and u
(2)
t
= t of the
homogeneous equation x
t ÷2
− 2x
t ÷2
÷ x
t
= 0. Then D
t
= u
(1)
t
u
(2)
t ÷1
− u
(1)
t ÷1
u
(2)
t
= (t ÷ 1) − t = 1 for
all t , and we get
u
∗
t
= −u
(1)
t
t
¸
k=1
c
k−1
u
(2)
k
÷u
(2)
t
t
¸
k=1
c
k−1
u
(1)
k
= −
t
¸
k=1
kc
k−1
÷t
t
¸
k=1
c
k−1
as a particular solution of x
t ÷2
−2x
t ÷1
÷x
t
= c
t
. The general solution is then x
t
= A ÷Bt ÷u
∗
t
.
(b) With c
t
= t , the particular solution u
∗
t
in part (a) becomes
u
∗
t
= −
t
¸
k=1
k(k −1) ÷t
t
¸
k=1
(k −1) = −
1
3
(t −1)t (t ÷1) ÷
1
2
t
2
(t −1) =
1
6
t (t −1)(t −2)
The necessary summation formulas
¸
t
k=1
k(k −1) =
1
3
(t −1)t (t ÷1) and
¸
t
k=1
(k −1) =
1
2
t (t −1) are
easily proved by induction. It is also easy to check that u
∗
t
really is a solution of the difference equation.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
94 11 DI F F ERENCE EQUATI ONS
11.4
11.4.2 (a) The characteristic equation m
2
÷2m÷1 = (m÷1)
2
= 0 has the double root m = −1, so the
general solution of the associated homogeneous equation is x
H
t
= (A ÷ Bt )(−1)
t
. We ﬁnd a particular
solution of the nonhomogeneous equation by inserting u
∗
t
= P2
t
. This yields P = 1, and so the general
solution of the given equation is x
t
= (A ÷Bt )(−1)
t
÷2
t
.
(b) By using the method of undetermined coefﬁcients to determine the constants P, Q, and R in the
particular solution u
∗
t
= P5
t
÷ Qcos
π
2
t ÷ Rsin
π
2
t , we obtain P =
1
4
, Q =
3
10
, and R =
1
10
. So the
general solution to the given equation is x
t
= A ÷B2
t
÷
1
4
5
t
÷
3
10
cos
π
2
t ÷
1
10
sin
π
2
t .
11.4.4 Since 1÷a ÷b = 0, we have b = −1−a, so we are looking for a particular solution of the equation
x
t ÷2
÷ax
t ÷1
−(a ÷1)x
t
= c. A constant function will be a solution of the corresponding homogeneous
function, so that will not work (unless c = 0). Let us try a function of the form u
∗
t
= Dt . We get
u
∗
t ÷2
÷au
∗
t ÷1
−(a ÷1)u
∗
t
= D(t ÷2) ÷aD(t ÷1) −(a ÷1)Dt = D(a ÷2)
Thus, D = c/(a÷2) can be used unless a = −2. If a = −2, the difference equation is x
t ÷2
−2x
t ÷1
÷x
t
=
c, and we look for a particular solution of the form u
∗
t
= Dt
2
. In this case we get
u
∗
t ÷2
−2u
∗
t ÷2
÷u
∗
t
= D(t ÷2)
2
−2D(t ÷1)
2
÷Dt
2
= 2D
and the desired value of D is D = c/2.
11.4.6 If b =
1
4
a
2
and x
t
= u
t
(−a/2)
t
, then the lefthand side of equation (11.4.1) becomes
x
t ÷2
÷ax
t ÷1
÷
1
4
a
2
x
t
= u
t ÷2
(−a/2)
t ÷2
÷au
t ÷1
(−a/2)
t ÷1
÷
1
4
a
2
u
t
(−a/2)
t
=
1
4
a
2
(−a/2)
t
(u
t ÷2
−2u
t ÷1
÷u
t
)
which is 0 if u
t ÷2
− 2u
t ÷1
÷ u
t
= 0. The general solution of this equation is u
t
= A ÷ B t , so
x
t
= u
t
(−a/2)
t
= (A ÷B t )(−a/2)
t
, which is the result claimed for case II in Theorem 11.4.1.
11.4.9 (a) It seems natural to try a function of the form Y
∗
t
= C(1 ÷g)
t
. We get
Y
∗
t ÷2
−(b÷k)Y
t ÷1
÷kY
∗
t
= C(1÷g)
t
[(1÷g)
2
−(b÷k)(1÷g)÷k] = C(1÷g)
t
[(1÷g)
2
−b(1÷g)−kg]
This shows that Y
∗
t
=
a(1 ÷g)
t
(1 ÷g)
2
−(b ÷k)(1 ÷g) ÷k
(if the denominator of this fraction is nonzero).
(b) The equation m
2
−(b ÷k)m÷k = 0 has two complex roots if and only if (b ÷k)
2
−4k < 0.
(c) Part (III) of Theorem11.4.1 shows that the growth factor of the oscillations is r =
√
k. The oscillations
are damped if and only if r < 1, i.e. if and only if k < 1.
11.4.11 Claim: If
1
4
a
2
≥ b, then both roots of the equation f (m) = m
2
÷ am ÷ b = 0 lie in the interval
(−1, 1) if and only if [a[ < 1 ÷b and b < 1.
Proof: Both roots belong to (−1, 1) if and only if f (−1) > 0, f (1) > 0, f
/
(−1) < 0, and f
/
(1) > 0.
(Draw a picture!) These four inequalities are equivalent to 1 −a ÷b > 0, 1 ÷a ÷b > 0, −2 ÷a < 0,
and a ÷2 > 0, which in turn are equivalent to [a[ < 1 ÷b and [a[ < 2.
If [a[ < 2, then b ≤
1
4
a
2
< 1. On the other hand, if [a[ < 1 ÷b and b < 1, then [a[ < 2.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
11 DI F F ERENCE EQUATI ONS 95
11.5
11.5.3 The points (a
1
, a
2
) that satisfy the three inequalities in (∗∗) are the points that lie above each of the
lines given by a
2
= −1 − a
1
and a
2
= −1 ÷ a
1
and below the line a
2
= 1. These points are precisely
the points lying in the interior of the triangle formed by those three lines, i.e. the triangle with corners at
(−2, 1), (0, −1), and (2, 1).
11.5.5 The characteristic equation is m
2
÷ (σβ/α − 2)m ÷ (1 − σβ) = 0. A necessary and sufﬁcient
condition for the roots of this equation to be complex (more precisely: not real) is
σβ
α
−2
2
< 4(1 −σβ) ⇐⇒
σ
2
β
2
α
2
−
4σβ
α
÷4 < 4 −4σβ ⇐⇒ σ
2
β
2
< 4ασβ −4α
2
σβ
⇐⇒ σβ < 4α −4α
2
= 4α(1 −α)
The difference equation is globally asymptotically stable if and only if the inequalities (∗∗) in Section
11.5 are satisﬁed when a
1
= σβ/α −2 and a
2
= 1 −σβ. This gives the conditions
1 ÷
σβ
α
−2
÷1 −σβ > 0 and 1 −
σβ
α
−2
÷1 −σβ > 0 and σβ > 0
⇐⇒
σβ
α
−σβ > 0 and 4 >
σβ
α
÷σβ
⇐⇒ α < 1 and (1 ÷α)σβ < 4α
(Remember that α, β, and σ are all positive.)
11.6
11.6.1 (a) From the given equations we get x
t ÷2
= 2y
t ÷1
= x
t
, and the initial conditions give x
0
= 1,
x
1
= 2y
0
= 2. The characteristic equation of x
t ÷2
−x
t
= 0 is m
2
−1 = 0, which has the roots m
1
= 1,
m
2
= −1.
The general solution of x
t ÷2
−x
t
= 0 is x
t
= A÷B(−1)
t
, and the initial conditions imply A÷B = 1,
A−B = 2, so A =
3
2
and B = −
1
2
. Thus, x
t
=
3
2
−
1
2
(−1)
t
. This, in turn, gives y
t
=
1
2
x
t ÷1
=
3
4
÷
1
4
(−1)
t
.
(b) We ﬁrst eliminate z. The ﬁrst equation yields z
t
= −x
t ÷1
−y
t
÷1. Using this in the second and third
equations, we get
(i) y
t ÷1
= −x
t
÷x
t ÷1
÷y
t
−1 ÷t and (ii) −x
t ÷2
−y
t ÷1
÷1 = −x
t
−y
t
÷2t
Equation (ii) implies (iii) y
t ÷1
= −x
t ÷2
÷1 ÷x
t
÷y
t
−2t , and then (i) and (iii) imply
−x
t
÷x
t ÷1
÷y
t
−1 ÷t = −x
t ÷2
÷1 ÷x
t
÷y
t
−2t, and so (iv) x
t ÷2
÷x
t ÷1
−2x
t
= 2 −3t
By a stroke of good luck y does not appear in (iv). The characteristic equation of (iv) is m
2
÷ m − 2
with the roots m
1
= 1 and m
2
= −2, and so the homogeneous equation corresponding to (iv) has the
general solution x
H
t
= A ÷ B(−2)
t
. For a particular solution u
∗
t
of (iv) itself we try with a quadratic
polynomial u
∗
= Dt ÷ Et
2
. We get u
∗
t
=
3
2
t −
1
2
t
2
, so the general solution of (iv) is x
t
= x
H
t
÷ u
∗
t
=
A ÷B(−2)
t
÷
3
2
t −
1
2
t
2
.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
96 12 DI SCRETE TI ME OPTI MI ZATI ON
The initial conditions yield x
0
= 0 and x
1
= −y
0
− z
0
÷ 1 = 0, so we must have A ÷ B =
0, A −2B ÷
3
2
−
1
2
= 0, which implies, A = −
1
3
, B =
1
3
. Hence,
x
t
= −
1
3
÷
1
3
(−2)
t
÷
3
2
t −
1
2
t
2
Fromequation(i) we get y
t ÷1
−y
t
= x
t ÷1
−x
t
÷t −1 = −(−2)
t
withthe general solutiony
t
= A÷
1
3
(−2)
t
.
The initial condition y
0
= 0 yields A = −
1
3
, so
y
t
= −
1
3
÷
1
3
(−2)
t
Finally,
z
t
= −x
t ÷1
−y
t
÷1 =
2
3
÷
1
3
(−2)
t
−
1
2
t ÷
1
2
t
2
11.7
11.7.2 (a) Let f (x) = e
x
− 3. Then f (x) − x is convex, and it is easy to see from the intermediate
value theorem that the equation f (x) = x has two solutions, one in (−∞, 0) and one in (0, ∞). Since
[f
/
(x)[ = e
x
< 1 for all x < 0, the negative solution is a stable equilibrium of the difference equation
x
t ÷1
= f (x
t
). The solution of the difference equation starting at x
0
= −1 gives the values (rounded to
5 decimal places) x
1
= −2.63212, x
2
= −2.92807, x
3
= −2.94650, x
4
= −2.94748, x
5
= −2.94753,
x
6
= −2.94753, . . . , converging to the equilibrium value x
∗
≈ −2.94753.
(b) See the answer in the book.
12 Discrete Time Optimization
12.1
12.1.1 (a) To solve the problem by dynamical programming we ﬁrst ﬁnd
J
2
(x) = max
u
(1 −(x
2
÷2u
2
)) = 1 −x
2
, u
∗
2
(x) = 0
The fundamental equation (Theorem 12.1.1) then gives
J
1
(x) = max
u
(1 −(x
2
÷2u
2
) ÷J
2
(x −u))
= max
u
(1 −x
2
−2u
2
÷1 −(x −u)
2
)
= max
u
(2 −2x
2
÷2xu −3u
2
. .. .
g(u)
)
Let g(u) be the expression in the last parenthesis. Then g
/
(u) = 2x −6u, so g attains its maximum for
u = u
∗
1
(x) = x/3. That gives J
1
(x) = g(x/3) = 2 −
5
3
x
2
. We continue with
J
0
(x) = max
u
(1 −(x
2
÷2u
2
) ÷J
1
(x −u))
= · · · = max
u
(3 −
8
3
x
2
÷
10
3
xu −
11
3
u
2
. .. .
h(u)
)
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
12 DI SCRETE TI ME OPTI MI ZATI ON 97
Here h
/
(u) = 10x/3 − 22u/3, which implies that u
∗
0
(x) = 5x/11, and therefore J
0
(x) = h(5x/11) =
3 −21x
2
/11.
Thus the desired maximum value is J
0
(x
0
) = J
0
(5) = −492/11 and, further,
u
∗
0
= u
0
(5) = 25/11,
u
∗
1
= u
∗
1
(x
∗
1
) = x
∗
1
/3 = 10/11,
x
∗
1
= x
0
−u
∗
0
= 30/11
x
∗
2
= x
∗
1
−u
∗
1
= 20/11
(b) We have x
1
= x
0
−u
0
= 5 −u
0
and x
2
= x
1
−u
1
= 5 −u
0
−u
1
. This gives
S(u
0
, u
1
, u
2
) = 1 −(x
2
0
÷2u
2
0
) ÷1 −(x
2
1
÷2u
2
1
) ÷1 −(x
2
2
÷2u
2
2
)
= 3 −5
2
−2u
2
0
−(5 −u
0
)
2
−2u
2
1
−(5 −u
0
−u
1
)
2
−2u
2
2
= · · · = −72 ÷20u
0
÷10u
1
−4u
2
0
−2u
0
u
1
−3u
2
1
−2u
2
2
It is clear from the second expression for S that S is a concave function. The ﬁrstorder partial derivatives
of S are
∂S/∂u
0
= 20 −8u
0
−2u
1
∂S/∂u
1
= 10 −2u
0
−6u
1
∂S/∂u
0
= −4u
2
and it is easily seen that the only stationary point is
(u
0
, u
1
, u
2
) = (25/11, 10/11, 0)
Since S is concave, this is a global maximum point for S. The maximum value is S
max
= −492/11,
which fortunately agrees with the result from part (a).
12.1.4 (a) J
T
(x) = 3x
2
with u
∗
T
(x) = 0, J
T −1
(x) = 5x
2
with u
∗
T −1
(x) = 1, J
T −2
(x) = 7x
2
with
u
∗
T −2
(x) = 1.
(b) We claim that J
T −n
(x) = (2n ÷ 3)x
2
with u
∗
T
(x) = 0 and u
∗
T −n
(x) = 1 for n = 1, . . . , T . The
formula is valid for n = 1. Suppose it is valid for n = k. Then J
T −(k÷1)
(x) = max
u∈[0,1]
[(3 − u)x
2
÷
J
T −k
(ux)] = max
u∈[0,1]
[(3 −u)x
2
÷(2k ÷3)(ux)
2
] = x
2
max
u∈[0,1]
[3 −u÷(2k ÷3)u
2
]. The function
g(u) = 3−u÷(2k÷3)u
2
is convexinuandhas its maximumat u = 1, andthenJ
T −(k÷1)
(x) = x
2
(5÷2k),
which is the proposed formula for n = k ÷1, so the formula follows by induction.
12.1.6 (a) J
T
(x) = max
u∈ޒ
(x −u
2
) = x for u
∗
T
(x) = 0. J
s
(x) = max
u∈ޒ
[x −u
2
÷J
s÷1
(2(x ÷u))] for
s = 0, 1, . . . , T − 1. In particular, J
T −1
(x) = max
u∈ޒ
[x − u
2
÷ J
T
(2(x ÷ u))] = max
u∈ޒ
[x − u
2
÷
2(x ÷u)] = 3x ÷1 for u
∗
T −1
(x) = 1.
(b) The formula is valid for n = 1. Suppose it is valid for n = k. Then J
T −(k÷1)
(x) = max
u∈ޒ
[x −u
2
÷
(2
k÷1
−1)(2x ÷2u) ÷
¸
k
j=0
(2
j
−1)
2
]. We see that the maximizer is u = u
∗
T −(k÷1)
(x) = 2
k÷1
−1, and
then J
T −(k÷1)
(x) = x −(2
k÷1
−1)
2
÷2(2
k÷1
−1)x ÷2(2
k÷1
−1)
2
÷
¸
k
j=0
(2
j
−1)
2
= (1 ÷2
k÷2
−
2)x ÷(2
k÷1
−1)
2
÷
¸
k
j=0
(2
j
−1)
2
= (2
(k÷1)÷1
−1)x ÷
¸
k÷1
j=0
(2
j
−1)
2
. This is the given formula for
n = k ÷1, so the formula follows by induction. Since u
∗
T −(k÷1)
(x) = 2
k÷1
−1, we get u
∗
t
(x) = 2
T −t
−1
for t = 0, 1, . . . , T , and V = J
0
(x
0
) = J
0
(0) =
¸
T
j=0
(2
j
−1)
2
.
12.1.7 (a) It is immediately clear that J
T
(x) = −αe
−γ x
T
. The result in part (b) shows immediately that
J
T −1
(x) = −2
√
αe
−γ x
and J
T −2
(x) = −2
2
√
αe
−γ x
= −2
3/2
α
1/4
e
−γ x
.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
98 12 DI SCRETE TI ME OPTI MI ZATI ON
(b) We know from part (a) that the formula J
t
(x) = −α
t
= −α
t
e
−γ x
holds for t = T with α
t
= α.
Suppose that it holds for a positive integer t ≤ T . The fundamental equation then gives J
t −1
(x) =
max
u∈ޒ
ϕ(u), where
ϕ(u) = −e
−γ u
÷J
t
(2x −u) = −e
−γ u
−α
t
e
−γ (2x−u)
The function ϕ is concave and
ϕ
/
(u) = 0 ⇐⇒ γ e
−γ u
−α
t
γ e
−γ (2x−u)
= 0 ⇐⇒ −γ u = ln α
t
−2γ x ÷γ u
⇐⇒ γ u = γ x −ln
√
α
t
This shows that ϕ has a unique stationary point u
∗
= x −(ln
√
α
t
)/γ , which is a maximum point for ϕ.
It follows that
J
t −1
(x) = ϕ(u
∗
) = −e
−γ u
∗
−α
t
e
−2γ x÷γ u
∗
= −e
ln
√
α
t
−γ x
−α
t
e
−γ x−ln
√
α
t
= −α
t −1
e
−γ x
where α
t −1
=
√
α
t
÷ (α
t
/
√
α
t
) = 2
√
α
t
. It follows by induction that the formula J
t
(x) = −α
t
e
−γ x
holds for t = T , T −1, . . . , 1, 0, with α
t
determined by the difference equation above and α
T
= α.
12.3
12.3.1 The equation α = 2
√
αβ ÷
1
2
can be written as (
√
α )
2
− 2
√
β
√
α −
1
2
= 0. This is a quadratic
equation for
√
α with the solution
√
α =
√
β ÷
√
β ÷1/2. (We cannot have
√
α =
√
β −
√
β ÷1/2,
because
√
α cannot be negative.) Hence, α = (
√
β ÷
√
β ÷1/2 )
2
.
To showoptimality, we can use Case Bin Note 12.7.3. We ﬁrst solve the corresponding ﬁnite horizon
problem
sup
u
t
T
¸
t =0
β
t
(−e
−u
t
−
1
2
e
−x
t
), x
t ÷1
= 2x
t
−u
t
, t = 0, 1, . . . , T −1, x
0
given
With the optimal value function J(t, x, T ) = sup
¸
T
s=t
β
s−t
(−e
−u
s
−
1
2
e
−x
s
) we get J(t, x, T ) =
−α
t
e
−x
, with α
T
=
1
2
and α
t
= 2
√
βα
t
÷
1
2
for t < T . For a ﬁxed T , α
t
→ α as t → −∞. Hence,
J(0, x, T ) →−αe
−x
as T →∞.
12.3.2 (a) The Bellman equation is J(x) = max
u∈ޒ
¸
−
2
3
x
2
− u
2
÷ βJ(x ÷ u)
¸
. If J(x) = −αx
2
is a
solution, then
−αx
2
= max
u∈ޒ
¸
−
2
3
x
2
−u
2
÷βJ(x ÷u)
¸
= max
u∈ޒ
ϕ(u) (∗)
where ϕ(u) = −
2
3
x
2
−u
2
−βα(x ÷u)
2
. The function ϕ is strictly concave, and has a unique maximum
point given by ϕ
/
(u) = −2u − 2βα(x ÷ u) = 0. Hence, u
∗
(x) = −βαx/(1 ÷ βα) and x ÷ u
∗
(x) =
x/(1 ÷βα). Equation (∗) now gives
−αx
2
= ϕ(u
∗
(x)) = −
2
3
x
2
−
β
2
α
2
(1 ÷βα)
2
x
2
−
βα
(1 ÷βα)
2
x
2
= −
2
3
x
2
−
β
2
α
2
÷βα
(1 ÷βα)
2
x
2
⇐⇒ α =
2
3
÷
βα(βα ÷1)
(1 ÷βα)
2
=
2
3
÷
βα
1 ÷βα
⇐⇒ 3α(1 ÷βα) = 2(1 ÷βα) ÷3βα ⇐⇒ 3βα
2
÷(3 −5β)α −2 = 0
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
12 DI SCRETE TI ME OPTI MI ZATI ON 99
The last equation has a exactly one positive solution, α =
5β −3 ÷
(5β −3)
2
÷24β
6β
, and the optimal
control is
u
∗
(x) = −
βα
1 ÷βα
x = −
5β −3 ÷
(5β −3)
2
÷24β
5β ÷3 ÷
(5β −3)
2
÷24β
x = · · · = −
β −3 ÷
(5β −3)
2
÷24β
6β
x
(b) It is clear that the value function J
0
(x) is ﬁnite: for any x
0
, let u
0
= −x
0
and u
t
= 0 for all t > 0.
Then
¸
∞
t =0
β
t
(−
2
3
x
2
t
−u
2
t
) = −
5
3
x
2
0
is ﬁnite. Also, for any sequence of controls u
0
, u
1
, . . . , the sum is
bounded above by 0. Hence, the value function exists, if not in the “max sense”, then at least in the “sup
sense”. It is also clear that J
0
(x) ≤ 0 for all x.
Further, let V
0
(x, π) be the sumthat results fromx = x
0
and the control sequence π = (u
0
, u
1
, . . . ).
Then for any number λ we get V
0
(λx, λπ) = λ
2
V
0
(x, π), and it follows that J
0
(λx) = λ
2
J
0
(x)—that is,
J = J
0
is homogeneous of degree 2, so we really do have J(x) = −αx
2
for a suitable α ≥ 0. It is also
clear that α ,= 0, and from the arguments above it follows that α <
5
3
.
Now let x be ﬁxed, and consider the problem of ﬁnding a u that maximizes
ϕ(u) = −
2
3
x
2
−u
2
÷J(x ÷u)
If [x ÷u[ > [x[, then J(x ÷u) < J(x) and
ϕ(u) = −
2
3
x
2
−u
2
÷βJ(x ÷u) < −
2
3
x
2
−u
2
÷βJ(x) < −
2
3
x
2
÷βJ(x) = ϕ(0)
Hence, such a u cannot be optimal. Also, if [u[ > [x[, then J(x ÷u) < 0 and
ϕ(u) = −
2
3
x
2
−u
2
÷βJ(x ÷u) < −
2
3
x
2
−u
2
< −
5
3
x
2
= ϕ(−x)
so this u cannot be optimal either. It follows that an optimal u must be such that [x ÷ u[ ≤ [x[ and
[u[ ≤ [x[. Then Note 12.3.2 applies with X(x
0
) = [−[x
0
[, [x
0
[].
12.4
12.4.2 (a) I =
¸
T
t =0
(u
2
t
−2x
2
t
) =
¸
T −1
t =0
u
2
t
÷u
2
T
−2x
2
0
−2
¸
T
t =1
x
2
t
= u
2
T
÷
¸
T −1
t =0
u
2
t
−2
¸
T −1
t =0
u
2
t
=
u
2
T
−
¸
T −1
t =0
u
2
t
. (Remember, x
0
= 0.) Hence, I is maximized when u
∗
0
= u
∗
1
= · · · = u
∗
T −1
= 0 and
u
∗
T
= ±1.
(b) (The reference in the problem should be to Theorem 12.4.1, not 12.4.2.) The Hamiltonian is
H(t, x, u, p) =
¸
u
2
−2x
2
÷pu for t < T
u
2
−2x
2
for t = T
and
H
/
u
(t, x, u, p) =
¸
2u ÷p for t < T
2u for t = T
, H
/
x
(t, x, u, p) = −4x for all t
Since x
∗
0
= x
∗
1
= · · · = x
∗
T
= 0 and u
∗
0
= u
∗
1
= · · · = u
∗
T −1
= 0, the difference equation (4) in
Theorem 12.4.1 implies p
t
= 0 for t = 0, 1, . . . , T − 1, and we already know that p
T
= 0. It follows
that H(t, x
∗
t
, u, p
t
) = u
2
− 2(x
∗
t
)
2
= u
2
. Hence, for t < T , u = u
∗
t
= 0 is not a maximum point of
H(t, x
∗
t
, u, p
t
) for u in [−1, 1], but actually a minimum point.
12.5
12.5.1 (c) H(t, x, u, p) = 1 ÷x −y −2u
2
−v
2
÷p
1
(x −u) ÷p
2
(y ÷v) for t = 0, 1, H(t, x, u, p) =
1 ÷x −y −2u
2
−v
2
for t = 2. Condition (3) yields for t = 0, 1: −4u
t
−p
1
t
= 0 and −2v
t
÷p
2
t
= 0.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
100 12 DI SCRETE TI ME OPTI MI ZATI ON
For t = 2 it yields −4u
2
= 0 and −2v
2
= 0. Hence, u
0
= −
1
4
p
1
0
, u
1
= −
1
4
p
1
1
, u
2
= 0, v
0
=
1
2
p
2
0
,
v
1
=
1
2
p
2
1
, v
2
= 0. From (4) and (6)(c
/
), p
1
0
= 1 ÷ p
1
1
, p
1
2
= 0, p
2
0
= −1 ÷ p
2
1
, p
2
2
= 0. Moreover,
from (5), p
1
1
= 1 ÷ p
1
2
, p
2
1
= −1 ÷ p
2
2
. Finally, x
1
= x
0
− u
0
= 5 − u
0
, x
2
= x
1
− u
1
, y
1
= y
0
÷ v
0
,
y
2
= y
1
÷v
1
. From these equations we ﬁnd the same solution as before.
12.6
12.6.6 There are two misprints in the objective function: the expression inside the square brackets should
be
T −1
¸
t =0
u
1/2
t
÷aX
1/2
T
. There is also a misprint in the answer in the book.
The optimality equation (12.6.5) boils down to
J
T
(x) = ax
1/2
and J
t
(x) = max
u
¸
u
1/2
÷
1
2
J
t ÷1
(0) ÷
1
2
J
t ÷1
(x −u)
¸
for t < T
With J
t
(x) = 2a
t
x
1/2
this gives a
T
= a/2 and
2a
t
x
1/2
= max
u
ϕ(u), where ϕ(u) = u
1/2
÷a
t ÷1
(x −u)
1/2
for t < T . The function ϕ is concave and
ϕ
/
(u) = 0 ⇐⇒
1
2u
1/2
=
a
t ÷1
2(x −u)
1/2
⇐⇒ u = u
t
(x) =
x
1 ÷a
2
t ÷1
Hence, max
u
ϕ(u) = ϕ
x/(1 ÷ a
2
t ÷1
)
= · · · = (1 ÷ a
2
t ÷1
)
1/2
x
1/2
, and so a
t
=
1
2
(1 ÷ a
2
t ÷1
)
1/2
. This
implies 1 ÷a
2
t ÷1
= 4a
2
t
, and therefore u
t
(x) = x/4a
2
t
.
12.6.8 The ﬁrst printing of the book contains a couple of embarrassing misprints in connection with this
problem and with the stochastic Euler equation. Formula (12.6.10) on page 454 should be
E
¸
F
/
2
(t, x
t
, x
t ÷1
(x
t
, V
t
), V
t
) [ v
t −1
¸
÷F
/
3
(t −1, x
t −1
, x
t
, v
t −1
) = 0 (∗)
and the objective function in the current problem should be
max E
¸
2
¸
t =0
¸
1 −(V
t
÷X
t ÷1
−X
t
)
2
¸
÷(1 ÷V
2
÷X
3
)
¸
Now deﬁne F by
F(2, x
2
, x
3
, v
2
) = 1 −(v
2
÷x
3
−x
2
)
2
÷1 ÷v
2
÷x
3
F(t, x
t
, x
t ÷1
, v
t
) = 1 −(v
t
÷x
t ÷1
−x
t
)
2
, t = 0, 1
For t = 1, 2, equation (∗) becomes
E
¸
2(V
t
÷x
t ÷1
(x
t
, V
t
) −x
t
) [ v
t −1
¸
−2(v
t −1
÷x
t
−x
t −1
) = 0
i.e.
1 ÷2E[x
t ÷1
(x
t
, V
t
)] −2x
t
= 2v
t −1
÷2x
t
−2x
t −1
(∗∗)
Equation (12.6.9) becomes
F
/
3
(2, x
2
, x
3
, v
2
) = −2(v
2
÷x
3
−x
2
) ÷1 = 0
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
12 DI SCRETE TI ME OPTI MI ZATI ON 101
which gives x
3
as a function of x
2
and v
2
:
x
3
= x
3
(x
2
, v
2
) = x
2
−v
2
÷
1
2
Now use (∗∗) for t = 2:
1 ÷2E[x
2
−V
2
÷
1
2
] −2x
2
= 2v
1
÷2x
2
−2x
1
⇐⇒ 1 ÷2(x
2
−
1
2
÷
1
2
) −2x
2
= 2v
1
÷2x
2
−2x
1
⇐⇒ x
2
= x
2
(x
1
, v
1
) = x
1
−v
1
÷
1
2
Then for t = 1:
1 ÷2E[x
1
−V
1
÷
1
2
] −2x
1
= 2v
0
÷2x
1
−2x
0
⇐⇒ 1 ÷2(x
1
−
1
2
÷
1
2
) −2x
1
= 2v
0
÷2x
1
−2x
0
⇐⇒ x
1
= x
0
−v
0
÷
1
2
Since x
0
= 0 is given, the ﬁnal answer is
x
1
=
1
2
−v
0
, x
2
= 1 −v
0
−v
1
, x
3
=
3
2
−v
0
−v
1
−v
2
12.7
12.7.1 (a) J(x) = ax
2
÷b, a = −[1 −2β −
1 ÷4β
2
]/2β, b = aβd/(1 −β). (With J(x) = ax
2
÷b,
the Bellman equation is
ax
2
÷b = max
u
¸
−u
2
−x
2
÷βE[a(x ÷u ÷V)
2
÷b]
¸
= max
u
¸
−u
2
−x
2
÷βa(x ÷u)
2
÷βad ÷βb
¸
Maximizing this concave function yields u = βax/(1−βa). Thus, ax
2
÷b = −β
2
a
2
x
2
/(1 −βa)
2
−x
2
÷
βax
2
/(1 −βa)
2
÷βad÷βb = x
2
(2βa−1)/(1−βa)÷βad÷βb for all x. Hence, a = (2βa−1)/(1−βa)
and b = βad ÷ βb. This quadratic equation gives a = [1 − 2β −
1 ÷4β
2
]/2β, and then b =
aβd/(1−β). We have to choose the negative solution for a, because J(x) = ax
2
÷b = a[x
2
÷βd/(1−β)]
must be negative.)
(b) J(t, x) = β
t
(a
t
x
2
÷b
t
), a
t −1
= −1 −β
2
a
2
t
/(1 −βa
t
)
2
÷βa
t
/(1 −βa
t
)
2
= −1 ÷βa
t
/(1 −βa
t
),
a
T
= −1, b
t −1
= βb
t
÷ βa
t
d, b
T
= 0. To ﬁnd lim
T →∞
J(0, x
0
, T ) we need to ﬁnd lim
T →∞
a
0
and lim
T →∞
b
0
(for any t , a
t
and b
t
depend on T ), write in particular a
0
= a
T
0
, b
0
= b
T
0
. Finding
these limits is the same as ﬁnding the limits lim
t →−∞
a
t
, lim
t →−∞
b
t
when T is ﬁxed. The function
ϕ(x) = −1 ÷ βx/(1 − βx) is increasing (calculate its derivative), and, since a
T −1
< a
T
and this
continues backwards, we get a
t −1
< a
t
for all t . Letting t → −∞in the difference equation for a
t
, we
ﬁnd that a = lim
t →−∞
a
t
satisﬁes a = −1 ÷βa/(1 −βa) = (2βa −1)/(1 −βa) (so a > −∞), in fact
a has the same value as in part (a). In a similar way, b
t
decreases when t decreases, and taking limits in
the equation for b
t −1
, we ﬁnd that b = lim
t →−∞
b
t
satisﬁes b = βb ÷ βad, i.e. b is also as in part (a).
Then, evidently, J(0, x, T ) = a
T
0
x
2
÷b
T
0
→ax
2
÷b = J(x) as T →∞.
12.7.2 The optimal control is u
t
(x) = x/(1 ÷ αa), and the value function is J(x) = a ln x ÷ b, where
a = 2/(1 −α), b = [αd ÷αa ln(αa) −(1 ÷αa) ln(1 ÷αa)](1 −α)
−1
, and d = E[ln V].
We can showoptimality at least in a restricted problem: Assume V ∈ [0, δ] for some (perhaps large) δ,
and restrict u to belong to [ε, x
t
] for some small positive ε. Note that X
t
≥ x
0
. Then [f [ = [(x −u)V[ ≤
δx. Choose b > 0 so small that αδ
b
< 1. For x ≥ x
0
, g = ln u ÷ ln X ∈ [ln ε ÷ ln x
0
, 2 ln x] ⊆
[ln ε ÷ ln x
0
, ln a ÷ x
b
], where a is chosen so large that ln x/x
b
≤ 1 when x ≥ a (by l’Hôpital’s rule
lim
x→∞
ln x/x
b
= 0). Now apply Note 12.7.2.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
102 13 TOPOL OGY AND SEPARATI ON
13 Topology and Separation
13.1
13.1.9 (a) If x ∈ int(S), then there is an open ball B around x such that B ⊆ S. But then B ⊆ T as well, so
x is an interior point of T . If y ∈ cl(S), then every open ball around y has a nonempty intersection with
S. Obviously any such ball also meets T , and so y belongs to the closure of T .
(b) Let y be a point in the closure of cl(S). We want to show that y ∈ cl(S). In order to show this, it is
sufﬁcient to show that every open ball around y intersects S. Thus, let B be an open ball around y. Since
y is in the closure of cl(S), the intersection B ∩cl(S) is nonempty. Let z be any point in this intersection.
Since z ∈ B and B is open, there is an open ball B
/
around z such that B
/
⊆ B. And since z ∈ cl(S),
there is at least one point w in B
/
∩ S. Then w ∈ B ∩ S, and so B ∩ S ,= ∅. Hence, cl(S) is closed.
13.1.15 (a) False. Since S ⊆ S, it is clear that int(S) ⊆ int(S ). But we do not always have equality, as
we can see from the following example: Let S = {x ∈ ޒ
n
: 0 < x < 1}. This set (a “punctured”
open ball) is obviously open, so int(S) = S. But its closure is S = {x ∈ ޒ
n
: x ≤ 1} whose interior,
int(S ) = {x ∈ ޒ
n
: x < 1}, also contains the centre of the ball, so int(S) ,= int(S). (Draw a picture
for the case n = 2!)
(b) True. Every set is contained in its closure, so S ⊆ S and T ⊆ T . Therefore, S ∪ T ⊆ S ∪ T . By
Theorem 13.1.2(c), the set S ∪T is closed. Therefore, S ∪ T ⊆ S ∪T (cf. Problem 10(b)). On the other
hand, S ⊆ S ∪ T , so by Problem 9(a), S ⊆ S ∪ T . Similarly, T ⊆ S ∪ T , and so S ∪ T ⊆ S ∪ T . Since
each of the sets S ∪ T and S ∪ T is a subset of the other, they must be equal.
(c) False. Consider, for example, the punctured open ball S in part (a). The boundary, ∂S, of that set
consists of the origin and all the points on the sphere x = 1, so ∂S is not a subset of S. In fact, for any
set T , we have ∂T ⊆ T if and only if T is closed.
(d) True. Let x ∈ S ∩T . We shall show that x ∈ S ∩ T . Let U be an arbitrary open ball centred at x. It is
enough to showthat U intersects S∩T . Since x ∈ S and S is open, there exists an open ball V centred at x
such that V ⊆ S. Then W = U ∩V is also an open ball centred at x and W ⊆ S. (In fact, W is the smaller
of the two balls U and V.) Now, W ∩T ,= ∅ since x ∈ T . Moreover, W ∩T = U ∩V ∩T ⊆ U ∩S ∩T ,
so it follows that U ∩ (S ∩ T ) is indeed nonempty.
13.2
13.2.5 Suppose for a contradiction that the sequence {x
k
} does not converge to x
0
. Then there exists an open
ball B = B
r
(x
0
) around x
0
such that x
k
/ ∈ B
r
(x
0
) for inﬁnitely many k. These x
k
form a subsequence
{x
k
j
} of the original sequence, and they all belong to the set A = X`B = X∩(ޒ
n
`B). Since X is closed
and B is open, A is closed. Because A is contained in the bounded set X, A is also bounded. Hence A is
compact. Therefore {x
k
j
} has a convergent subsequence, converging to a point y in A. But this convergent
subsequence is also a subsequence of the original sequence, and so it should converge to x
0
. But that is
impossible because y ,= x
0
. This contradiction shows that {x
k
} must converge to x
0
after all.
13.2.6 There is an obvious way to identify ޒ
m
ޒ
n
with ޒ
m÷n
: we let the point (x, y) = ((x
1
, . . . , x
m
),
(y
1
, . . . , y
n
)) in ޒ
m
ޒ
n
correspond to the point (x
1
, . . . , x
m
, y
1
, . . . , y
n
) in ޒ
m÷n
. Now let A and B be
compact subsets of ޒ
m
and ޒ
n
, respectively. We shall use the Bolzano–Weierstrass theorem (Theorem
13.2.5) to show that A B is compact.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
13 TOPOL OGY AND SEPARATI ON 103
Let {(a
k
, b
k
)}
k
be a sequence in A B. Since A is compact, the sequence {a
k
}
k
has a convergent
subsequence {a
k
j
}
j
, and since B is compact, {b
k
j
}
j
has a convergent subsequence {b
k
j
i
}
i
. Let a
/
i
= a
k
j
i
and b
/
i
= b
k
j
i
. Then {(a
/
i
, b
/
i
)}
i
is a subsequence of {(a
k
, b
k
}
k
, and the sequences {a
/
i
}
i
and {b
/
i
}
i
are
both convergent. Since a sequence in ޒ
p
converges if and only if it converges componentwise (Theorem
13.2.1), it follows that {(a
/
i
, b
/
i
)}
i
is convergent. Hence, A B is compact.
13.3
13.3.7 Let A ⊆ S ⊆ ޒ
n
, and consider the following two statements:
(a) A is relatively closed in S.
(b) Whever a sequence {x
k
} in A converges to a limit x
0
∈ S, then x
0
∈ A.
Claim: (a) ⇐⇒ (b).
Proof of ⇒: Since A is relatively closed in S we have A = S ∩ F, where F is closed in ޒ
n
. Let {x
k
} be
a sequence in A that converges to x
0
∈ S. Since all x
k
belong to A, they also belong to F, and because
F is closed, Theorem 3.2.3 tells us that x
0
∈ F. Hence, x
0
∈ S ∩ F = A.
Proof of ⇐: Suppose that (b) is satisﬁed. We want to show that A = S ∩F for some closed set F in ޒ
n
.
In fact, we shall show that A = S ∩
¨
A, where
¨
A is the closure of A in ޒ
n
. It is clear that A ⊆ S ∩
¨
A, so
what we need to show is that S ∩
¨
A ⊆ A. Let x
0
∈ S ∩
¨
A. Since x
0
∈
¨
A there exists a sequence {x
k
} of
points in A converging to x
0
. Since x
0
∈ S, we have x
0
∈ A by assumption. It follows that S ∩
¨
A ⊆ A.
Now that we have proved the equivalence of (a) and (b) above, let us use it to prove part (b) of Theorem
13.3.5: Let S ⊆ ޒ
n
and let f be a function from S to ޒ
m
. Then
f : S ⊆ ޒ
n
→ޒ
m
is continuous ⇐⇒ f
−1
(F) is relatively closed in S for each closed set F in ޒ
m
Proof of ⇒: Suppose that f is continuous and let F be a closed set in ޒ
m
. We want to prove that f
−1
(F)
is relatively closed in S. By the equivalence (a) ⇐⇒ (b) above it sufﬁces to show that, if a point x
0
in
S is the limit of a sequence {x
k
}
k
in f
−1
(F) then x
0
∈ f
−1
(F). If we have such a point x
0
and such a
sequence {x
k
}, then all f(x
k
) ∈ F, and because f is continuous, (x
0
) = lim
k
(x
k
). Thus, f(x
0
) the limit
of a sequence in F, and since F is closed, f(x
0
) ∈ F. Therefore x
0
∈ f
−1
(F).
Proof of ⇐: Suppose that f
−1
(F) is relatively closed in S for every closed F in ޒ
m
, and let x
0
be a point
in S. We want to show that f is continuous at x
0
. In other words, we want to show that f(x
k
) → f(x
0
)
for every sequence {x
k
} in S that converges to x
0
.
Suppose (∗) x
k
→ x
0
but x
k
,→ f(x
0
). Then there is an ε > 0 such that f(x
k
) − f(x
0
) ≥ ε for
inﬁnitely many k. Let F = {y ∈ ޒ
m
: y − f(x
0
) ≥ ε} be the complement in ޒ
m
of the open εball
around f(x
0
), and let {x
/
j
} = {x
k
j
} be the subsequence of {x
k
} where k
1
< k
2
· · · run through all those k
for which f(x
k
) −f(x
0
) ≥ ε. The set F is closed in ޒ
m
, and {x
/
j
} is a sequence in f
−1
(F), the inverse
image of F, with lim
j→∞
x
/
j
= x
0
∈ S. By assumption, f
−1
(F) is relatively closed in S, and by the
equivalence (a) ⇐⇒ (b) above we must have x
0
∈ f
−1
(F). But then f(x
0
) ∈ F, and by the deﬁnition
of F we must have f(x
0
) −f(x
0
) ≥ ε > 0, which is absurd. This shows that the assumption (∗) must
be false, and so f is indeed continuous.
13.3.8 Assume ﬁrst that f is continuous at x
0
. We shall prove that the defender can always win in this case.
Let the challenger choose ε > 0. Since f is continuous at x
0
the defender is able to choose a δ > 0 such
that f(x) − x
0
) < ε whenever x − x
0
 < δ, and then the challenger will be unable to ﬁnd an x that
lets him win. Thus the defender wins.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
104 13 TOPOL OGY AND SEPARATI ON
Now assume that f is discontinuous at x
0
. Then there will exist at least one ε > 0 that cannot be
matched by any δ. So let the challenger choose such an ε. Then no matter what δ > 0 the defender
chooses, the challenger will be able to ﬁnd an x with x −x
0
 < δ and f(x) −f(x
0
) ≥ ε. Thus, in this
case, the challenger wins.
13.4
13.4.3 For a ﬁxed x, the maximum of f (x, y) with respect to y for y in [−3, 3] must be attained at a point
where f
/
2
(x, y) = 0 or y = ±3. Since f
/
2
(x, y) = −12xy
3
−12(x−1)y
2
÷12y = −12xy(y−1/x)(y÷1),
f (x, y) is strictly increasing with respect to y when y ∈ (−∞, −1], strictly decreasing in [−1, 0], strictly
increasing again in [0, 1/x], and strictly decreasing in [1/x, ∞). Hence the only possible maximum
points are y = −1 and y = 1/x if x > 1/3 and y = −1 and y = 3 if 0 < x ≤ 1/3. Simple
calculations give f (x, −1) = x ÷ 2, f (x, 1/x) = (2x ÷ 1)/x
3
, and f (x, 3) = 162 − 351x. It follows
that f (x, 1/x) − f (x, −1) = (x − 1)(x ÷ 1)
3
/x
3
, so for x > 1 the maximum occurs for y = −1, if
x = 1 the maximum occurs for y = ±1, and if 1/3 < x ≤ 1 the maximum occurs for y = 1/x. Finally,
if 0 < x ≤ 1/3, the maximum occurs for y = 3. The value function V is given by
V(x) =
⎧
⎨
⎩
162 −351x if 0 < x ≤ 1/3
(2x ÷1)/x
3
if 1/3 < x ≤ 1
x ÷2 if x > 1
It is clear that V is continuous, because the onesided limits of V(x) at x = 1/3 are equal, and so are
the onesided limits at x = 1. Figures M13.4.3(a)–(c) shows the graph of the function y .→f (x, y) for
three different values of x, Fig. M13.4.3(d) shows the set M(x) of maximizers as a function of x. Except
at x = 1, the graph is the graph of a continuous function, as it should be because the maximizer is unique
for each x ,= 1.
z
5
10
15
y
−2 −1 1 2
z
5
10
15
y
−2 −1 1 2
z
5
10
15
y
−2 −1 1 2
y
−1
1
2
3
x
1 2
(a) z = f (1/2, y) (b) z = f (1, y) (c) z = f (2, y) (d) x .→M(x)
M13.4.3
13.5
13.5.7 Let S be a compact set in ޒ
n
. Carathéodory’s theorem (Theorem 13.5.1) tells us that every point in
co(S) can be written as a convex combination of at most n ÷1 points in S. We claim that every point in
co(S) can be written as a linear combination of exactly n÷1 points in S. Indeed, if x = λ
1
x
1
÷· · · λ
m
x
m
with m < n ÷1, we just add n ÷1 −m terms that are all equal to 0x
1
.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
14 CORRESPONDENCES AND F I XED POI NTS 105
Now let T =
n
S
n÷1
, where
n
= {(λ
1
, . . . , λ
n÷1
) ∈ ޒ
n÷1
: λ
i
≥ 0 for i = 1, . . . , n ÷1: λ
1
÷
· · · ÷λ
n÷1
= 1} and S
n÷1
= S · · · S is the Cartesian product of n ÷1 copies of S. Deﬁne a function
f : T →ޒ
n
by f (λ
1
, . . . , λ
n÷1
, x
1
, . . . , x
n÷1
) = λ
1
x
1
÷· · · ÷λ
n÷1
x
n÷1
. Then f maps every point in
T to a point in co(S). On the other hand, the argument above shows that every point in co(S) belongs to
the image f (T ) of T under f , so in fact co(S) = f (T ). The set
n
is obviously a compact (i.e. closed
and bounded) subset of ޒ
n÷1
, so if S is also compact, then so is T . (It follows from Problem 13.2.6 that,
if A and B are compact subsets of ޒ
m
and ޒ
p
, respectively, then A B is a compact subset of ޒ
m÷p
.
This immediately extends to the Cartesian product of a ﬁnite number of sets.) Since f is continuous,
Theorem 13.3.3 shows that co(S) = f (T ) is compact.
What we have shown here is that, if S is closed and bounded, then so is co(S). If S is closed but
unbounded, then co(S) need not even be closed. Consider, for example, the closed set S = {(x, y) ∈ ޒ
2
:
x > 0, y > 0, xy ≥ 1} ∪ {(0, 0)}. The convex hull of S is co(S) = {(x, y) : x > 0, y > 0} ∪ {(0, 0)},
i.e. the open ﬁrst quadrant together with the origin. This set is not closed. (Draw a picture!)
13.6
13.6.3 If x is not an interior point of the convex set S (⊆ ޒ
n
), then by Theorem 13.6.2 there exists a nonzero
vector a in ޒ
n
such that a · z ≤ a · x for every z in S. Then S ⊆ H
−
= {z : a · z ≤ a · x}. Since the half
space H
−
is closed, we also have
¨
S ⊆ H
−
. Every open ball around x contains points that do not belong
to H
−
, for instance points of the form x ÷t a for small positive numbers t . Hence, no open ball around x
is contained in
¨
S, and so S is not an interior point of
¨
S.
14 Correspondences and Fixed Points
Proof of Theorem 14.1.5(c): We will use the result in (14.1.8) to prove that H = G F is lower
hemicontinuous. Let z
0
∈ H(x
0
) and let U be a neighbourhood of z
0
. Then z
0
∈ G(y
0
) for some y
0
in
F(x
0
). Since G is l.h.c. at y
0
, there exists a neighbourhood V of y
0
such that U ∩ G(y) ,= ∅ for all y in
V. Moreover, since y
0
∈ F(x
0
), there is a neighbourhood N of x
0
such that V ∩F(x) ,= ∅ for all x ∈ N.
Let x ∈ N and y ∈ V ∩ F(x). Then U ∩ G(y) ,= ∅, and if z ∈ U ∩ G(y), then z ∈ G(y), y ∈ F(x), so
z ∈ H(x).
14.1
14.1.4 We shall use the characterization of lower hemicontinuity in (14.1.8) on page 506 to show that if F
and G are l.h.c. at x
0
, then so is H. Let U be an open neighbourhood of a point (y
0
, z
0
) in H(x
0
). Then
there are open neighbourhoods U
1
and U
2
of y
0
and z
0
in ޒ
l
and ޒ
m
, respectively, such that U
1
U
2
⊆ U.
Since F is l.h.c., there are neighbourhoods N
1
and N
2
of x
0
such that F(x) ∩U
1
,= ∅ for all x in N
1
∩X
and G(x) ∩ U
2
,= ∅ for all x in N
2
∩ X. Let N = N
1
∩ N
2
. Then H(x) ∩ U ⊇ H(x) ∩ (U
1
U
2
) =
(F(x) ∩ U
1
) (G(x) ∩ U
2
) ,= ∅ for all x in N ∩ X. It follows that H is l.h.c.
For the result about upper hemicontinuity we need to assume that F(x
0
) and G(x
0
) are compact.
Then H(x
0
) = F(x
0
) G(x
0
) is also compact. Suppose that F and G are u.h.c. at x
0
. Since F(x
0
)
is compact, it is closed, and Note 14.1.1 then says that F has the closed graph property at x
0
. Because
F(x
0
) is bounded there exists a bounded and open set U in ޒ
l
that contains F(x
0
), and since F is upper
hemicontinuous at x
0
there is a neighbourhood N
F
of x
0
such that F(x) ⊆ U for all x in N
F
. Similarly, G
has the closed graph property at x
0
and there exists a bounded and open set V in ޒ
m
and a neighbourhood
N
G
of x
0
such that G(x) ⊆ V for all x in N
G
.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
106 14 CORRESPONDENCES AND F I XED POI NTS
Since F and G have the closed graph property at x
0
, so has H. This is an easy consequence of
the deﬁnition (14.1.4). We are now all set to use Theorem 14.1.2 to prove that H is u.h.c at x
0
. Let
W = U V ⊆ ޒ
l÷m
and let N = N
F
∩ N
G
. Then W is bounded in ޒ
l÷m
, N is a neighbourhood of x
0
,
and H(x) = F(x) G(x) ⊆ W for all x in N, so H is locally bounded near x
0
. The desired conclusion
follows.
14.1.6 We shall use the characterization of lower hemicontinuity that is given in (14.1.8) to prove that G
is l.h.c. Let y
0
∈ G(x
0
). Then y
0
is a convex combination y
0
=
¸
k
i=1
λ
i
y
0
i
of points y
0
i
in F(x
0
). If
U is a neighbourhood of y
0
, then U contains an open ball B = B(y
0
: ε) for some ε > 0. For each
i = 1, . . . , k, there is a neighbourhood N
i
of x such that F(x) ∩ B(y
0
i
: ε) ,= ∅ for all x in N
i
∩ X. Let
N = N
1
∩· · · ∩N
k
be the intersection of these neighbourhoods. Then for any x in N and every i there is
at least one point y
i
in F(x) ∩ B(y
0
i
: ε). If we let y =
¸
i
λ
i
y
i
, then y ∈ co(F(x)) = G(x). Moreover,
d(y, y
0
) = y −y
0
 = 
¸
i
(λ
i
y
i
−λ
i
y
0
i
) ≤
¸
i
λ
i
y
i
−y
0
i
 <
¸
i
λ
i
ε = ε, so y ∈ B(y
0
: ε) ⊆ U. It
follows that G(x) ∩ U ,= ∅. Hence G is l.h.c.
14.1.10 Every constant correspondence is both l.h.c. and u.h.c. But even if a(x) and b(x) are constant
functions, complications may arise if one or both of the endpoints of the interval (a((x), b(x)) sometimes,
but not always, belong to F(x). Consider for example the correspondences C
1
and C
2
given by
C
1
(x) =
¸
[0, 1] if x ≤ 0,
[0, 1) if x > 0,
C
2
(x) =
¸
[0, 1] if x < 0,
[0, 1) if x ≥ 0.
C
1
is u.h.c. everywhere, while C
2
is not u.h.c. at x = 0. (But both of them are l.h.c. everywhere.)
Every correspondence F that satisﬁes the conditions in the problem is l.h.c., provided only that its
effective domain is open—i.e., if F(x
0
) ,= ∅, then F(x) ,= ∅ for all x sufﬁciently close to x
0
.
With nonconstant a(x) and b(x) many complications arise in connection with upper hemicontinuity.
A detailed study would take us too far aﬁeld, so let us concentrate on the four possibilities
F(x) = [a(x), b(x)], G(x) = [a(x), b(x)), H(x) = (a(x), b(x)], K(x) = (a(x), b(x))
(for all x). F has a closed graph and is locally bounded, so Theorem 14.1.2 implies that F is u.h.c.
The other three are usually not u.h.c., except in the constant case. For example, the correspondence
F(x) = (−1−x
2
, 1÷x
2
) is not u.h.c. at x = 0, since the open set U = (−1, 1) contains F(x) for x = 0
but not for any other value of x, no matter how close to 0 it may be. In fact, F is not u.h.c. at any other
point either.
14.1.11 The set F(x) is compact for each x in X. By Problem 13.5.7, G(x) = co(F(x)) is also compact for
each x. If G(x
0
) is contained in an open set U, there exists an α > 0 such that G(x
0
) ⊆ U
/
⊆ U, where
U
/
is the open “αneighbourhood” of G(x
0
) deﬁned as
U
/
= B(G(x
0
): α) =
¸
y ∈ ޒ
m
: there is a y
/
in G(x
0
) with y −y
/
 < α
¸
This follows from the technical result below, with S = U = ޒ
m
` U and K = F(x
0
). Since F is u.h.c.
and F(x
0
) ⊆ G(x
0
) ⊆ U
/
, there exists a δ > 0 such that F(x) ⊆ U
/
for every x in N = B(x
0
: δ). It is
not hard to see that U
/
is convex, and therefore G(x) = co(F(x)) is also contained in U
/
(and so in U)
for all x in N.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
A SETS, COMPL ETENESS, AND CONVERGENCE 107
A little technical result:
If S and K are disjoint closed subsets of ޒ
m
and K is compact, then there exists a positive number α
such that d(x, y) ≥ α for all x in S and all y in K. In other words, the distance between a point in S and
a point in K is never less than α.
Proof: Let y be a ﬁxed point in ޒ
n
and let x be a point in S. By Problem 13.3.5, h(x) = d(x, y)
attains a minimum at some point x
0
in S. Let us call h(x
0
) the distance between the point y and the set
S, and denote it by d(y, S). If y
/
is another point in ޒ
n
, then
d(y
/
, S) ≤ d(y
/
, x
0
) ≤ d(y
/
, y) ÷d(y, x
0
) = d(y
/
, y) ÷d(y, S)
so d(y
/
, S) − d(y, S) ≤ d(y
/
, y). By symmetry, d(y, S) − d(y
/
, S) ≤ d(y, y
/
) = d(y
/
, y). Hence,
[d(y
/
, S) − d(y, S)[ ≤ d(y
/
, y). It follows that g(y) = d(y, S) is a continuous function of y. (In the
deﬁnition of continuity in (13.3.1), every ε > 0 can be matched by δ = ε.) Since K is compact, g attains
a minimum value α over K. Then α = g(y
∗
) = d(y
∗
, x
∗
) for a point y
∗
in K and a point x
∗
in S, so
α > 0.
14.2
14.2.3 By Example 14.1.6, the budget correspondence B(p, m) is lower hemicontinuous and has the
closed graph property at any point (p
0
, m
0
) where m
0
> 0. It is also locally bounded near (p
0
, m
0
),
so by Theorem 14.1.2, B is also upper hemicontinuous at (p
0
, m
0
). What if m
0
= 0? In that case
B(p
0
, m
0
) = B(p
0
, 0) consists of a single point, namely the origin 0 in ޒ
n
. If U is an open set in ޒ
n
that contains 0, then it will obviously contain B(p, m) for any (p, m) close to (p
0
, 0), and it follows that
B is upper hemicontinuous at (p
0
, 0). Lower hemicontinuity at that point follows easily from the result
in (14.1.8).
Thus, B(p, m) is continuous at every point (p, m) in X = ޒ
n
÷÷
ޒ
÷
.
The maximum theorem (Theorem 14.2.1) then implies that the demand correspondence ξ(p, m) is
upper hemicontinuous and the indirect utility function V(p, m) is continuous. (Note that x . F(x) in
Theorem 14.2.1 corresponds to (p, m) . B(p, m) in this problem, while y and f (x, y) in the theorem
correspond to x and U(x) in the problem.) The demand correspondence will not always be lower hemi
continuous.
Suppose that U is quasiconcave. Then, if x
1
and x
2
are distinct points in ξ(p, m) (i.e. maximum
points for U over B(p, m)), Theorem2.5.1 implies that λx
1
÷(1−λ)x
2
also belongs to ξ(p, m) for every
λ in [0, 1]. In other words, ξ(p, m) is a convex set.
A Sets, Completeness, and Convergence
A.1
A.1.3 The answer in the book has been pared down to the bone, with a function deﬁned on a set with only
two elements in it. For an example with a little more ﬂesh on it, consider the following:
Let f (x) = x
2
for all x in ޒ, and deﬁne two intervals S
1
= [−4, 2] and S
2
= [−1, 3]. The
intersection of S
1
and S
2
is S
1
∩S
2
= [−1, 2]. The images of S
1
and S
2
under f are f (S
1
) = [0, 16] and
f (S
2
) = [0, 9], and the image of S
1
∩ S
2
is f (S
1
∩ S
2
) = [0, 4]. Here, then, is a case where f (S
1
∩ S
2
)
is a proper subset of f (S
1
) ∩ f (S
2
).
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
108 A SETS, COMPL ETENESS, AND CONVERGENCE
A.1.4 A relation is a linear ordering if and only if it is (i) reﬂexive, (ii) transitive, (iii) antisymmetric, and
(iv) complete. For each of these four properties it is easy to see that if a relation R has that property, then
so has R
−1
. Let us just see how to handle (ii):
We are assuming that R is transitive relation in a set S. Let x, y, and z be elements in S such that
xR
−1
y and yR
−1
z. We want to show that xR
−1
z. We have yRx and zRy, and since R is transitive,
zRx. Therefore xR
−1
z, as promised.
A.2
A.2.2 It is shown in the answer in the book that s < r, and since s is positive and s
2
> 2, we also have s > 2.
Thus the rational number s is closer to
√
2 than r is. But how did anyone come up with the expression
s = (2 ÷ r
2
)/2r in the ﬁrst place? The answer is Newton’s method, which is a famous procedure for
ﬁnding and improving approximate solutions to an equation f (x) = 0, where f is a differentiable
function.
Given one approximate solution, x
0
, we let x
1
= x
0
−f (x
0
)/f
/
(x
0
), and then we construct x
2
from
x
1
in the same fashion, and so on. If the initial approximation x
0
is good enough, the sequence x
1
, x
2
, . . .
will usually converge to a root of f (x) = 0. (A brief discussion of this method can be found in EMEA,
for instance.) Now apply this procedure to the equation f (x) = x
2
− 2 = 0. If x
0
= r is a positive
number, then x
1
= r −f (r)/f
/
(r) = r −(r
2
−2)/2r = (r
2
÷2)/2r is precisely the number s.
A.3
A.3.4 For the solution of this problem we need the fact that, if two convergent sequences have inﬁnitely
many terms in common, they must have the same limit. (This is an easy consequence of TheoremA.3.3.)
Consider the particular subsequences {w
k
} = {x
2k−1
} and {z
k
} = {x
2k
} of {x
k
}. They converge to 0
and 2, respectively. Together, these two subsequences contain all the terms of the original sequence, so
any subsequence of {x
k
} must have an inﬁnite number of terms in common with at least one of {w
k
} and
{z
k
}. Hence, any convergent subsequence of {x
k
} must converge to either 0 or 2.
The six subsequences {y
6k
}, {y
6k÷1
}, {y
6k÷2
}, {y
6k÷3
}, {y
6k÷4
}, and {y
6k÷5
} converge to sin 0 = 0,
sin(π/3) =
1
2
√
3, sin(2π/3) =
1
2
√
3, sin(3π/3) = 0, sin(4π/3) = −
1
2
√
3, and sin(5π/3) = −
1
2
√
3,
respectively, and they contain all but the ﬁrst ﬁve elements of {y
k
}. In the same way as for {x
k
}, it follows
that any convergent subsequence of {y
k
} must converge to 0,
1
2
√
3, or −
1
2
√
3.
Figures MA.3.4(a) and MA3.4(b) illustrate the behaviour of {x
k
} and {y
k
}.
x
k
10 20
2
1
−1
y
k
10 20
1
2
√
3
−
1
2
√
3
MA.3.4(a) MA.3.4(b)
A.3.5 (b) (i): For each natural number n, let M
n
= sup{x
k
: k ≥ n} and N
n
= sup{y
k
: k ≥ n}. Then for all
k ≥ n, we have x
k
≤ M
n
andy
k
≤ N
n
, andsox
k
÷y
k
≤ M
n
÷N
n
. Thus sup{x
k
÷y
k
: k ≥ n} ≤ M
n
÷N
n
≤
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
B TRI GONOMETRI C F UNCTI ONS 109
lim
n→∞
(M
n
÷N
n
) = lim
n→∞
M
n
÷lim
n→∞
N
n
, or lim
k→∞
(x
k
÷y
k
) ≤ lim
k→∞
x
k
÷lim
k→∞
y
k
.
The proof of (ii) is similar and is left to the reader.
A.3.6 Let n and m be natural numbers with n > m, and let p = n −m. Then
[x
n
−x
m
[ = [x
m÷p
−x
m
[
= [(x
m÷p
−x
m÷p−1
) ÷(x
m÷p−1
−x
m÷p−2
) ÷· · · ÷(x
m÷2
−x
m÷1
) ÷(x
m÷1
−x
m
)[
≤ [x
m÷p
−x
m÷p−1
[ ÷[x
m÷p−1
−x
m÷p−2
[ ÷· · · ÷[x
m÷2
−x
m÷1
[ ÷[x
m÷1
−x
m
[
<
1
2
m÷p−1
÷
1
2
m÷p−2
÷· · · ÷
1
2
m÷1
÷
1
2
m
=
1
2
m
1 ÷
1
2
÷· · · ÷
1
2
p−1
=
1
2
m
1 −(
1
2
)
p
1 −
1
2
<
1
2
m
1
1 −
1
2
=
1
2
m−1
which obviously becomes arbitrarily small for m sufﬁciently large.
B Trigonometric Functions
B.1
B.1.4 cos(y −π/2) = sin y follows directly from Problem 3. Then, from the hints in the question, as well
as (B.1.8) and the result of Problem 3 again, it follows that
sin(x ÷y) = cos(x ÷y −π/2) = cos x cos(y −π/2) −sin x sin(y −π/2)
= cos x sin y ÷sin x cos y = sin x cos y ÷cos x sin y
Substituting −y for y then yields sin(x −y) = sin x cos(−y) ÷cos x sin(−y) = sin x cos y −cos x sin y.
B.1.6 It is clear from the deﬁnitions of sin x and cos x that sin(x ÷π) = −sin x and cos(x ÷π) = −cos x
for all x. This also follows from Problem 4 and formula (B.1.8) together with the fact that sin π = 0 and
cos π = −1. The formula for sin(x −y) in Problem 4 also shows that sin(π −x) = sin x for all x. These
results come in handy in this problem.
(a) sin(π −π/6) = sin(π/6) = 1/2.
(b) (cos(π ÷π/6) = −cos(π/6) = −
1
2
√
3.
(c) By Problem 2(a), sin(−3π/4) = −sin(3π/4) = −
1
2
√
2.
(d) cos(5π/4) = cos(π/4 ÷π) = −cos(π4) = −
1
2
√
2.
(e) By formula (6), tan(7π/6) = tan(π/6) =
1
3
√
3.
(f) sin(π/12) = sin(π/3 −π/4) = sin(π/3) cos(π/4) −cos(π/3) sin(π/4) =
1
4
(
√
6 −
√
2).
B.1.7 (a) The formula for sin(x ÷y) in Problem 4 gives
√
2 sin(x ÷π/4) −cos x =
√
2(sin x cos(π/4) ÷
cos x sin(π/4)) −cos x =
√
2(sin x ·
1
2
√
2 ÷cos x ·
1
2
√
2) −cos x = sin x
(b) Since sin(π −x) = sin x and cos(2π −x) = cos(−x) = cos x, we have
sin[π −(α ÷β)]
cos[2π −(α ÷β)]
=
sin(α ÷β)
cos(α ÷β)
= tan(α ÷β)
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
110 B TRI GONOMETRI C F UNCTI ONS
(c) Formula (B.1.8) and the formulas in Problems 3 and 4 give
sin(a ÷x) −sin(a −x)
cos(a ÷x) −cos(a −x)
=
sin a cos x ÷cos a sin x −sin a cos x ÷cos a sin x
cos a cos x −sin a sin x −cos a cos x −sin a sin x
=
2 cos a sin x
−2 sin a sin x
= −
cos a
sin a
= −cot a
B.1.8 With x =
1
2
(A ÷ B) and y =
1
2
(A − B) we get sin A − sin B = sin(x ÷ y) − sin(x − y) =
sin x cos y ÷cos x sin y −sin x cos y ÷cos x sin y = 2 cos x sin y = 2 cos
A ÷B
2
sin
A −B
2
.
B.1.12 (a) This is a sine curve y = Asin(ax) with A = 2 and a(8π) = 2π, i.e. a = 1/4.
(b) y = 2 ÷cos x. (A cosine curve with amplitude 1 and period 2π shifted 2 units upwards.)
(c) y = 2e
−x/π
cos x. (An exponentially damped cosine curve with amplitude 2e
−x/π
.)
B.1.13 Since the lengths of the line segments AC and BD are equal, we have (cos x −cos y)
2
÷(sin x ÷
sin y)
2
= (cos(x ÷y) −1)
2
÷sin
2
(x ÷y). The lefthand side is
LHS = cos
2
x −2 cos x cos y ÷cos
2
y ÷sin
2
x ÷2 sin x sin y ÷sin
2
y
= 2 −2 cos x cos y ÷2 sin x sin y
and the righthand side is
RHS = cos
2
(x ÷y) −2 cos(x ÷y) ÷1 ÷sin
2
(x ÷y) = 2 −2 cos(x ÷y)
where we have repeatedly used that sin
2
u ÷ cos
2
u = 1. The equation LHS = RHS implies that
cos(x ÷y) = cos x cos y −sin x sin y.
B.2
B.2.1 (b) (x cos x)
/
= x
/
cos x ÷x(cos x)
/
= cos x −x sin x.
(c) Let u = x
2
. Then
d
dx
(tan(x
2
)) =
d
du
(tan u)
du
dx
=
1
cos
2
u
2x =
2x
cos
2
(x
2
)
.
(d) (e
2x
cos x)
/
= (e
2x
)
/
cos x ÷e
2x
(cos x)
/
= 2e
2x
cos x −e
2x
sin x = e
2x
(2 cos x −sin x).
B.2.4 (c) All you need is the chain rule and a steady hand.
B.2.5 (c) lim
t →0
1 −cos t
t
2
=
“0
0
”
= lim
t →0
sin t
2t
=
1
2
lim
t →0
sin t
t
=
1
2
by (B.2.10) (or just use l’Hôpital’s rule
again).
B.2.6 The derivative of f
/
(x) is f
/
(x) = 3(sin x −x −1)
2
(cos x −1). It is easy to see that sin x < x ÷1 for
all x > 0, because sin x ≤ 1 < x ÷1. Moreover, cos x < 1 for all x in the open interval J = (0, 3π/2).
It follows that f
/
(x) < 0 for all x in J. Thus, f is strictly decreasing in the closed interval I = [0, 3π/2],
and attains its maximum value −1 at x = 0 and its minimum value −(2 ÷ 3π/2)
3
≈ −302.43 at
x = 3π/2.
B.2.8 You can read all these values off from Table B.2.1.
B.2.9 (a) Let u = 2x. The chain rule yields
d
dx
(arcsin 2x) =
d
du
(arcsin u)
du
dx
=
2
√
1 −u
2
=
2
√
1 −4x
2
.
(b) (d/dx)(arctan v) with v = 1 ÷x
2
.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
B TRI GONOMETRI C F UNCTI ONS 111
(c) Let w =
√
x. Then
d
dx
(arccos
√
x ) =
d
dw
(arccos w)
dw
dx
= −
1
√
1 −w
2
1
2
√
x
= −
1
2
√
1 −x
√
x
.
B.2.10 (c) Integration by parts yields
I =
sin
2
x dx =
sin x(−cos x)
/
dx = sin x(−cos x) −
(sin x)
/
(−cos x) dx
= −sin x cos x ÷
cos
2
x dx = −sin x cos x ÷
(1 −sin
2
x) dx
Hence, I = −sin x cos x ÷ x − I ÷ C, and we get I =
1
2
(x − sin x cos x) ÷ C
1
, where C
1
=
1
2
C.
Note: When integrating trigonometric functions it is very easy to get wrong signs here and there, and
integration by parts also often leads to such mistakes, so it is a good rule to check the results by ﬁnding
the derivatives when that is possible.
(d) Integration by parts here too.
B.2.11 (a) Let u = cos x. Then du = −sin x dx and
tan x dx = −
du
u
= −ln [u[ ÷ C =
−ln [ cos x[ ÷C.
(b) With v = sin x, we get dv = cos x dx and
cos xe
sin x
dx =
e
v
dv = e
v
÷C = e
sin x
÷C.
(c) As in part (a), let u = cos x. Then
cos
5
x sin x dx =
−u
5
dx = −
1
6
u
6
÷C = −
1
6
cos
6
x ÷C.
B.3
B.3.3 To simplify a complex fraction (a ÷bi)/(c ÷di), where a, b, c, d are real, it is usually a good idea to
multiply both the numerator and the denominator by c − di, the conjugate of the original denominator.
This has the effect of making the denominator real (and positive) because (c−di)(c÷di) = c
2
−(di)
2
=
c
2
−d
2
i
2
= c
2
÷d
2
. Thus,
(a)
(3 ÷2i)(1 ÷i)
(1 −i)(1 ÷i)
=
3 ÷5i ÷2i
2
1 −i
2
=
1 ÷5i
2
=
1
2
÷
5
2
i, (b)
(4 −3i)(−i)
i(−i)
=
−3 −4i
1
= −3−4i.
(c) Simplify the numerator and denominator before making the denominator real:
(3 −2i)(2 −i)
(−1 −i)(3 ÷2i)
=
6 −7i ÷2i
2
−3 −5i −2i
2
=
4 −7i
−1 −5i
=
(4 −7i)(−1 ÷5i)
(−1)
2
−(5i)
2
=
−4 ÷27i −35i
2
1 −25i
2
=
31
26
÷
27
26
i.
(d)
1 −i
1 ÷i
=
(1 −i)
2
1 −i
2
=
1 −2i ÷i
2
2
=
−2i
2
= −i, so
1 −i
1 ÷i
3
= (−i)
3
= −i
3
= −i
2
i = i.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
112 B TRI GONOMETRI C F UNCTI ONS
Corrections to FMEA 2nd edn (2008), ﬁrst printing
(Spelling and grammatical mistakes are not included.)
Page 26, line 12 from the bottom. . . . (See Example B.3.2.)
Page 59, Theorem 2.3.5: In parts (b) and (c) the conclusion should be that U(x) = F(f (x)) is convex!
Page 117, Theorem 3.3.1(b): Add the assumption that S is convex.
Page 124, Problem 3.3.10: Replace the inequality in (∗) with equality.
Page 132, Theorem 3.5.1, line 1–2: Assume that f and g
1
, . . . , g
m
are deﬁned in a set S and that x
∗
is an
interior point of S.
Page 164, Problem 10, line 5: The function f must also be continuous.
Page 192, Problem 6: The differential equation has no solution deﬁned over the entire real line. We must be
satisﬁed with a function x that satisﬁes the conditions in the problem in an open interval around 0.
Page 199, Problem 6, line 2: . . . all t > 0.
Page 225, Problem 6, line 3: . . . , provided ˙ x ,= 0, we have
Page 352, Theorem 9.11.2, line 2: . . . that
∞
t
0
[f (t, x(t ), u(t ))[e
−t
dt < ∞for all . . .
Page 357, Problem 9.12.3(c), line 2: . . . with K(t ) > 0 for
Page 382: The entries in the ﬁrst column of the table should be “t ∈ [0, t
∗
]” and “t ∈ (t
∗
, T ]”.
Page 444, Problem 12.4.2(b): . . . in Theorem 12.4.1 are . . .
Page 454, formula (10): E
¸
F
/
2
(t, x
t
, x
t ÷1
(x
t
, V
t
), V
t
) [ v
t −1
¸
÷F
/
3
(t −1, x
t −1
, x
t
, v
t −1
) = 0
Page 455, line 5: . . . . Next, for t = T ,
Page 455, line 8:
2
3
v
T −1
should be
2
3
V
T −1
.
Page 457, Problem 12.6.6: The summation goes from t = 0, and the scrap value is X
1/2
T
.
Page 508: See SM (not Problem 11) for the proof of Theorem 14.1.5(c).
Page 566, Problem 2.6.1(c): f (x, y) ≈ x ÷2y −
1
2
x
2
−2xy −2y
2
Page 566, Problem 2.6.4: z ≈ 1 −x ÷y ÷
3
2
x
2
−2xy ÷
1
2
y
2
Page 566, Problem 2.7.3, line 2: . . . , w
x
= 1/2.
Page 570, Problem 3.7.3, line 2: f
∗
(r, s) =
1
4
r
2
. . . . to ﬁnd the squares of the largest
Page 570, Problem 3.8.3, line 2: Replace (c) by (b).
Page 570, Problem 3.8.5, line 1: Drop the labels (a) and (b).
Page 571: New Problem 3.11.1: See SM.
Page 574, Figure A5.2.2: The integral curve through (0, 2) is only the semicircle above the t axis.
Page 576, Problem 5.6.1: Delete “and x ≡ 0”. (We require x > 0.)
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
B TRI GONOMETRI C F UNCTI ONS 113
Page 577, Problem 5.7.3, line 2: . . . . See Fig. A5.7.3(b).
Page 582, Problem 6.9.6: Drop the references to (a) and (b).
Page 583, Problem 7.2.3: Remove (b) from line 2.
Page 586, Problem 9.4.2: . . . where A = 2e/(e
2
−1).
Page 588, Problem9.7.3: (a) . . . , x
∗
(t ) =
e
(α−2β)T ÷αt
e
(α−2β)T
−1
−
e
2(α−β)t
e
(α−2β)T
−1
=
e
(α−2β)T
−e
(α−2β)t
e
αt
e
(α−2β)T
−1
, . . .
Page 589, Problem 9.11.4: (x
∗
(t ), u
∗
(t )) =
¸
(e −e
−t
, 1) if t ∈ [−1, 0]
(e −1, 0) if t ∈ (0, ∞)
, p(t ) = e
−t
.
Page 589, Problem 9.12.3, line 1: . . . , and so
˙
C
∗
/C
∗
÷
˙
λ/λ = 0. . . .
Page 590, Problem 10.4.3, line 3: . . . . When u = 2, ˙ x = −3 and . . .
Page 591, Problem 10.6.3, line 2: Replace x
∗
by x
∗
and t
∗
by t
/
.
Page 593, Problem 11.7.2, line 1: (a) x
∗
≈ −2.94753.
Page 595, Problem 12.6.6: u
t
(x) = x
t
/4a
2
t
= x
t
/(1 ÷a
2
t ÷1
), a
T
= a/2, a
t
=
1
2
(1 ÷a
2
t ÷1
)
1/2
for t < T .
Page 595, Problem 12.6.8: x
1
=
1
2
−v
0
, x
2
= 1 −v
0
−v
1
, x
3
=
3
2
−v
0
−v
1
−v
2
Page 599, Problem 14.2.3: The demand correspondence ξ is upper hemicontinuous, but it need not be lower
hemicontinuous.
©Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
Preface
This student’s solutions manual accompanies Further Mathematics for Economic Analysis (2nd edition, FT SM ⊃ Prentice Hall, 2008). Its main purpose is to provide more detailed solutions to the problems marked with ⊂ in the text. The Manual should be used in conjunction with the answers in the book. In some few cases only a part of the problem is done in detail, because the rest follows the same pattern. At the end of this manual there is a list of misprints and other errors in the book, and even one or two in the errata list in the preliminary and incomplete version of this manual released in September this year. We would greatly appreciate suggestions for improvements from our readers as well as help in weeding out the inaccuracies and errors that probably remain. Oslo and Coventry, October 2008 Arne Strøm (arne.strom@econ.uio.no) Knut Sydsæter (knut.sydsater@econ.uio.no) Atle Seierstad (atle.seierstad@econ.uio.no) Peter Hammond (hammond@stanford.edu)
Contents
1 Topics in Linear Algebra . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 2 3 5 6 7 8 9 10 11 12 14 A Multivariable Calculus . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12 Static Optimization . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23 Differential Equations I: FirstOrder Equations in One Variable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43 Differential Equations II: SecondOrder Equations and Systems in the Plane . . . . . . . . . . . . . . . . . . 49 Differential Equations III: HigherOrder Equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56 Calculus of Variations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60 Control Theory: Basic Techniques . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65 Control Theory with Many Variables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 81 Difference Equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 92 Discrete Time Optimization . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96 Correspondences and Fixed Points . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 105 Sets, Completeness, and Convergence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 107 Corrections to the book . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 112 Version 1.0 28102008 879
© Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
4 Topics in Integration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
13 Topology and Separation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 102
B Trigonometric Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 109
CHAPTER 1
TOPICS IN LINEAR ALGEBRA
1
Chapter 1 Topics in Linear Algebra
1.2
⎞ 1 2 0 1.2.3 Let A = ⎝ 0 1 1 ⎠ be a matrix with the three given vectors as columns. Cofactor expansion of 1 0 1 A along the ﬁrst row yields 1 0 1 2 1 0 0 1 1 =1 0 1 1 0 −2 1 1 1 + 0 = 1 − 2(−1) = 3 = 0 1 ⎛
By Theorem 1.2.1 this shows that the given vectors are linearly independent. 1.2.6 Part (a) is just a special case of part (b), so we will only prove (b). To show that a1 , a2 , . . . , an are linearly independent it sufﬁces to show that if c1 , c2 , . . . , cn are real numbers such that c1 a1 + c2 a2 + · · · + cn an = 0 then all the ci have to be zero. So suppose that we have such a set of real numbers. Then for each i = 1, 2, . . . , n, we have ai · (c1 a1 + c2 a2 + · · · + cn an ) = ai · 0 = 0 (1) Since ai ·aj = 0 when i = j , the lefthand side of (1) reduces to ai ·(ci ai ) = ci ai Because ai = 0 we have ai = 0, and it follows that ci = 0.
2.
Hence, ci ai
2
= 0.
1.3
1.3.1 (a) The rank is 1. See the answer in the book. (b) The minor formed from the ﬁrst two columns in the matrix is 1 3 = −6 = 0. Since this minor 2 0 is of order 2, the rank of the matrix must be at least 2, and since the matrix has only two rows, the rank cannot be greater than 2, so the rank equals 2. −1 3 = 5 = 0, so the rank (c) The ﬁrst two rows and last two columns of the matrix yield the minor −4 7 of the matrix is at least 2. On the other hand, all the four minors of order 3 are zero, so the rank is less than 3. Hence the rank is 2. (It can be shown that r2 = 3r1 + r3 , where r1 , r2 , and r3 are the rows of the matrix.) An alternative argument runs as follows: The rank of a matrix does not change if we add a multiple of one row to another row, so ⎛ 1 ⎝ 2 −1 2 4 −2 −1 −4 −1 ⎞ 3 −2 7⎠ ← −2 ← 1 1 ∼ ⎝0 0 ⎛ 2 0 0 −1 −2 −2 ⎞ 3 1⎠. 1
© Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
because r2 = −14r1 + 9r3 . Hence the rank is 2. (The three rows. So the rank is 2 for all values of x. 2. and Peter Hammond 2008 . Knut Sydsæter.2 (a) The determinant is (x + 1)(x − 2). The rank is 2 if x = −1 or x = 2. so the rank must be less than 4. and therefore the original matrix also has rank 2. 5 6 If we strike out the second row and the ﬁrst column of the matrix. so r(A) can never be less than 2. 1 t +4 which is different from 0 for all the three special values of t that we found above. On the other hand. It follows that the matrix has rank 3. 1 −1 2 2 1 = 9 = 0. 1. the minor we get if we strike out the ﬁrst row and the third column in A is 0 1 = 1 = 0 for all x. But the ﬁrst two rows are always linearly independent. the determinant of the matrix A = ⎝ 0 1 1 ⎠ −1 x x − 1 is A = x · (−1) − 0 · 1 + (x 2 − 2) · 1 = x 2 − x − 2 = (x + 1)(x − 2) If x = −1 and x = 2. On the other hand. as are the second and fourth. The last matrix obviously has rank 2. r1 . the ﬁrst three rows and the ﬁrst three columns yield the minor 1 2 −1 −2 1 1 −1 1 = −7 = 0 −1 so the rank is at least 3. −1 x 2 if x = −1 or x = 2 Conclusion: r(A) = 3 otherwise (b) A little calculation shows that the determinant of the matrix is t 3 + 4t 2 − 4t − 16. and w. y. The rank is 3 if x = −1 and x = 2. and r3 . then A = 0 and r(A) ≤ 2. or 2 3 otherwise (c) The ﬁrst and third rows are identical. If x = −1 or x = 2.3. the rank of the matrix is 3. so the rank is 3. All the four minors of order 3 are zero.) (e) (f) The determinant of the whole matrix is zero. and if we note that this expression has t + 4 as a factor. we get the minor = 5t + 14. of the matrix are linearly dependent. −2. if t does not equal any of the numbers −2. so the rank must −1 4 be less than 3. so the rank is at least 2. © Arne Strøm. so the rank of A equals 3. r2 . 1 3 0 (d) The ﬁrst three columns of the matrix yield the minor 2 4 0 = −4 = 0. ⎛ ⎞ x 0 x2 − 2 (a) By cofactor expansion along the ﬁrst row. then A = 0.2 CHAPTER 1 TOPICS IN LINEAR ALGEBRA Here ∼ means that the last matrix is obtained from the ﬁrst one by elementary row operations. and −4. and thus the rank of the matrix is 2 if t = −4. Atle Seierstad. z. it follows that the determinant is t 3 + 4t 2 − 4t − 16 = t 2 (t + 4) − 4(t + 4) = (t 2 − 4)(t + 4) = (t + 2)(t − 2)(t + 4) Thus.
4 1. depending on the value of b. then the system has solutions if and only if b = 9/2. ⎛ ⎞ ⎛ ⎞ 11 x1 (b) Let x = ⎝ x2 ⎠. then the system has solutions if and only if −9b + 30 = 0. If a = 7. there is one degree of freedom. by using elementary row operations on the augmented coefﬁcient matrix: ⎛ ⎞ ⎛ ⎞ 1 2 3 1 1 −3 1 2 3 1 ⎝ −1 a −21 2 ⎠ ← ∼ ⎝ 0 a + 2 −18 3 ⎠← 3 7 a b ← −(a + 2) 0 1 a−9 b−3 ⎞ ⎛ 1 2 3 1 ∼ ⎝ 0 0 −a 2 + 7a −ab − 2b + 3a + 9 ⎠ ← 0 1 a−9 b−3 ← ⎛ ⎞ 1 2 3 1 ⎝0 1 ⎠ ∼ a−9 b−3 0 0 a(7 − a) −ab − 2b + 3a + 9 This conﬁrms that as long as a = 0 and a = 7. and x4 = a. if a = 0 and a = 7. x3 = −a. Because the upper left 2 × 2 minor of At is −1 = 0.4. Atle Seierstad. so r(At ) = 3 if t = 2 and t = −3. Thus. x2 = −a.CHAPTER 1 TOPICS IN LINEAR ALGEBRA 3 1. The vector equation A−3 x = ⎝ 3 ⎠ is equivalent to the equation system x3 6 x1 + 3x2 + 2x3 = 11 2x1 + 5x2 − 3x3 = 3 4x1 + 10x2 − 6x3 = 6 © Arne Strøm. and then it has solutions with 1 degree of freedom. r(A−3 ) = 2. Since there are 4 unknowns. The minor formed from the ﬁrst three columns of the coefﬁcient matrix has determinant −3 = 0. with a arbitrary. the rank of the coefﬁcient matrix is 2 (why?). If a = 0 or a = 7. the system has 4 − 3 = 1 degree of freedom. The determinant of the coefﬁcient matrix is 1 D= 1 2 −1 2 1 1 −1 = 9 = 0 3 Hence.4. (The rank of the coefﬁcient matrix is 2 and there are 3 unknowns. the system has a unique solution. the rank of At can never be less than 2. One way of ﬁnding out is by Gaussian elimination.2: since the rank of the coefﬁcient matrix is 3 and there are 3 unknowns.) (b) By Gaussian elimination (or other means) we ﬁnd that the solution is x1 = a.2 in this case.2 (a) It is clear that x1 = x2 = x3 = 0 is a solution. (This agrees with Theorem 1. 1. and Peter Hammond 2008 (1) (2) (3) . (We could get the number of degrees of freedom from Theorem 1. Thus. so r(A2 ) = 2.e.3 The determinant of the coefﬁcient matrix is a 2 − 7a = a(a − 7). But if a = 0 or a = 7.) If a = 0. by Cramer’s rule the solution is unique and the system has 0 degrees of freedom.) 1. i. the system has solutions if and only if −ab − 2b + 3a + 9 = 0. b = 10/3.4. too. and the system either has solutions with 1 degree of freedom or has no solutions at all.4. the system has a unique solution for any value of b.4. i.e. Knut Sydsæter.6 (a) At  = (t − 2)(t + 3). so the rank of the coefﬁcient matrix is 3. the system has 3 − 3 = 0 degrees of freedom.
let A. . and then we are left with the two equations x1 + 3x2 + 2x3 = 11 2x1 + 5x2 − 3x3 = 3 We can consider these equations as an equation system with x1 and x2 as the unknowns: x1 + 3x2 = 11 − 2x3 2x1 + 5x2 = 3 + 3x3 (1 ) (2 ) (1) (2) For each value of x3 this system has the unique solution x1 = 19x3 − 46. (b). B has two 6−λ 7 3 ⇐⇒ 7x = 7y for λ = −5 ⇐⇒ 3x = 7y for λ = −1 and v2 = t 1 . 2 −7 (a) The characteristic polynomial of the matrix A = is 3 −8 A − λI = 2−λ 3 −7 = λ2 + 6λ + 5 = (λ + 1)(λ + 5) −8 − λ so the eigenvalues of A are λ1 = −1 and λ2 = −5. y 2x − 7y = −x 3x − 8y = −y and 2x − 7y = −5x 3x − 8y = −5y This gives us the eigenvectors v1 = s (different from 0). and we see immediately that the eigenvalues are λ1 = 5 and λ2 = −5. respectively. and Peter Hammond 2008 . B. Atle Seierstad. Thus the vector equation A3 x = (11. so we can remove it. The eigenvectors are determined by the equation systems x + 4y = 5x 6x − y = 5y ⇐⇒ x = y and x + 4y = −5x 6x − y = −5y 3 ⇐⇒ y = − x 2 © Arne Strøm.5.e. The eigenvectors corresponding to an eigenvalue λ x are the vectors x = = 0 that satisfy Ax = λx. . 1. . i. s) where s runs through all real numbers. . 3. (b) The characteristic equation of B is B − λI = 4 = λ2 − 8λ + 20 = 0. . F denote the matrices given in (a). −7s + 19.4 CHAPTER 1 TOPICS IN LINEAR ALGEBRA Equation (3) is obviously equivalent to (2). . 2−λ −2 complex eigenvalues. 4 ± 2i.1 For convenience. . where s and t are arbitrary real numbers 1 (c) The characteristic polynomial of C is C−λI = λ2 −25. x2 = −7x3 + 19. Knut Sydsæter. 6) has the solution x = (19s − 46. . (f).5 1. and no real eigenvalues.
λ3 = 4. and the corresponding eigenvectors are ⎛ ⎞ ⎛ ⎞ ⎛ ⎞ 1 0 0 v1 = s ⎝ 0 ⎠ . 1 1 1 © Arne Strøm. Similarly. Knut Sydsæter. λ2 = 3. (f) The characteristic polynomial of F is 1 − λ −1 0 −1 2 − λ −1 = −λ3 + 4λ2 − 3λ = −λ(λ2 − 4λ + 3) = −λ(λ − 1)(λ − 3) 0 −1 1 − λ The eigenvalues are therefore λ1 = 0. so the eigenvectors are v1 = s 1 1 and v2 = t −2 3 where s and t are arbitrary nonzero numbers. The eigenvectors corresponding to λ1 = −1 are solutions of ⎧ ⎪ 2x1 + x2 − x3 = −x1 1 ⎨ x1 = 2 x3 x2 = −x1 Ex = −x ⇐⇒ ⇐⇒ x2 + x3 = −x2 ⇐⇒ 1 ⎪ x2 = − 2 x3 x3 = 2x1 ⎩ 2x1 − 2x3 = −x2 ⎛ ⎞ ⎛ ⎞ ⎛ ⎞ 1 1 2 so they are of the form v1 = s ⎝ −1 ⎠. v3 = u ⎝ 0 ⎠ 0 0 1 where s. By the same method as above we ﬁnd that ⎛ ⎞ ⎛ ⎞ ⎛ ⎞ 1 −1 1 the corresponding eigenvectors are v1 = s ⎝ 1 ⎠. Atle Seierstad. (Note: The eigenvalues of a diagonal matrix are always precisely the diagonal elements. and v3 = u ⎝ −2 ⎠. namely λ1 = −1. An extreme case is the identity matrix In : all (nonzero) nvectors are eigenvectors for In . t. But if two or more of the diagonal elements are equal. λ2 = 1. and (multiples of) the standard unit vectors will be eigenvectors.) (e) The characteristic polynomial of E is 2−λ 1 −1 = −λ3 + λ2 + 2λ = −λ(λ2 − λ − 2) 0 1−λ 1 2 0 −2 − λ The eigenvalues are the roots of the equation −λ(λ2 − λ − 2) = 0.CHAPTER 1 TOPICS IN LINEAR ALGEBRA 5 respectively. v2 = t ⎝ −1 ⎠ and v3 = u ⎝ 1 ⎠ are the eigenvectors 2 1 1 corresponding to λ2 = 0 and λ3 = 2. and Peter Hammond 2008 . u are arbitrary nonzero numbers. v2 = t ⎝ 0 ⎠. (d) The characteristic polynomial of D is 2−λ D − λI = 0 0 0 0 = (2 − λ)(3 − λ)(4 − λ) 3−λ 0 0 4−λ The eigenvalues are obviously λ1 = 2. and λ3 = 3. λ2 = 0 and λ3 = 2. there will be other eigenvectors as well. v2 = t ⎝ 1 ⎠ .
Atle Seierstad. and so we would have λ3 − λ2 − λ = 0. because x = 0. then c1 = c2 = c3 = 0.7(b) yields 4−λ 1 1 1 4 1 4−λ 1 1 = (3 − λ)4 1 + A − λI = 1 1 4−λ 1 3−λ 1 1 1 4−λ Hence. If C + In did not have an inverse. so (λ3 − λ2 − λ)x = 0. © Arne Strøm. namely x1 + x2 + x3 + x4 = 0 The system has solutions with 4 − 1 = 3 degrees of freedom. 1.4 (a) The formula in Problem 1. so the (b) The characteristic polynomial of A is p(λ) = a a−λ 0 0 0 b−λ eigenvalues of A are λ1 = 0. The 4 equations in this system are all the same. If C3 = C2 + C. which is not true for λ = −1. Hence −1 is not an eigenvalue for C. and consequently C + In has an inverse. A3 = ⎝ 4a 3 4a 3 0 ⎠ 0 0 b2 0 0 b3 ⎛ (a 1 × 1 matrix). Using the expressions for A2 and A3 that we found in part (a).5. the eigenvalues of A are λ1 = λ2 = λ3 = 3.5. then λ3 x = λ2 x + λx. it is easy to show that p(A) = −A3 + (2a + b)A2 − 2abA = 0. (b) An eigenvector x = (x1 . Then λ = −1 would be an eigenvalue for C. 0 ⎛ ⎞ 1 ⎜ 0⎟ ⎟ x2 = ⎜ ⎝ −1 ⎠ . x3 . 1. and Peter Hammond 2008 . One simple set of solutions is ⎞ 1 ⎜ −1 ⎟ ⎟ x1 = ⎜ ⎝ 0⎠.5 (c) If λ is an eigenvalue for C with an associated eigenvector x. then Cn x = λn x for every natural number n. λ3 = b. Then λ3 − λ2 − λ = 0.5. y. x4 ) of A corresponding to the eigenvalue λ = 3 must satisfy the equation system (A − 3I)x = 0. λ2 = 2a.6 CHAPTER 1 TOPICS IN LINEAR ALGEBRA ⎞ ax + ay 1. a−λ a 0 = (λ2 − 2aλ)(b − λ).2 (a) X AX = X (AX) = (x. λ4 = 7. 0 ⎛ ⎞ 1 ⎜ 0⎟ ⎟ x3 = ⎜ ⎝ 0⎠ −1 ⎛ = (3 − λ)3 (7 − λ) These three vectors are obviously linearly independent because if ⎞ c1 + c2 + c3 ⎟ ⎜ −c1 ⎟ c1 x1 + c2 x2 + c3 x3 = ⎜ ⎠ ⎝ −c2 −c3 ⎛ is the zero vector. z) ⎝ ax + ay ⎠ = (ax 2 + ay 2 + 2axy + bz2 ) bz ⎞ ⎞ ⎛ 2 ⎛ 3 2 2a 2a 4a 4a 3 0 0 A2 = ⎝ 2a 2 2a 2 0 ⎠. (c) From (b) we get p(λ) = −λ3 + (2a + b)λ2 − 2abλ. x2 .9. Knut Sydsæter. C + In  = 0.
) We therefore have the diagonalization √ √ √ √ 1 1 1 1 2 1 1 0 2 2 −2 2 2 2 2 2 −1 √ √ √ P AP = 1 √ = 1 1 1 1 2 0 3 −2 2 2 2 2 2 2 2 ⎛ ⎞ 1 1 0 (b) Let B = ⎝ 1 1 0 ⎠. It is easily seen that one eigenvector associated with the eigenvalue λ1 = 0 is x1 = (1. and so we have a suitable orthogonal matrix √ ⎞ ⎛ 1√ 1 2 2 2 2 0 √ ⎟ ⎜ 1√ 1 P = ⎝ −2 2 2 2 0 ⎠ 0 © Arne Strøm. i. and Peter Hammond 2008 0 1 . Atle Seierstad. The characteristic polynomial of A is 2 2−λ 1 1 = (2 − λ)2 − 1 = λ2 − 4λ + 3 = (λ − 1)(λ − 3) 2−λ p(λ) = Thus. ⎝0⎠ 2 2 0 0 1 Fortunately.6 1. −x1 + x2 =0 x1 − x2 =0 0=0 This gives x1 = x2 . One set of linearly independent eigenvectors with length 1 is then ⎛ ⎞ ⎛ ⎞ ⎛ ⎞ 1 1 0 1 ⎝ 1 ⎝ ⎠ √ −1 ⎠ .e. Knut Sydsæter. −1.e. P−1 = P . x3 ) associated with the eigenvalue 2 are given by (B − 2I)x = 0. x3 arbitrary. 0) . x2 . i. the eigenvalues are λ1 = 1 and λ2 = 3. The eigenvalues are λ1 = 0 and λ2 = λ3 = 2.1 (a) Let A = 2 1 1 . these three vectors are mutually orthogonal (this is not automatically true for two eigenvectors associated with the same eigenvalue). The characteristic polynomial of B is 0 0 2 1−λ 1 0 = (2 − λ) (1 − λ)2 − 1 = (2 − λ)(λ2 − 2λ) = −λ(λ − 2)2 1 1−λ 0 0 0 2−λ (use cofactor expansion of the ﬁrst determinant along the last row or the last column). Eigenvectors x = (x1 .6. √ 1 . The associated eigenvectors with length 1 are uniquely determined up to sign as √ √ 1 1 2 2 2 2 √ and x2 = 1 √ x1 = 1 −2 2 2 2 This yields the orthogonal matrix P= 1 2 2 √ 1 −2 2 √ 1 2 2 √ 1 2 2 √ (It is easy to verify that P P = I.CHAPTER 1 TOPICS IN LINEAR ALGEBRA 7 1.
−4) = diag(λ1 . and a corresponding orthogonal matrix is √ √ ⎞ ⎛ 5 5 0 10 2 − 10 2 √ √ ⎟ ⎜ 3 3 P = ⎝ − 4 10 2 5 10 2 ⎠ √ √ 3 4 4 5 10 2 10 2 A straightforward calculation conﬁrms that P CP = diag(1. ⎛ ⎞ 5 0 1 (b) The symmetric coefﬁcient matrix of Q is ⎝ 0 2 1 ⎠. it follows from Theorem 1. v = w = 5 2. λ2 = 6.7 1.7.8 CHAPTER 1 TOPICS IN LINEAR ALGEBRA It is now easy to verify that P−1 = P and ⎞ 0 0 0 P−1 BP = ⎝ 0 2 0 ⎠ 0 0 2 ⎛ ⎞ 1 3 4 (c) The characteristic polynomial of C = ⎝ 3 1 0 ⎠ is 4 0 1 1−λ 3 4 3 4 3 =4 1−λ 0 4 0 1−λ 1−λ 1−λ + (1 − λ) 0 3 3 = (1 − λ) (1 − λ)2 − 25 1−λ ⎛ (cofactor expansion along the last column). w = ⎝ 3 ⎠ 3 4 4 √ with lengths u = 5. so Q is positive deﬁnite.) © Arne Strøm.5 (a) It is clear that Q(x1 . (An alternative way to see this is to write Q as a sum of squares: Q(x1 .1 that Q is positive deﬁnite. 6. Knut Sydsæter. x3 ) = (x1 + x3 )2 + 2 2 2 (x2 + x3 )2 + 4x1 + x2 + 2x3 is obviously nonnegative and it is zero only if all the square terms are zero. we have A2 = 5A−5I. z) corresponding to the eigenvalue λ must satisfy x + 3y + 4z = λx Cx = λx ⇐⇒ 3x + y 4x = λy + z = λz One set of unnormalized eigenvectors is ⎛ ⎞ ⎛ ⎞ ⎛ ⎞ 0 5 −5 u = ⎝ −4 ⎠ . An eigenvector x = (x. x2 ) = 0 only if x1 = x2 = 0. D3 = 0 2 1 = 33 0 2 1 1 4 Since all the leading principal minors are positive. But it is not always easy to see how to rewrite a quadratic form in this fashion. The leading principal minors are 1 1 4 5 0 1 5 0 D1 = 5. and Peter Hammond 2008 .5 For the given A. and λ3 = −4. Atle Seierstad. y.7. λ2 . λ3 ). D2 = = 10. x2 . and so the eigenvalues are λ1 = 1. and A4 = 20A2 − 25A = 75A − 100I = 75 125 1. v = ⎝ 3 ⎠ . 1. x2 ) ≥ 0 for all x1 and x2 and that Q(x1 .6. Therefore A3 = A2 A = (5A−5I)A = 5A2 −5A = 20A−25I 50 75 .
by Theorem 1. and the leading principal minors are 0 2 −8 D1 = −3 < 0. The corresponding √ √ 1 1 maximum and minimum points (eigenvectors) are ± 2 2 (1. The determinant of A is 1 1 1 A = 6c − 4 (5 + c)2 = − 4 (c2 − 14c + 25) = − 4 (c − c1 )(c − c2 ) √ √ where c1 = 7 − 2 6 ≈ 2.8. respectively. D2 = 2 > 0. c2 ). the form can never be negative semideﬁnite. 1. because the constraint is simply x 2 = 1.3 Negative deﬁnite subject to the constraint. Knut Sydsæter. (3) Q is indeﬁnite if c < c1 or c > c2 . if c lies in the open interval (c1 . x2 ) = −(x1 − x2 )2 ≤ 0 for all x1 and x2 . (2) Q is positive semideﬁnite if c1 ≤ c ≤ c2 . Atle Seierstad. Hence. i.8 0 0 1. 0 0 1. by Theorem 1.899 are the roots of the quadratic equation c2 − 14c + 25 = 0.8. and Peter Hammond 2008 0 0 4 −2 1 0 0 2 −1 −3 1 4 −5 1 2 1 2 1 1 0 1 −2 1 −1 0 1 1 2 = −180 < 0 −2 2 −1 1 1 0 1 −3 0 = 25 > 0. ⎛ ⎞ −3 1 0 (d) The symmetric coefﬁcient matrix of Q is ⎝ 1 −1 2 ⎠.1.CHAPTER 1 TOPICS IN LINEAR ALGEBRA 9 (c) Since Q(x1 . Q is negative deﬁnite.10 (b) If x satisﬁes the Lagrange conditions.8. (ii) positive semideﬁnite if a11 ≥ 0.1: 1 1 1 0. if c lies in the closed interval [c1 . i. 1. −1). Q is negative semideﬁnite. i. (iii) indeﬁnite if A < 0. By Theorem 1. which are λ1 = 9 and λ2 = −5.1: 1 2 1 © Arne Strøm. a22 ≥ 0. It follows that (1) Q is positive deﬁnite if c1 < c < c2 .7. 1) and ± 2 2 (1. if c lies outside the closed interval [c1 . c2 ]. But Q is not deﬁnite.101 and c2 = 7 + 2 6 ≈ 11. since Q(x1 . the maximum and minimum values of Q(x) are simply the largest and smallest eigenvalue of Q. It is (i) positive deﬁnite if a11 > 0 and A > 0.8.e.7. and D3 = −4 < 0. and A ≥ 0.7 (a) The symmetric coefﬁcient matrix of Q is A= a11 a21 a12 a22 = 3 −(5 + c)/2 −(5 + c)/2 2c Since a11 > 0.4 Positive deﬁnite subject to the constraint.e. x2 ) = 0 whenever x1 = x2 . 0 1 . c2 ].7.e. then Q(x) = x Ax = x (λx) = λx x = λ x 2 = λ. 1.
A−1 must also be symmetric. which helps us save a little work. −xn ⎞ .) ⎛1 ⎜ x1 1. a1n ⎟ I1 −X . I4 v A11 A12 = . . .5) gives ˜ = A11 . If we use formula (1.4) we get = A22 . and in (b) it is natural to let A11 be the upper left 1×1 matrix. respectively. . 1. 1. . so −1 = 2 0 −1 −2 ⎛ ⎞ 1 1 1 1 1 2I3 − WW I3 − 2 WW 2 W W 1 = 2 . Thus the upper right submatrix of A−1 must be the transpose of the lower left submatrix. Then A−1 + A−1 A12 −1 A21 A−1 = I4 − 2 vv = I4 − 2 ⎜ 11 11 11 ⎝ 1 1 1 0 ⎠ = 2 ⎝ −1 −1 1 0⎠ and − −1 A A−1 21 11 = 1 2 I1 v I4 = 1 2v A−1 = I4 − 1 2 vv 1 2v 1 2v 1 − 2 I1 1 ⎜ −1 ⎜ 1 = 2 ⎜ −1 ⎜ ⎝ 0 1 ⎛ = 1 2 (1. where W = I2 0 . © Arne Strøm. . 1. −1 B = I1  · A − XI1 (−X ) = A + XX  and by formula (7). ⎟ can be partitioned as B = . xn an1 .9 1. 0 A22 −1 0 0 A11 A−1 11 whereas formula (1. In both cases the partitioned matrix will be of the form 0 A11 . 0). In either case we ﬁnd that . −x1 a11 . where I4 and I1 are the The matrix in (c) can be partitioned as A = A21 A22 v I1 identity matrices of orders 4 and 1.e. ⎝ . If we use formula (1. ann are as given in the problem. A12 and A21 will both be zero matrices. . ⎛ ⎞ ⎛ ⎞ 1 1 1 0 1 −1 −1 0 ⎜ 1 1 1 0 ⎟ 1 ⎜ −1 1 −1 0 ⎟ 1 1 ⎟ ⎜ ⎟. .9. and WW = ⎝ 1 1 1 ⎠. . where A and X . . and v = (1.10 CHAPTER 1 TOPICS IN LINEAR ALGEBRA 1.4) in the book. Then 1 = I2 − WW = 2 0 0 1 1 . i.3 The obvious partitioning to use in (a) is with A11 as 2×2 matrix in the upper left corner of A. ⎟ 2 0⎠ 0 −1 0 1 0 1 −1 = 1 2 v. −1 1 −1 0 1 I3 W −1 −1 1 0 1 0 0 0 0 Further. 1. Knut Sydsæter. A bit of calculation shows that − −1 W = 2 W . . we get = I1 − v v = (−2) = −2I1 .9.9. 0 0 0 2 so we ﬁnally get An alternative partitioning is A = I2 − 0 0 0 3 = 1 0 W . B = A · I1 − (−X )A−1 X = A · I1 + X A−1 X where the last factor is the determinant of a 1 × 1 matrix and therefore equal to the single element 1 + X A−1 X of that matrix. We evaluate the determinant of B by each of the formulas (6) and (7): By formula (6). −A−1 A12 11 ⎞ 0 1 0 1⎟ ⎟ 0 1 ⎟. ⎠ X A . Atle Seierstad. and Peter Hammond 2008 . . .9. 0) is the transpose of the 4 × 1 matrix (column vector) v. = 0 A22 0 A−1 22 and the answers to (a) and (b) are as given in the book. so A−1 = 1 −1 W W 2 −1 2 1 1 1 (Note that because A is symmetric. as before.9..4 The matrix B = ⎜ .
i. but we can make it so by means of elementary row operations. (II) Suppose that A is upper triangular.9. Similarly. and so. while operation (ii) multiplies the value by −1. cofactor expansion along each of the ﬁrst n rows shows that ED = Im + BA. (The sign factors will match.e. and since σ1 + σ2 = σ . the term in question will be a product of one term in the sum 1 making up A11  and one from the sum 2 that makes up A22 . and Peter Hammond 2008 . The number σ of sign changes that A undergoes is then the sum of the numbers σ1 and σ2 of sign changes inﬂicted on A11  and A22 . By the formula we showed for the upper triangular case. then the second column. (See EMEA or almost any book on linear algebra for details. etc.) A term in this sum will automatically be zero unless the factors from the ﬁrst k columns are taken from A11 and the last n − k factors from A22 . Atle Seierstad. we could use formula (7) with A22 = Im to evaluate DE and formula (6) with A11 = In to evaluate ED. To show the formula transposed matrix. (Just think of cofactor expansion along the ﬁrst column. Knut Sydsæter. Each of these terms is the product of a sign factor and n elements from A. simply look at the determinant 11 A22 0 A21 of the A22 (b) The equality follows by direct multiplication. where A11 is a k × k matrix and A22 is (n − k) × (n − k). Of course.CHAPTER 1 TOPICS IN LINEAR ALGEBRA 11 1. chosen so that no two elements are taken from the same row of A or from the same column. We perform such operations on the ﬁrst k rows of A in such a way that A11 becomes upper triangular. (a) Let A = (I) By deﬁnition.6 A11 A12 . Then A11 and A22 are also upper triangular. the ﬁrst factor on the left has determinant Ik  In−k  = 1. in the general case A need not be upper triangular at all. By the result in (a). We know that the determinant of a triangular matrix equals the product of the elements on the main diagonal.9. We will consider 0 A22 two ways to demonstrate that A = A11  A22 . A11 A21 A − A12 A−1 A21 A12 22 = 11 A21 A22 −A Im 0 = A11 − A12 A−1 A21  A22  22 A22 1. If the factors are selected in this way. Alternatively.) All such pairs of terms will occur exactly once and so A = 1 2 . and then operate on the last n − k rows of A such that A22 becomes upper triangular. Operation (i) does not affect the value of the determinant. (−1)σ A = (−1)σ1 A11  · (−1)σ2 A22 . by (a) again. all elements below the main diagonal are 0. A = A11  A22 . that is. the determinant of the n × n matrix A is a sum A of n! terms. more speciﬁcally the operations of (i) adding a multiple of one row to another row and (ii) interchanging two rows. we get A = A11  A22  in the general case too. © Arne Strøm. respectively.7 (a) With D = In 0 A Im DE = and E = In B we get and ED = In B 0 Im + BA In + AB 0 B Im Cofactor expansion of the determinant of DE along each of the last m columns shows that DE = In + AB.) In this case it is clear that A = A11  A22 . The sign factor ±1 is determined by the positions of the elements selected. A11 A21 A 0 = A11  A22 .
. 1 an − 1 0 a2 − 1 . 1.. 1) · b = √ (0. ⎠ an an − 1 0 0 . . and the unit vector in this direction is a = √1 (−4. . . . −2z)..8. an − 1 ⎞ ⎟ ⎟ (In + AB) ⎠ ⎜1 G=⎜ . AB is an n × n matrix with every column equal to A. 1) is b = √3 (1. . ⎟ .. ⎠ ⎝ . Knut Sydsæter. .. 1). 1) · (1. x 2 exy − x. .. (b) The gradient of g is ∇g(x. . . 1. Therefore a1 ⎜ a1 − 1 ⎜ ⎜ 1 ⎜ F = In + AB = ⎜ a2 − 1 ⎜ ⎜ .1. . 1. .. 2 + y 2 + z2 2 + z2 x 2 + y 2 + z2 x x +y © Arne Strøm.. 1 .. . 1.. 1. .5 (a) The vector from (3.. 1) is a = the directional derivative of f in this direction at (2.. and Peter Hammond 2008 . .. ⎝ .1) equals (2. 1) is 1 v v= 1 √ (1. 1) = √ = 2 2 2 2 Note: It is pure coincidence that the gradient of f at (2. . .. −1. z) = ((1 + xy)exy − y. . −2) · (1... . 1 ⎞ a1 − 1 ⎟ ⎟ 1 ⎟ ⎟ a2 − 1 ⎟ ⎟ .. Atle Seierstad. . . 0. . 1) · (1. 2.1. 1 1 a2 . 0 From the result in (a) it follows that G = (a1 − 1)(a2 − 1) · · · (an − 1) In + AB = (a1 − 1)(a2 − 1) · · · (an − 1) I1 + BA n = (a1 − 1)(a2 − 1) · · · (an − 1) 1 + i=1 1 ai − 1 Chapter 2 Multivariable Calculus 2. z) = y ln(x 2 + y 2 + z2 ) + 2x 2 y 2xy 2 2xyz . . x ln(x 2 + y 2 + z2 ) + 2 .. y. 1) = (−4. 1) · a = √ ∇f (2. ⎝ 1 an − 1 ⎛a 1 ⎛ and 1 a1 − 1 a2 a2 − 1 . 1). 0 . 1) = ∇f (2. 1) to (−1.1 2. . 1. 1 1 . −1. 1) = − √ = − 3 3 3 2. 2) is (−1. .3 (a) The unit vector in the direction given by v = (1. . ⎟ . and the unit vector in the 1 direction given by (1. an ⎞ ⎛a − 1 1 ⎟ ⎜ 0 ⎟=⎜ . . Formula (2..12 CHAPTER 2 MULTIVARIABLE CALCULUS (b) With A and B as in the hint. y. 1. 2. 1) = √ (2. 2 By formula (2.8) √ 1 3 2 1 3 fa (2..1.1) gives √ 1 2 2 3 gb (0.. 1). The gradient of f is 18 ∇f (x.1). 1) = ∇g(0. ⎜ . 2) − (3. 1).
2/3) · (−4.6 (a) If x and y are points in S and λ ∈ [0. but it is not convex. 2/3). what we get when we remove the spherical “shell” {x : x = r} from S. . We can continue in this fashion. The set S2 is the spherical shell we mentioned. It follows that S is convex. k = 0. but we √ know that 2 is irrational. 0) = 4. 0) = 4a = √ (1. 1. The triangle inequality shows that S1 is convex.8) the directional derivative of f at (1. 3) = 10 5 10 2. 2n . . while S3 consists of the shell and the part of n that lies outside S. 2n 2 2 2n © Arne Strøm. . Hence. Neither S2 nor S3 is convex. and then it contains y21 = 2 (x1 + y1 ) = 4 x1 + 4 x2 and y22 = 2 (y1 + x2 ) = 4 x1 + 4 x2 . y) F F −F F F F F −F F = − 11 2 2 1 21 · 1 − 12 2 2 1 22 − 1 (F2 ) (F2 ) F2 = dy dx −F11 (F2 )2 + 2F12 F1 F2 − F22 (F1 )2 −(F11 F2 − F1 F21 )F2 + (F12 F2 − F1 F22 )F1 = (F2 )3 (F2 )3 (Remember that F21 = F12 . Hence. . y). 0) = ∇f (0. 1. let t = r1 + (r2 − r1 )/ 2. y) dx ∂y F2 (x. then x ≤ r. t = 4 and √ √ 2 10 4 4 10 (1. 2. 1) · (−4. fa (0.e. and by the chain rule for functions of several variables. −1. by (2. . Let x1 and x2 be points in S. 2. 1). and let λ in (0. 1) the direction of fastest growth for f is given by ∇f (1. On the other hand. If t were rational. 1]. The set S = of rational numbers is midpoint convex. and we ﬁnd that S must contain all points of the form 2n − k k k k x1 + x2 = n x1 + 1 − n x2 . ln 3 + 2/3. y)/F2 (x. 1. 3) and therefore 10 ∇f (0. λx + (1 − λ)y belongs to S.2. 0) · a = ta · a = t a 2 = t. i. 0) is a = √1 (1. 1.6 The unit vector in the direction of maximal increase of f at (0. y = ∂ F1 (x. 3) = (1.CHAPTER 2 MULTIVARIABLE CALCULUS 13 By formula (2. −1.1. ln 3+2/3. . 1.) Expanding the determinant in the problem yields precisely the numerator in the last fraction.9 (a) We know that y = −F1 (x.2. Since S is midpoint convex. . (b) S1 is the interior of the ball S. and Peter Hammond 2008 n = 1.1. Knut Sydsæter. λx + (1 − λ)y ≤ λ x + (1 − λ) y ≤ λr + (1 − λ)r = r. 3. 0) = ta for a number t ≥ 0. and by the triangle inequality. 3) ∇f (0. We shall prove that the point z = λx1 +(1−λ)x2 belongs to S. We also know that fa (0. y ≤ r.8). Then t √ lies between r1 and r2 . y) d ∂ F1 (x. 1) √ √ = (1/ 18 ) (ln 3 + 2/3. then 2 = (r2 − r1 )/(t − r1 ) would also be rational. it must contain 1 1 3 1 1 1 3 y1 = 2 (x1 + x2 ). y) dx (y ) = − − dx ∂x F2 (x. .2 2. For example. 1) = (1/ 18 ) ∇f (1. 1) = (ln 3+2/3. 1. 1) = −(5 ln 3 + 8/3)/ 18 (b) At (1.1. (b) Suppose S is midpoint convex and closed. 1) in the direction a is √ fa (1. Atle Seierstad. with x1 < x2 . constructing new midpoints between the points that have already been constructed.7 (a) Let us call a set S of numbers midpoint convex if 2 (x1 + x2 ) whenever x1 and x2 belong to S. for between any two rational √ numbers r1 and r2 there are always irrational numbers. 1 2.1. 2.
v2 ) = A(δ1 v1 + δ2 v2 ) is a linear function. So w is a convex function of an afﬁne function. By Theorem 2.6 (b) Let λ2 > λ1 > 0 and deﬁne μ = λ1 /λ2 . 1 3 1 (c) Take any x = 0 in the domain of f . try to write them out in full for the case k = 3 (or k = 2). Also. (c) w = u2 . 2. Now let r be any positive number. In order to prove that S is an interval. Let n be so large that (x2 − x1 )/2n < 2r. r) = (z − r. x belongs to S. Then x is a convex combination of α and β.8).3.3 2. so f (λ2 x)/λ2 ≤ f (λ1 x)/λ1 . v2 ) = P v1 v2 . Section 12. Then B must contain at least one of the points (k/2n )x1 + (1 − k/2n )x2 constructed above. b). 1) and by the concavity of f we have μf (λ2 x) + (1 − μ)f (0) ≤ f (μλ2 x + (1 − μ)0). Knut Sydsæter. It is not strictly convex.3. then f (λx)/λ is strictly decreasing as a function of λ. because it is constant on every plane of the form x + 2y + 3z = c. y) = −ex − ex+y . b = sup S (where a and b may be ﬁnite or inﬁnite). Since f is homogeneous of degree 1. and since S is convex. the “direct” second derivatives f11 and f22 have the same sign as −(ρ + 1). (b) z is strictly convex.6 on homogeneous functions in EMEA.3. The distance between two neighbouring points in this collection is (x2 − x1 )/2n . but with care and patience you will ﬁnd that 2 f11 (v1 . y) = −ex+y . 2. and Peter Hammond 2008 . 2. y) < 0 and z11 z22 − (z12 )2 = e2x+y > 0.g. there exists a β in S with x < β. there is an α in S with α < x.e. so z11 (x. z + r) around z. and concave if ρ ≥ −1. y) = −ex+y . for each n we ﬁnd 2n + 1 evenly spaced points in the interval [x1 . see e. b). −ρ 2 f22 (v1 . Note that zij = ai aj z/xi xj © Arne Strøm. If ρ = −1 then f (v1 . where u = x + 2y + 3z. and z22 (x. The equation f11 f22 − (f12 )2 = 0 is a consequence of the fact that f is homogeneous of degree 1. hence convex according to (2. it is linear along each ray from the origin and therefore it cannot be strictly convex or strictly concave for any value of ρ. Then a < b.3. Since x < b = sup S.2. f12 (v1 . 2. i. so B contains at least one point from S. 3 2 f (x) = 2. it sufﬁces to show that S contains the open interval (a.8 The challenge here is mainly in getting the derivatives right. however. Similarly. (λ1 /λ2 )f (λ2 x) ≤ f (λ1 x).1 that f is convex if ρ ≤ −1. Let x be a point in (a. z12 (x. Then x = 2x and f ( 2 x + 2 2x) = f ( 2 x) = 1 1 1 2 f (x) + f (x) = 2 f (x) + 2 f (2x).3.9 (a) This is mainly an exercise in manipulating determinants.5 (a) z11 (x. and let a = inf S. It follows that z does indeed belong to cl(S) = S. Then μ ∈ (0.1. z is a strictly concave function of x and y. which indeed is both convex and concave.3. and consider the open rball (open interval) B = B(z.3. Atle Seierstad. and therefore constant along each line joining two points in such a plane. It also follows that if f is strictly concave.8 Let S be a convex subset of containing more than one point. v2 ) = −P v1 −ρ −(1/ρ)−2 where P = (ρ + 1)δ1 δ2 A(v1 v2 )−ρ−2 δ1 v1 + δ2 v2 These formulas show that for all v1 and v2 . Therefore f cannot be strictly concave. If you feel that the calculations below look frightening. because z11 = ex+y + ex−y > 0 and z11 z22 − (z12 )2 = 4e2x > 0. f11 f22 − (f12 )2 = 0 everywhere. x2 ] that all belong to S.14 CHAPTER 2 MULTIVARIABLE CALCULUS Thus. It follows from Theorem 2. v2 ) = −P v2 .
ak (ak − 1) z 2 xk a1 a2 − 1 . ak a1 z xk x1 a1 x1 a2 − 1 x2 . . (x1 x2 . ak x2 = zk . ak · · · sk − 1 ··· a2 .. and zii = ai (ai − 1)z/xi2 . ak k z (x1 x2 . . . . ak xk ··· ··· .2(b) that f is strictly concave. · · · ak − 1 z11 Dk = z21 .20) tells us that a common factor in any column (or row) in a determinant can be “moved outside”. . then sk = k ai < 1 for all k.. . . . . . . . . Therefore. . . . 3. so if n ai < 1. Let sk = k ai = a1 + · · · + ak . . Rule (1.. a1 (a1 − 1) z 2 x1 a2 a1 z x2 x1 = . zkk . . ak k z x1 x2 . . a k a2 z xk x2 ··· ··· . . xk )2 1 a2 .. . It follows from Theorem 2. . . . . 1 a2 . . . .. = (−1)k−1 (sk − 1) .. © Arne Strøm. (b) More determinant calculations. . . . . xk )2 .1. . z1k z2k . . xk a1 − 1 x1 a2 x2 . .. ak xk ··· a1 x1 a1 − 1 a2 a2 (2) a1 a2 .22) says that this does not change the value of the determinant. . Knut Sydsæter. . .. . k to the ﬁrst row. . Atle Seierstad. so 1 a2 . . . . We use the expression for Dk that i=1 we found in part (a). . zk1 z12 z22 . ak k z . ak k z (x1 x2 .. . xk )2 = (sk − 1) 1 a2 − 1 . . . . Then each entry in the ﬁrst row becomes equal to sk − 1. a 1 ak z x1 xk a2 ak z x2 xk . and Peter Hammond 2008 .. Dk = a1 a2 . a1 a2 z x1 x2 a2 (a2 − 1) z 2 x2 . . ak k z (x1 x2 . . .. . . . and add rows 2. . . . . . . . . · · · ak − 1 ··· ··· . (x1 x2 .3. .. . xk )2 (c) By assumption. ak ak − 1 xk where equality (1) holds because aj z/xj is a common factor in column j for each j and equality (2) holds because 1/xi is a common factor in row i for each i. . . . . Rule (1.. . ak 0 ··· 0 −1 · · · 0 a1 a2 . . . Therefore Dk i=1 i=1 has the same sign as (−1)k . sk − 1 a2 . ai > 0 for all i. . ak a1 a2 . . Afterwards we take the common factor sk − 1 in row 1 and move it outside. xk )2 . ··· (1) = a1 a2 . ak · · · ak − 1 Now subtract column 1 from all the other columns. . ak sk − 1 a2 − 1 . . . . . ak ··· a1 ··· a2 .CHAPTER 2 MULTIVARIABLE CALCULUS 15 for i = j . .1. . zk2 . . 0 · · · −1 Dk = (sk − 1) a1 a2 .
4y0 ).2) holds for all natural numbers m. y0 ) © Arne Strøm. . since f is concave. y0 ) = 3 3 (4x0 . . μf (y) = μf λk+1 λk xk + xk+1 μ μ ≥μ λk λk+1 f (xk ) + f (xk+1 ) = λk f (xk ) + λk+1 f (xk+1 ) μ μ (∗) and this inequality together with (∗) yields f (λ1 x1 + · · · + λk+1 xk+1 ) ≥ λ1 f (x1 ) + · · · + λk−1 f (xk−1 ) + λk f (xk ) + λk+1 f (xk+1 ) which shows that A(k + 1) is true. y0 ) − ∇f (x0 . To show that f is concave. . y) − f (x0 . . 2.4. y0 ) > ∇f (x0 . By assumption. 2. it follows that λf (x) + (1 − λ)f (y) − f (z) = λ[f (x) − f (z)] + (1 − λ)[f (y) − f (z)] ≤ p · [λ(x − z) + (1 − λ)(y − z)] = p · 0 = 0 by the deﬁnition of z. Then z = λx + (1 − λ)y belongs to S. Note that both (i) and (ii) are necessary for this conclusion. and A(2) is also true. y0 ) · (x − x0 . . y belong to S and let λ ∈ [0. y) if and only if f (x. By A(k) we have f (λ1 x1 + · · · + λk+1 xk+1 ) = f (λ1 x1 + · · · + λk−1 xk−1 + μy) ≥ λ1 f (x1 ) + · · · + λk−1 f (xk−1 ) + μf (y) Moreover. . y0 ) · (x − x0 .” We shall prove that A(m) is true for every natural number m. . Now suppose that A(k) is true. . y0 ). and so y ∈ S. since f is concave. and Peter Hammond 2008 . y) = (x0 . Since ∇f (x0 . . It is obvious that A(1) is true. and (λk /μ) + (λk+1 /μ) = 1.5 Let x. xk+1 be points in S and let λ1 .4. . We can assume that λk+1 > 0. . and therefore f (x) − f (z) ≤ p · (x − z) and f (y) − f (z) ≤ p · (y − z) Since both λ and 1 − λ are nonnegative. The point y is a convex combination of xk and xk+1 . xm in S and all λ1 ≥ 0. f has a supergradient p at z. we have f (x. for otherwise we are really in the case m = k. Then μ = λk + λk+1 > 0 and we can deﬁne y = (1/μ)(λk xk + λk+1 xk+1 ). .3 We shall show that Jensen’s inequality (2.1(c) tells us that f (x. . Knut Sydsæter. Let f be a function deﬁned on a convex set S in n and for each natural number m let A(m) be the following statement: “The inequality f (λ1 x1 + · · · + λm xm ) ≥ λ1 f (x1 ) + · · · + λm f (xm ) holds for all x1 . where k is some natural number greater than 1. Atle Seierstad. (ii) A(k) ⇒ A(k + 1) for every natural number k ≥ 2. To sum up. y) = x 4 + y 4 is a strictly convex function of (x. y − y0 ) whenever (x. It then follows by induction that A(m) is true for all m ≥ 2.4. We shall prove that A(k + 1) is also true. x0 ) + p(y.4 2.4.16 CHAPTER 2 MULTIVARIABLE CALCULUS 2. y − y0 ) = p(x. λm ≥ 0 with λ1 + · · · + λm = 1. y) − f (x0 . we have shown that: (i) A(2) is true.6 Theorem 2.4. . 1]. not just for m = 3. λk+1 be nonnegative numbers with sum 1. . . since it just says that f (x) = f (x). Let x1 . it is sufﬁcient to show that λf (x) + (1 − λ)f (y) ≤ f (z).
t0 ) > 0 whenever t = t0 .2(c) Neither P a nor Pa y 3 f (x) ≤ −1 2 1 1 2 3 4 x 3 2 1 1 y y = x3 + x2 + 1 y = f (x) 1 2 3 x Figure M2. Alternatively. Then f is quasiconcave on the interval (a. so it is concave and therefore also quasiconcave. p(t. 2. Their sum. So f is increasing in (−∞. f (x) + g(x) = x 3 − x. b) and that there is a point c in (a. y0 ) > 0 unless both x = x0 and y = y0 . f (y)} for all z between x and y. (c) The set of points for which f (x. so f is not quasiconcave.1(a) and note that if x and y are points in (a.5. and consider the behaviour of f over the interval [x. and Peter Hammond 2008 . t0 ) = t 4 − t0 − 4t0 (t − t0 ) for all t and t0 . M2. and also in the case of a closed or halfopen interval. for instance.2(d). y] in each case. y) ≥ −1 is P−1 = {(x.2 (a) f is linear.5. We just have to look at each of the three possibilities x < y ≤ c.2(c). ∞). b). −2/3]. b).2(d) The graph of f .5. and decreasing in [−2/3. which is not a convex set (see Fig. y) : y ≤ x −2/3 }. so it is divisible by t − t0 . We could use this argument in Problem 2. Hence.4. t0 ) = (t − t0 )(t − t0 )(t 2 + 2tt0 + 3t0 ) = (t − t0 )2 [(t + t0 )2 + 2t0 ] The expression in square brackets is strictly positive unless t = t0 = 0. x ≤ c < y. This follows because the upper level sets must be intervals. © Arne Strøm. is not quasiconcave.5. and polynomial division yields 2 2 p(t.5 2.) (d) The polynomial x 3 + x 2 + 1 is increasing in the interval (−∞. then f (z) ≥ min{f (x). then f is quasiconvex. Now suppose f is a function deﬁned on an interval (a.5. 4 f (x) ≤ −1 3 2 1 4 3 2 1 1 2 Figure M2. M2. A note on quasiconcave functions of one variable It is shown in Example 2. we could use the result in the note below. if f is decreasing to the left of c and increasing to the right. Atle Seierstad. (See Fig. The second factor here is 0 if t = t0 . and it follows that f is quasiconcave. c] and decreasing on [c.5. it follows from Example 2. t0 ) = (t − t0 )(t 3 + t 2 t0 + tt0 − 3t0 ). 2.5.2 that both of these functions are quasiconcave as well as quasiconvex. Now. b such that f is increasing on (a. and c < x < y.CHAPTER 2 MULTIVARIABLE CALCULUS 17 4 3 2 3 where p(t.5. −2/3] and decreasing in [−2/3. though. Alternatively we can use Theorem 2. Knut Sydsæter.2 in the book that a function of one variable that is increasing or decreasing on a whole interval is both quasiconcave and quasiconvex on that interval.6 Since f is decreasing and g is increasing. x0 ) + p(y. Similarly. b).2(d). 0]. (It is quasiconvex in the ﬁrst quadrant.5. so it follows that p(t. is convex for a = −1. This argument also holds if a = −∞ or b = ∞.) Then the upper level sets must be intervals (or empty). where P−1 is the unshaded part of the plane). p(x.
0) + f12 (0. 2. Assume ﬁrst that x and y do not lie on the same ray from the origin in n . and (see the original proof) f (λx + (1 − λ)y) = f (μx + (1 − μ)y ) > f (x ) = f (y ) = μf (x ) + (1 − μ)f (y ) = (μβ/α)f (x) + (β − βμ)f (y) = λf (x) + (1 − λ)f (y) with strict inequality because f is strictly quasiconcave. Similarly.5. f (y)}.5. and we want to prove that h is strictly concave in the convex cone K. y) = x 2 ex. it is clear from Fig. and therefore h(λx + (1 − λ)y) = f (λx + (1 − λ)y) q > λf (x) + (1 − λ)f (y) q > λf (x)q + (1 − λ)f (y)q = λh(x) + (1 − λ)h(y) It remains to show that h(λx + (1 − λ)y) > λh(x) + (1 − λ)h(y) in the case where x and y lie on the same ray from the origin. f11 (x.3. Deﬁne a new function f by f (x) = h(x)1/q . f12 (x.11 With apologies to the reader. and since f is strictly decreasing in [x ∗ .6 in the answer section of the book that the upper level set P0 = {x : f (x) + g(x) ≥ 0} = [−1. and so f + g is not quasiconvex either. So h(x) is strictly quasiconcave and homogeneous of degree q ∈ (0. y) = y 2 exy . 1] is not convex. f22 (x. 1). ∞). y) = yexy . which is not a convex set of . y) = xexy . Then both f (x) and f (y) are strictly positive and we can deﬁne α. Knut Sydsæter. Then f (x) is also strictly quasiconcave (use the deﬁnition) and satisﬁes the conditions of Theorem 2. In both cases we get f (z) > min{f (x). then f (z) > min{f (x). and Peter Hammond 2008 . we get f (z) > f (y). We get x = y and f (x ) = f (y ).1 (a) f1 (x. the lower level set P 0 = (−∞. x ∗ ] and [x ∗ . and in such cases f cannot be strictly concave. There are two cases to consider: (A) Suppose z ≤ x ∗ . these derivatives all vanish at the origin. © Arne Strøm.5.7 (a) Let f be singlepeaked with a peak at x ∗ . we have f (z) > f (x). for example.6. y) ≈ f (0. we would like to change the name of the function from f to h.y . For instance. ∞). 0] ∪ [1. Since x < z ≤ x ∗ and f is strictly increasing in the interval [x. we want to prove that if x < y and z is a point strictly between x and y. with h(x) > 0 for all x = 0 in K and h(0) = 0. and y as in the proof of Theorem 2. x ∗ ]. y) = exy + xyexy . Since the qth power function is strictly concave. x . Since 0 < q < 1.6 2. it may. f (y)}. It follows that h(λx + (1 − λ)y) = h (λ + (1 − λ)t)x = λ + (1 − λ)t h(x) > λ + (1 − λ)t q h(x) = λh(x) + (1 − λ)h(tx) = λh(x) + (1 − λ)h(y) q 2. Then x ∗ < z < y. Let x = y and let λ ∈ (0. or in parts of one or both of these intervals. 0)xy = 1 + xy. y]. We want to prove that f is strictly quasiconcave. That is. −1] ∪ [0. Even if f is concave.5. (B) Suppose x ∗ < z.5. 2. so we are left with the quadratic approximation f (x. and so f is strictly quasiconcave (b) No. be linear in each of the intervals (−∞. We can assume that x = 0 and y = tx for some nonnegative number t = 1.3.18 CHAPTER 2 MULTIVARIABLE CALCULUS however. μ. (λ + (1 − λ)t)q > λ1q + (1 − λ)t q = λ + (1 − λ)t q . 1). A2. f2 (x. Atle Seierstad. With the exception of f12 . the qth power function t → t q is strictly increasing and strictly concave. β.
0) is therefore 1 3 z ≈ 1 − x + y + 2 x 2 − 2xy + 2 y 2 (The ﬁrst printing of the book has a misprint in the answer to this problem. y) = − . keeping in mind that z is a function of x and y. Equations (1) and (2) give zx = −1 and zy = 1 (at the particular point we are interested in). 0) = −4.) 2.6. 0) = f2 (0. f12 (x. That procedure leads to some rather nasty fractions with a good chance of going wrong. f11 (0. f2 (0. f22 (x. 1 2 . 0. (c) The ﬁrst. f2 (x. 0)y + 2 f11 (0. and zyy = 1. so by the implicit function theorem the equation deﬁnes z as a C 1 function g(x. 0)y 2 = 1 + x 2 − y 2 . y.) 2. y) = − . f2 (0. With x = y = 0 we get ln z = 0. y) = −4xyex −y . 0) = 0. f22 (0.7. too—the coefﬁcient of x 2 is wrong. 0)x 2 + f12 (0. 0) = −1. 1) = 3 = 0. 0. In order to ﬁnd the Taylor polynomial we need the ﬁrst. zxy = −2. Since F3 (x. We get zx /z = 3x 2 y − z − xzx zy /z = x − xzy + 1 3 ⇒ ⇒ (1 + xz)zx = 3x 2 yz − z2 (1 + xz)zy = x z + z 3 (1) (2) Taking derivatives with respect to x and y in (1). 0)x + f2 (0. y) around (0. f12 (x. z) = 0.CHAPTER 2 − 2 2 2 MULTIVARIABLE CALCULUS 2 2 2 19 2 (b) f1 (x. y. 0) + f1 (0. z is a C 1 function of x and y around this point. and then (3)–(5) give zxx = 3.and secondorder derivatives are: f1 (x. f2 (x. where F (x. 2 2 f22 (x. y.7 2. we can let x = y = 0 and z = 1 in the equations we have found. we get (z + xzx )zx + (1 + xz)zxx = 6xyz + 3x 2 yzx − 2zzx xzy zx + (1 + xz)zxy = 3x z + 3x yzy − 2zzy 2 2 (3) (4) (5) and differentiating (2) with respect to y. y) = 2xex y . 0) = 2. and then take derivatives of these expressions to ﬁnd the secondorder derivatives. 0) = −2. 0) is 1 1 f (x. y) = −2yex −y . y) = (−2 + 4y 2 )ex −y . y.2 (a) F (x. f11 (x. and F3 (0. z) and the corresponding formula for zy . so z = 1. y) in a neighbourhood © Arne Strøm. The quadratic approximation to z around (0. y. 1 1 Quadratic approximation: f (x. z) = x 3 + y 3 + z3 − xyz − 1 is obviously C 1 everywhere. y) = (2 + 4x 2 )ex −y . f11 (0. f1 (0. One possibility is to use the formula zx = −F1 (x. we get xzy zy + (1 + xz)zyy = x 3 zy + zy Now that we have ﬁnished taking derivatives. 0) = 1. 0)xy + 2 f22 (0. y) = − 2 2 (1 + x + 2y) (1 + x + 2y) (1 + x + 2y)2 At (0. y) ≈ f (0. 0) = 0. 0)x 2 + 2 f22 (0. z) = 1/z + x = 1 = 0 at (x. and Peter Hammond 2008 . y) ≈ f (0. and the quadratic approximation to f (x. 1). z)/F3 (x. f12 (0. f11 (x. z) = ln z − x 3 y + xz − y. 0) + 2 f11 (0. 0) = −2. 0) = 1. 0) we get f (0. Hence. y) = . y.4 z is deﬁned implicitly as a function of x and y by the equation F (x. f1 (0. y. y) = 1 + x + 2y 1 + x + 2y 2 4 1 . so instead we shall differentiate the equation ln z = x 3 y − xz + y. f22 (0. Atle Seierstad. Knut Sydsæter. 0) = 2.and secondorder derivatives of z with respect to x and y. 0)y 2 1 = 1 + x + 2y − 2 x 2 − 2xy − 2y 2 (There is a misprint in the answer in the ﬁrst printing of the book. z) = (0.
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of (x0 , y0 , z0 ) = (0, 0, 1). To ﬁnd the partial derivatives g1 and g2 there is no need to use the matrix formulation in Theorem 2.7.2. After all, g is just a single realvalued function, and the partial derivative g1 (x, y) is just what we get if we treat y as a constant and take the derivative of g with respect to x. Thus, g1 (x, y) = −F1 (x, y, z)/F3 (x, y, z) = −(3x 2 − yz)/(3z2 − xy) and, in particular, g1 (0, 0) = −F1 (0, 0, 1)/F3 (0, 0, 1) = 0. Likewise, g2 (0, 0) = 0. (b) As in part (a), F3 is C 1 everywhere and F3 (x, y, z) = ez − 2z = 0 for z = 0, so the equation F = 0 deﬁnes z as a C 1 function g(x, y) around (x0 , y0 , z0 ) = (1, 0, 0). We get g1 (x, y) = −F1 (x, y, z)/F3 (x, y, z) = 2x/(ez − 2z) and g2 (x, y, z) = −F2 /F3 = 2y/(ez − 2z), so g1 (1, 0) = 2 and g2 (1, 0) = 0. 2.7.3 The given equation system can be written as f(x, y, z, u, v, w) = 0, where f = (f1 , f2 , f3 ) is the function 3 × 3 → 3 given by f1 (x, y, z, u, v, w) = y 2 − z + u − v − w 3 + 1, f2 (x, y, z, u, v, w) = −2x + y − z2 + u + v 3 − w + 3, and f3 (x, y, z, u, v, w) = x 2 + z − u − v + w3 − 3. The Jacobian determinant of f with respect to u, v, w is ∂(f1 , f2 , f3 ) = ∂(u, v, w) 1 −1 1 3v 2 −1 −1 −3w2 −1 = 6w2 − 2 3w 2
This determinant is different from 0 at P , so according to Theorem 2.7.2 the equation system does deﬁne u, v, and w as C 1 functions of x, y, and z. The easiest way to ﬁnd the partial derivatives of these functions with respect to x is probably to take the derivatives with respect to x in each of the three given equations, remembering that u, v, w are functions of x, y, z. We get ⎫ ⎧ ux − vx − 3w 2 wx = 0 ⎪ ⎪ ux − vx − 3wx = 0 ⎬ ⎨ −2 + ux + 3v 2 vx − wx = 0 , so at P we get u − wx = 2 ⎪ ⎪ x ⎭ ⎩ 2 2x − ux − vx + 3w wx = 0 −ux − vx + 3wx = −2 The unique solution of this system is ux = 5/2, vx = 1, wx = 1/2. (In the ﬁrst printing of the book wx was incorrectly given as 5/2.) 2.7.4 The Jacobian determinant is is nonzero for all u (and v). fu gu fv eu cos v = u e sin v gv −eu sin v = e2u (cos2 v + sin2 v) = e2u , which eu cos v
(a) eu = 0, so the equations imply cos v = sin v = 0, but that is impossible because cos2 v + sin2 v = 1. (b) We must have cos v = sin v = √−u , and since cos2 v + sin2 v = 1 we get 2 cos2 v = 1 and e √ 1 therefore sin v = cos v = 1/2 = 2 2. (Remember that cos v = e−u cannot be negative.) The only 1 values of v that satisfy these equations are v = ( 4 + 2k)π , where k runs through all integers. Further, √ √ 1 eu = 1/ cos v = 2 gives u = 2 2. 2.7.6 The Jacobian is x1 . We ﬁnd that x1 = y1 + y2 , x2 = y2 /(y1 + y2 ) (provided y1 + y2 = 0). The transformation maps the given rectangle onto the set S in the y1 y2 plane given by the inequalities (i) 1 ≤ y1 + y2 ≤ 2, (ii) y2 1 2 ≤ ≤ 2 y1 + y2 3
The inequalities (i) show that y1 + y2 > 0, and if we multiply by 6(y1 + y2 ) in (ii) we get the equivalent inequalities (iii) 3(y1 + y2 ) ≤ 6y2 ≤ 4(y1 + y2 ) ⇐⇒ y1 ≤ y2 ≤ 2y1
© Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
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21
It follows that S is a quadrilateral with corners at (1/2, 1/2), (1, 1), (2/3, 4/3), and (1/3, 2/3). See ﬁgure M2.7.6.
y2 2 y2 = 2y1 y2 = y1 1 S y1 + y 2 = 2 1 2 y1 + y2 = 1
Figure M2.7.6
y1
∂ ∂ cos θ −r sin θ ∂r (r cos θ ) ∂θ (r cos θ ) = =r 2.7.8 (a) J = ∂ (r sin θ ) ∂ (r sin θ ) sin θ r cos θ ∂r ∂θ (b) J = 0 everywhere except at the origin in the rθplane, so T is locally onetoone in A. But it is not globally onetoone in A, since we have, for example, T (r, 0) = T (r, 2π). 2.7.10 (a) Taking differentials in the equation system 1 + (x + y)u − (2 + u)1+v = 0 2u − (1 + xy)eu(x−1) = 0 we get u(dx + dy) + (x + y) du − e(1+v) ln(2+u) ln(2 + u) dv + 1+v du = 0 2+u (1)
2 du − eu(x−1) (y dx + x dy) − (1 + xy)eu(x−1) (x − 1) du + u dx = 0 If we now let x = y = u = 1 and v = 0, we get 2 du + dx + dy − 3 ln 3 dv − du = 0 and 2 du − dx − dy − 2 dx = 0 Rearranging this system gives du − 3 ln 3 dv = −dx − dy 2 du with the solutions du = Hence, ux (1, 1) = 3 ∂u (1, 1) = ∂x 2 and vx (1, 1) = 5 ∂v (1, 1) = ∂x 6 ln 3 3 1 dx + dy 2 2 and dv = 1 3 ln 3 5 3 dx + dy 2 2 = 3 dx + dy
© Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
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(Alternatively we could have used the formula for the derivatives of an implicit function, but it is still a good idea to substitute the values of x, y, u, and v after ﬁnding the derivatives.) (b) Deﬁne a function f by f (u) = u − aeu(b−1) . Then f (0) = −a and f (1) = 1 − aeb−1 . Since b ≤ 1, we have eb−1 ≤ e0 = 1. It follows that aeb−1 ≤ a ≤ 1, so f (1) ≥ 0. On the other hand, f (0) ≤ 0, so the intermediate value theorem ensures that f has at least one zero in [0, 1]. Further, f (u) = 1 − a(b − 1)eu(b−1) ≥ 1, because a(b − 1) ≤ 0. Therefore f is strictly increasing and cannot have more than one zero, so the solution of f (u) = 0 is unique. (c) For given values of x and y, let a = (1 + xy)/2 and b = x. The equation in part (b) is then equivalent to the second equation in system (1). Thus we get a uniquely determined u, and this u belongs to [0, 1]. (Note that, when x and y lie in [0, 1], then the values of a and b that we have chosen also lie in [0, 1].) The ﬁrst equation in (1) now determines v uniquely, as v = −1 + ln(1 + (x + y)u) ln(2 + u)
2.8
2.8.1 (a) The system has 7 variables, Y , C, I , G, T , r, and M, and 4 equations, so the counting rule says that the system has 7 − 4 = 3 degrees of freedom. (b) We can write the system as f1 (M, T , G, Y, C, I, r) = Y − C − I − G = 0 f2 (M, T , G, Y, C, I, r) = C − f (Y − T ) = 0 f3 (M, T , G, Y, C, I, r) = I − h(r) f4 (M, T , G, Y, C, I, r) = r − m(M) =0 =0 (∗)
Suppose that f , h, and m are C 1 functions and that the system has an equilibrium point (i.e. a solution of the equations), (M0 , T0 , G0 , Y0 , C0 , I0 , r0 ). The Jacobian determinant of f = (f1 , f2 , f3 , f4 ) with respect to (Y, C, I, r) is 1 ∂(f1 , f2 , f3 , f4 ) −f (Y − T ) = 0 ∂(Y, C, I, r) 0 −1 1 0 0 −1 0 1 0 0 0 = 1 − f (Y − T ) −h (r) 1
so by the implicit function theorem the system (∗) deﬁnes Y , C, I , and r as C 1 functions of M, T , and G around the equilibrium point if f (Y − T ) = 1. Note that the functions h and m have no inﬂuence on the Jacobian determinant. The reason is that once M, T , and G are given, the last equation in (∗) immediately determines r, and the next to last equation then determines I . The problem therefore reduces to the question whether the ﬁrst two equations can determine Y and T when the values of the other variables are given. The implicit function theorem tells us that the answer will certainly be yes if the Jacobian determinant ∂(f1 , f2 ) 1 = −f (Y − T ) ∂(Y, C) is nonzero, i.e. if f (Y − T ) = 1.
© Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
−1 = 1 − f (Y − T ) 1
so v= y − uy 1−u = y + uy 1+u 2. q2 ) = p(v1 )1/3 (v2 )1/2 − q1 v1 − q2 v2 = 1 6 −2 −3 p q1 q2 432 © Arne Strøm. Moreover. u) only depends on u. then F satisﬁes the requirements of deﬁnition (2. pv 3 1 with the unique solution ∗ v1 = 1/3 1/2 1 1/3 −1/2 pv v − q2 = 0 2 1 2 ∗ v2 = 1 6 −3 −3 p q1 q2 . y) ∂y f2 (x. v) ∂x = ∂v ∂(x. y). u) in an open ball around (y0 . y0 ) = 0. y)g1 (x. v) = ∂(x. then ψ1 (y. y) = f1 (x. u). y0 ). and therefore (v1 . y) =0 so f2 (x. (If we let F (u. Thus. u0 ). (ii) We have x = uy. y). y)/f1 (x. where u0 = f (x0 . y) g2 (x. y) ∂x ∂u f1 (x. v is functionally dependent on u.3 (a) The ﬁrstorder conditions for maximum are 1 −2/3 1/2 v2 − q1 = 0. v) = v − ψ(y0 . the equation G(x. y) in A the Jacobian determinant is ∂u ∂(u. Since f1 (x0 .8. the display (2.5). y0 ).1. u) = u − f (x. u). and v = ψ(y. y) = g(ϕ(y. u) is a function of u alone. y) = 0 deﬁnes x as a function x = ϕ(y. u) = g(ϕ(y. v2 ) is a maximum point. y. Knut Sydsæter. q1 . so v = 2(ln u)2 − ln u. u). u) = g1 ϕ1 + g2 = −f2 g1 /f1 + g2 = −f1 g2 /f1 + g2 = 0.2 (a) The Jacobian determinants are ux ∂(u. For all (x. y). u) = ∂x/∂y = −(∂G/∂y)/(∂G/∂x) = −f2 (x. Hence. y) ∂y = ∂v g1 (x. cf. Atle Seierstad.8. ψ(y. and Peter Hammond 2008 .8. y)g2 (x. y) vx uy vy uy vy 1 y −2y (y + x)2 = ex+y 4x + 4y − 1 −x y2 2x (x + y)2 ex+y 4x + 4y − 1 =0 (i) = = 2x 2x − =0 2 y(y + x) y(y + x)2 (ii) (b) (i) It is not hard to see that v = 2(x + y)2 − (x + y) and x + y = ln u. v = g(x. 216 1 6 −2 −4 p q1 q2 144 The objective function pv1 v2 − q1 v1 − q2 v2 is concave.) Chapter 3 Static Optimization 3.5.6) on Cobb–Douglas ∗ ∗ functions.3 We need to assume that the functions f and g are C 1 in an open ball around (x0 . Within this open ball we have ϕ1 (y. If we let ψ(y.CHAPTER 3 STATIC OPTIMIZATION 23 2. y) vx ux ∂(u. (b) The value function is ∗ ∗ ∗ ∗ π ∗ (p. y). v) = ∂(x.1 3.
qn ). Moreover. a) = ∂p n i=1 (pai ln p + pai ln ai − pai ln qi − pai + qi ) n i=1 pai ai ln = qi ai ln(vi∗ + 1) = i=1 ∂π(v. . . . a) ∂p v=v∗ (p. Since π is concave with respect to v1 . r. The corresponding maximum value is n n pai pai ∗ ∗ ∗ π (p. . . . . .a) in accordance with formula (3. qn . y. q2 ) 1 6 −3 −3 ∂π ∗ (p. a) = (v1 . s) ∂f (x.3). s) = 2rx ∗ = r 3 . . . . and Peter Hammond 2008 . r. Knut Sydsæter. . s) = r 2 − 2x = 0. a1 . . q. . y. . . . . s) = f (x ∗ .y ∗ ) (x. r. .1. s) = 3s 2 − 16y = 0 1 3 with the solutions x ∗ (r. r. a) = p ln(vi∗ + 1) = qi ∂ai v=v∗ (p.y)=(x ∗ . y ∗ ) is a maximum point.a) pai ∂π(v. . and a = (a1 . . r. Since f (x. vn for given values of p. = 6sy ∗ = s 3 ∂r ∂s 8 (x. p. . q2 ) 1 6 −2 −4 ∗ ∗ p q1 q2 = −v1 . . . © Arne Strøm. q. . . r. q1 . a) ∂π ∗ (p. s) = 16 s 2 . r.6 We want to maximize n π(v. a) ∂ai = p ln v=v∗ (p. . q1 . .24 CHAPTER 3 STATIC OPTIMIZATION and it follows that ∂π ∗ (p. 3. q. = s3 ∂r ∂s 8 On the other hand. q2 ) 1 5 −2 −3 ∗ ∗ = p q1 q2 = (v1 )1/3 (v2 )1/2 ∂p 72 ∂π ∗ (p. p q1 q2 = −v2 =− =− ∂q1 216 ∂q2 144 3. . q1 . vn . . an ). r. p.q. the point (x ∗ . a1 .5 The ﬁrstorder conditions for maximum are f1 (x. ∂f (x.q.1. f2 (x. y. . vn ). y. vn . q. a) =− + 1 = −vi∗ = qi ∂qi ∂qi ∂π ∗ (p. q. s) 9 ∂f ∗ (r. y. s) is concave with respect to (x. . q1 . y. . s) = 2 r 2 and y ∗ (r. y. q. q1 . an ) = i=1 (pai ln(vi + 1) − qi vi ) with respect to v1 . q = (q1 . . the only stationary point is v∗ = v∗ (p.1. a) = π(v1 . p. . where vi∗ = pai /qi − 1.3). this is a maximum point. p. qn . s) = 2rx. .y)=(x ∗ . p. q. s) = r 3.y ∗ ) in accordance with the envelope result (3. q. Atle Seierstad. y ∗ .q. . . 1 9 f ∗ (r. s) = r 4 + s 4 4 32 so ∂f ∗ (r. . Since ∂π/∂vi = ∗ ∗ pai /(vi + 1) − qi . s) ∂f (x. . an ) = −1 pai ln − qi (pai ln(vi + 1) − qi vi ) = qi qi i=1 n i=1 = Easy calculations now yield ∂π ∗ (p.1. = 6sy ∂r ∂s so 9 ∂f (x. y).a) pai ∂π(v.
−1. x4 ) = 20 + 8x1 − 12x2 = 0 f3 (x1 . y. z) = y 2 + 2z − 4 = 0 √ This system gives ﬁve stationary points: (0. ±2. x2 .1 The ﬁrstorder conditions are f1 (x1 . y. x3 . 2) (0. (b) The stationary points are the solutions of the equation system f1 (x1 . Knut Sydsæter. x2 . y.2.2. x4 ) = 48 − 24x3 = 0 f4 (x1 . x4 ) = 8x2 − 8x1 = 0 2 f2 (x1 . 2). so by Cramer’s rule it has a unique solution. D2 = minimum point by Theorem 3. 0). The Hessian matrix is (at every point) ⎛ ⎞ 2 −1 2 H = f (x1 . −1. x2 . −2. x4 ) = 6 − 2x4 © Arne Strøm.CHAPTER 3 STATIC OPTIMIZATION 25 3. and D3 = H = 4. x2 .2 3. x2 . 0. 2) is a local minimum point. x2 .2.1 that (0. x2 . x3 . 0) ( 3. 3/2). 2. The values of the leading principal minors at the stationary points are given in the following table: D1 (0. x3 ) = −x1 + 2x2 + x3 = 0 f3 (x1 . x2 . z) = x 2 + 2yz = 0 f3 (x. 3/2) √ (− 3. D2 = 4(1 + y)z − 4x 2 . (0. and Peter Hammond 2008 . x3 ) = ⎝ −1 2 1⎠ 2 1 6 with leading principal minors D1 = 2.3 (a) The ﬁrstorder conditions are f1 (x. x3 ) = 2x1 + x2 + 6x3 = 0 The determinant of this linear equation system is 4. so (0. Atle Seierstad. 0) is a local 2 It follows from Theorem 3. z) = ⎝ 2x 2z 2y ⎠ 0 2y 2 with leading principal minors D1 = 2 + 2y. 0). 0. and all the other stationary points are saddle points. z) = 2x + 2xy = 0 f2 (x. x3 ) = 2x1 − x2 + 2x3 = 0 f2 (x1 . x3 ) = (0. x3 . 0) (0. and D3 = 8(1 + y)(z − y 2 ) − 8x 2 . x2 . x3 . This solution is of course (x1 . 0. −1. The Hessian matrix is ⎛ ⎞ 2 + 2y 2x 0 f (x. 0. 3.1(a). (± 3. 0. y.2. 3/2) √ 2 6 −2 0 0 D2 8 0 0 −12 −12 D3 16 −96 32 −24 −24 2 −1 −1 = 3.
and x = ± 2 7.1 is sufﬁcient to show that x1 is a maximum point and x2 is a minimum point in this problem. Therefore part (b) of Theorem 3. 3). D3 = −24D2 . √ 1 (b) Equation (3. so we did not need to use the extreme value theorem. λ2 = 6 .3. Atle Seierstad. and the ﬁrstorder conditions are: (i) 1 − 2λ1 x − λ2 = 0. This set (a circle) is closed and bounded (and nonempty!). (ii) 4 − 2λ1 y − 2λ2 = 0.009. f (x. y. (iii) 1 − 2λ1 z − 3λ2 = 0 From (i) and (ii) we get λ2 = 1 − 2λ1 x = 2 − λ1 y. 7 The objective function. 2. (5/3. x2 . −1. 2. 7 © Arne Strøm. − 22 7 . x4 ) = ⎜ ⎝ 0 0 and the leading principal minors of the Hessian are D1 = −8. The last two equations determine x3 and x4 . Conditions (i) 3 and (iii) yield 1 − 2λ1 x = 1 − 2 λ1 z = 0. 3) we get D2 < 0. so x 2 = 216/378 = 4/7.10) shows that f ∗ ≈ λ1 · (−1) + λ2 · 0. 7 √ √ √ x2 = − 2 7. Knut Sydsæter. 3. z) = x + 4y + z − λ1 (x 2 + y 2 + z2 − 216) − λ2 (x + 2y + 3z).3.3. Multiply by − 2 to get 3 3 3 3 λ1 (3x − z) = 1. so z = 5x − y. The other stationary point.26 CHAPTER 3 STATIC OPTIMIZATION 2 The ﬁrst equation gives x2 = x1 .) 7 7 108 7 Comment: It is clear that the Lagrangian is concave if λ1 > 0 and convex if λ1 < 0. attains it maximum value fmax = √ √ 1 with λ1 = 28 7. 22 7 7 7 7 √ 7 at x1 . so this point is a local maximum point. The Lagrangian is L(x. and Peter Hammond 2008 . 2. √ 1 The multipliers are then λ1 = 1/(y − 2x) = 1/(14x) = ± 28 7 and λ2 = 1 − 2λ1 x = 6 . y. and then the second equation gives 12x1 − 8x1 − 20 = 0 with the two solutions x1 = 5/3 and x1 = −1. 5/3. (The point x2 is the minimum point and fmin = − 108 7. Inserting this expression for z in the constraint x + 2y + 3z = 0 yields 16x − y = 0. and D4 > 0. which implies λ1 (y − 2x) = 1. which passes through the center of the sphere.1 = − 28 7 + 0.3 3. D3 < 0. ⎛ 8 −24x2 0 0 0 0 −24 0 ⎞ 0 0⎟ ⎟ 0⎠ −2 D2 = 192x2 − 64 = 64(3x2 − 1). 3) and (−1. (5/3.6 ≈ −0. Hence there are two 7 points that satisfy the ﬁrstorder conditions: x1 = 2 7 √ 32 √ √ 7. The constraint x 2 + y 2 + z2 = 216 √ then yields (1 + 256 + 121)x 2 = 216. we get D1 < 0. 7 7. so this point is a saddle point.2 (a) The admissible set is the intersection of the sphere x 2 +y 2 +z2 = 216 and the plane x+2y+3z = 0. 5/3. 2. which implies λ1 ( 2 z − 2x) = − 2 . There are two stationary points. − 32 7. −1. 3). D2 > 0. x3 . It follows that y − 2x = 3x − z. z) = x + 4y + z. so y = 16x and z = −11x. The Hessian matrix is −8 ⎜ 8 f (x1 . D4 = 48D2 At (−1. and by the extreme value theorem the objective function does attain a maximum over the admissible set.
(There is a much simpler way to ﬁnd the maximum points in this problem: Because of the ﬁrst constraint. then (iv) implies y = 3x. the ﬁrstorder conditions are 1 1 (i) − 2λ = 0. ± 110 110 . namely an ellipse. ∓ 110 110 (∗∗) 7 22 In this case the multipliers λ1 and λ2 can be determined from equations (i) and (iii). so the usual ﬁrstorder conditions are necessary. y. y.05. so there might be other maximum points beside the two that we have found). 1 1 ∗ ∗ (b) U ∗ (m) = 2 ln(1+x1 (m))+ 4 ln(1+x2 (m)) = 3 so dU ∗ /dm = 4 (m + 5)−1 = λ. It is not very hard to show that the matrix g (x) in Theorem 3. 0 (∗) (B) If λ1 = 1. x2 = x2 (m) = 1 (m − 4).4 (a) With the Lagrangian L(x. z) = x 2 + y 2 + z2 − λ1 (x 2 + y 2 + 4z2 − 1) − λ2 (x + 3y + 2z).) (b) f ∗ ≈ 1 · 0.3. The constraints reduce to x 2 +y 2 = 1 and x +3y = 0.6 (a) The two constraints determine an ellipsoid centred at the origin and a plane through the origin. 3. 1 2 1 ln( 1 (m+5))+ 4 ln( 1 (m+5)) = 3 9 3 4 ln(m+5)−ln 3. and the second constraint gives z = −5x. 3 (A) If λ1 = 1.3. We then just have to solve the equations x 2 + y 2 = 1 and x + 3y = 0 for x and y. x 2 + y 2 + z2 . Firstorder conditions: (i) 2x − 2λ1 x − λ2 = 0. respectively. (ii) − 3λ = 0 2(1 + x1 ) 4(1 + x2 ) Equations (i) and (ii) yield λ= 1 1 = 4(1 + x1 ) 12(1 + x2 ) ⇒ 1 + x1 = 3(1 + x2 ) ⇐⇒ x1 − 3x2 = 2 ∗ ∗ Together with the constraint 2x1 + 3x2 = m this gives x1 = x1 (m) = 1 (m + 2). y) = 2 ln(1 + x1 ) + 4 ln(1 + x2 ) − λ(2x1 + 3x2 − m). while the points (∗∗) give the minimum value 7/22. the objective function x 2 + y 2 + z2 equals 1 − 3z2 .CHAPTER 3 STATIC OPTIMIZATION 27 1 1 3.3.3. in fact). and we get λ1 = and λ2 = 15 x. The ﬁrst constraint then yields x 2 + 9x 2 + 100x 2 = 1 which leads to the two candidates √ √ √ 1 3 5 (x. 11 The objective function.05 = 0.05 + 0 · 0. Lagrangian: L(x. so Theorem 3. ∓ 10 10 . The admissible set is the curve of intersection of these two surfaces. (ii) 2y − 2λ1 y − 3λ2 = 0. (iii) 2z − 8λ1 z − 2λ2 = 0 From (i) and (ii) we get (iv) λ2 = 2(1 − λ1 )x = 2 (1 − λ1 )y.1 has rank 2 at all admissible points. then λ2 = 0 and (iii) implies z = 0. and Peter Hammond 2008 . attains its maximum value 1 at the points (∗). y. which obviously has a maximum for z = 0. even if we do not check the rank condition in Theorem 3. and we get the two candidates √ √ 1 3 (x.1(a) (but without that rank condition we cannot be sure that the ﬁrstorder conditions are necessary. © Arne Strøm.3. z) = ± 110 110. 3 9 3 and then λ = 4 (m + 5)−1 . z) = ± 10 10 .1(b) shows that the points in (∗) are maximum points. Knut Sydsæter. Atle Seierstad. It is worth noting that with λ1 = 1 the Lagrangian is concave (linear. This curve is closed and bounded (and nonempty). so the extreme value theorem guarantees the existence of both maximum and minimum points.
r) ∂f (x. r) − j =1 λj gj (x.4. y2 . y1 .3. . r) = − ∂ri ∂ri m j =1 ∂gj (x.3. . Knut Sydsæter. ri = bm+i .4 3. y2 . r) − λm+i = 0. y1 . 0). . and get the two solutions (x1 . We solve this equation together with the two constraints. z) = 2x 2y 2z 0 0 1 −1 −1 2x 1 −2λ1 0 0 2y −1 0 −2λ1 0 2z −1 0 0 −2λ1 A little tedious computation yields B3 (x1 .9) implies that ∂f ∗ (r)/∂ri = λm+i . k max f (x. r) ∂L(x. . z1 ) is a local maximum point and (x2 . .3 Lagrangian: L(x. j = 1.4. z2 ) = 16. then (i) and (ii) yield 1 − λ2 = 0 and 1 + λ2 = 0. . Now consider two problems. 3 3 3 λ1 = 1. r) = λm+i = − ∂ri ∂ri m j =1 ∂gj (x. This is clearly impossible. (ii) 1 − 2λ1 y + λ2 = 0. and therefore y = z. r) subject to (∗) m The Lagrangian for problem (3.1) we now have n = 3 and m = 2. z1 ) = −16 and B3 (x2 . y. Atle Seierstad. .28 CHAPTER 3 STATIC OPTIMIZATION 3. .3. − 2 . λ1 = −1. If λ1 = 0. © Arne Strøm. . . The ﬁrstorder conditions i=1 for maximum in problem (∗) imply that ∂ L(x. z2 ) = (− 1 . r) = 0 for j = 1. Hence (x1 . . namely the problem in (3. y1 . . r) = 0. r) − k λm+i (ri − bm+i ).13) is L(x. r) − j =1 λj gj (x. so we must have λ1 = 0. and so ∂f ∗ (r) ∂f (x. r) ≤ 0 to gj (x. λ2 = −1 λ2 = 1 3 In the secondderivative test (Theorem 3. z1 ) = (1. z2 ) is a local minimum point. y2 . r) and the Lagrangian for m problem (∗) is L(x. k Equation (3. Firstorder conditions: (i) 1 − 2λ1 x − λ2 = 0. . r) = f (x. (x2 . r) = ∂ri ∂ri 3.10 There was a misprint in this problem in the ﬁrst printing of the book: The constraints should all be equality constraints. z) = x +y +z −λ1 (x 2 +y 2 +z2 −1)−λ2 (x −y −z −1). . . and Peter Hammond 2008 . m i = 1. . so all we need check is 0 0 B3 (x.13) and the problem gj (x. r) = f (x. m. − 2 ). 0. ∂ri i = 1. (iii) 1 − 2λ1 z + λ2 = 0 Equations (ii) and (iii) give 2λ1 y = 2λ1 z. so please correct gj (x. y.3.
A direct argument can run as follows: For all values of c such that λ1 and λ2 are positive.3 We reformulate the problem as a standard maximization problem: maximize −4 ln(x 2 + 2) − y 2 subject to −x 2 − y ≤ −2 −x ≤ −1 © Arne Strøm. λ2 = 0.5 3. y = 1/2. λ2 > 0. (c) If we assume that V (c) is a differentiable function of c. contradicting (6). λ2 > 0. (III) λ1 = 0.CHAPTER 3 STATIC OPTIMIZATION 29 3. and λ2 > 0. Then equations (1) and (2) yield λ1 = 1 1 1 1 − = − y+1 x+1 c−1 5−c and λ2 = 1 2 1 2 − = − x+1 y+1 5−c c−1 It is clear that these expressions remain positive for c in an open interval around c = 5/2. y) must also satisfy the constraints x + 2y ≤ c x+ y≤2 (5) (6) (b) Let c = 5/2. Then x + y = 2 and x + 2y = 5/2. and so x = 4 − c and y = c − 2. and λ1 = 0 if x + 2y < c L1 (x. then formula (3. and the necessary Kuhn–Tucker conditions for (x. (x. But then x + 2y = 3 > 5/2. (More precisely. so x = 3/2. The Lagrangian is obviously concave in x and y. eliminating λ2 from (1) and (2) we get x = y. Atle Seierstad. y) = − 2λ1 − λ2 = 0 y+1 λ1 ≥ 0. y) = λ2 ≥ 0. No candidates. No candidates. and Peter Hammond 2008 . and λ2 = 0 if x + y < 2 (1) (2) (3) (4) Of course. λ2 = 0. so no candidates. The last two equations have the solution x = 7/4. We consider the four possible combinations of λ1 = 0.5. x + y = 2. y) = (3/2. x+2y = 5/2. (II) λ1 > 0. From (4) and (6). by eliminating λ1 from (1) and (2) we get x + 1 = 2y + 2. contradicting (5). 1/2) solves the problem. This contradicts (1). y) to solve the problem are: 1 − λ 1 − λ2 = 0 x+1 1 L2 (x. and the only one. they are both positive if and only if 7/3 < c < 3. so this is a candidate. (I) λ1 = λ2 = 0. y) = ln(x + 1) + ln(y + 1) − λ1 (x + 2y − c) − λ2 (x + y − 2). (IV) λ1 > 0. From (3) and (5). Moreover. and so x = y = 1. Knut Sydsæter. the derivative of the value function is V (c) = ∂V dy 1 1 ∂V dx + =− + = λ1 ∂x dc ∂y dc 1+x 1+y 3.6) yields V (5/2) = λ1 = 4/15. x and y must satisfy the constraints with equality.) For such c.5. Moreover.2 (a) The Lagrangian is L(x.5. We ﬁnd that λ1 = 4/15 and λ2 = 2/15. y = 3/8. But then x + y = 17/8 > 2. λ1 > 0. so (x.
and equation (ii) yields 1 b = y + 2 λ2 > y = 2. this gives x 4 =√ or x = 4 2. and λ1 = 4 − 2 2. Equation (i) gives λ1 = 4/(x 2 + 2). Thus the only possible solution is the one given in (C). a maximum point (x. From (i) we see that x = 0. This gives x = 1.30 CHAPTER 3 STATIC OPTIMIZATION The Lagrangian is L(x. We observe that in each of the four cases (A)–(D) there is exactly one point that satisﬁes the Kuhn– Tucker conditions. y) must also satisfy the constraints (v) x ≤ 1 and (vi) y ≤ 2. λ1 > 0. Then from (i). y = b. We also get a = 1 + 2 λ1 > 1 and b = 2 + 2 λ2 > 2. Knut Sydsæter. (A) λ1 = 0. 1 (C) λ1 > 0. (B) λ1 = 0. 3. (C) λ1 > 0. Then (iii)–(vi) imply x 2 + y = 2 and x = 1. 2− 2 ) = 4 ln( 2+2)+(2− 2 )2 = 4 ln( 2+2)+6−4 2. Because of the constraints this is possible only if a ≤ 1 and b ≤ 2. (i) (ii) (iii) (iv) (D) λ1 > 0. y) to be a maximum point: L1 (x. λ2 + 2λ1 = 8/3 and (ii) gives λ1 = 2. Inserted into x√+ y = 2. 2 − 2. which contradicts x ≥ 1. λ2 > 0. (B) λ1 = 0. and (ii) gives y = 0. λ2 = 0. a = 1 + 2 λ1 > 1. Atle Seierstad. From (iii) and (v) we get x 2 + y = 2. and Peter Hammond 2008 . so the necessary Kuhn–Tucker conditions together with the constraints are: L1 = − x2 8x + 2λ1 x + λ2 = 0 +2 L2 = −2y + λ1 = 0 λ1 ≥ 0. y) = −(x −a)2 −(y −b)2 −λ1 (x −1)−λ2 (y −2) we get the Kuhn–Tucker necessary conditions for (x. λ2 = 0. both constraints must be satisﬁed with equality: 1 1 x = 1. It follows + 2. y = 2. Constraint (v) implies a ≤ 1. these points are maximum points. The solution can be summarized as x ∗ = min{a. and the minimum √ of f (x. y ∗ = min{b. y) = −2(x − a) − λ1 = 0 L2 (x. With both multipliers positive. (D) λ1 > 0. But then λ2 = 8/3 − 4 < 0. So x = y = 1. y. λ2 ) = ( 4 2. λ2 ≥ 0. and λ2 > 0. Equations (i) and (ii) give x = a and y = b. x +y ≥2 2 (i) (ii) and λ1 = 0 if x + y > 2 2 (iii) (iv) (v) (vi) and λ2 = 0 if x > 1 x≥1 We try the four possible combinations of zero or positive multipliers: (A) λ1 = 0. λ2 > 0. x = 1. So (x. √ √ √ that y = 2/( 2 + 2) = 2 − 2. 4 − 2 2. and b ≤ 2.5. From (iv) and (vi). and λ1 = 0 if x < 1 λ2 ≥ 0. and then √ 2 (ii) gives y = λ1 /2 = 2/(x 2 √ 2). Which case applies depends on the values of a and b. 1}. This contradicts (v). λ1 .4 With the Lagrangian L(x. λ2 = 0. y) = −4 ln(x 2 + 2) − y 2 − λ1 (−x 2 − y + 2) − λ2 (−x + 1). λ2 = 0. © Arne Strøm. y) = −2(y − b) − λ2 = 0 λ1 ≥ 0. y) = 4 ln(x 2 +2)+ value √ √ √ √ √ y 2 under the given constraints is f ( 4 2. λ2 > 0. and since the objective function is concave. λ2 = 0. We try the four possible combinations of λ1 = 0. We get x = a and y = 2. λ2 > 0. 0) is a candidate. and λ2 = 0 if y < 2 Of course. 2}. Contradiction.
y2 ) = x2 − y2 = x2 − x2 = (x2 − 1)x2 = − 2 x2 = − 125 15 5 √ 6 h(x3 . y2 ) = ( 1 15. y). y4 ) = (1. if there is a maximum point for h in the feasible set. Equations (i) and (ii) then give 3y 5x 4 = 0 + λ2 = 3y 2 .CHAPTER 3 STATIC OPTIMIZATION 31 The admissible set in this problem is the same as in Example 3. while constraint (vi) says x ≤ y. i. y ∗ ) given above is the optimal point. (D) λ1 > 0. it is not bounded. while (iii) and (v) give x = 1. 0) is a candidate for optimum. y) = 5x 4 − λ1 − λ2 −3y 2 + λ2 L2 (x. We get two new candidates. 1 15 ) ± 5 5 5 √ and (x3 . But this violates constraint (vi). (B) λ1 = 0. ≤1 ≤y (i) (ii) (iii) (iv) (v) (vi) and λ1 = 0 if x < 1 and λ2 = 0 if x < y Consider the four possible combinations of zero or positive multipliers: (A) λ1 = 0. λ2 = 0.5. But part (b) of this problem will show that a maximum point does exist. h(−x. y) is strictly decreasing with respect to y. y4 ) = 0 . and Peter Hammond 2008 h(x1 . Since λ2 > 0. λ2 = 0. so it is not obvious that there is a maximum. y) = x 5 − y 3 at each of the four maximum candidates we have found shows that √ 5 3 5 3 2 3 3 6 h(x2 . Atle Seierstad.) Hence.6 (a) With the Lagrangian L(x. y3 ) = (− 1 15. y3 ) = h(−x2 . y). so we get one new candidate point. so f (x) = h(x. Equations (i) and (ii) give x = 0 and y = 0. Thus (x1 . ≥ 0. Knut Sydsæter. the complementary slackness condition (iv) tells us that we cannot have x < y.e. so √ √ √ √ x = y = ± 3/5 =√ 15/25 = ± 1 15. λ2 > 0. (b) Let h(x. it is clear that we get the maximum when y = x. 1) Evaluating the objective function h(x. y3 ) is that maximum point. 5 5 (C) λ1 > 0. The complementary slackness conditions show that in this case both constraints must be satisﬁed with equality. so we get no new candidates for optimum here. In particular. and thus 5y 4 = √ 2 . Since h(x. (x4 . 3. Therefore x = y. Now (ii) gives y = 0. y) = x 5 − y 3 and deﬁne f (x) = maxy≥x h(x. y) = x 5 − y 3 − λ1 (x − 1) − λ2 (x − y) the Kuhn–Tucker conditions and the constraints are L1 (x. It is readily seen that the point (x ∗ . Note that although the feasible set is closed. in case (A) the point (a.1. then (x3 . b) itself is admissible and is also the optimal point. y2 ) = 125 15 (For the last evaluation we used the fact that h is an odd function. x) = x 5 − x 3 . − 1 15 ). y1 ) = (0.5. −y) = −h(x. λ2 > 0. and the maximization problem is equivalent to ﬁnding an admissible point as close to (a. To ﬁnd the maximum of f (x) for x ≤ 1 we take a look at f (x) = 5x 2 − 3x 2 = 5x 2 (x 2 − 3 ) = 5x 2 (x + x2 )(x − x2 ) 5 © Arne Strøm. Since λ2 = 0 we have y = 0. and therefore 5y 2 = 3. −y2 ) = −h(x2 . b) as possible. y) = λ1 λ2 x x =0 =0 ≥ 0. (x2 . y1 ) = h(x4 .
we must have x+y = 1. y) ≤ f (x) ≤ f (x3 ) = h(x3 . 0) or x ∈ (0. the ﬁrst constraint yields x = y = 1/2. and Peter Hammond 2008 . contradicting the assumption λ1 > 0. Comparing the values of the objective function xy + x + y at the two points (−1.) © Arne Strøm.e. and strictly increasing again in [x2 . y) = (1/2. x2 ) Therefore f is strictly increasing in the interval (−∞. In this case both constraints must be active. then equation (i) yields 2λ1 = λ2 = 0. −1). Atle Seierstad. strictly decreasing in [−x2 .2 Lagrangian: L(x. y) = y + 1 − 2λ1 x − λ2 = 0 L2 (x. ∞). −x2 ) or x ∈ (x2 . this implies y = x for any point that satisﬁes the ﬁrstorder conditions. 1/2) shows that (1/2. λ2 = 0. λ2 = 0. 1) violates the constraint x + y ≤ 1. x 2 + y 2 = 1 and x + y = 1. we get (x. Now x 2 + y 2 = 2 because λ1 > 0. Now consider the various combinations of zero or positive values of λ1 and λ2 : (A) λ1 = 0. but then x 2 + y 2 = 2. y3 ) that we found in part (a) really is a maximum point in that problem? The reason is that for every point (x. and since x = y we get x = y = ±1. y) = (−1.6 3. Since λ2 > 0. (B) λ1 = 0. λ2 > 0. It follows that f (x) will reach its highest value when x = −x2 or when 6 x = 1.32 CHAPTER 3 STATIC OPTIMIZATION where x2 = √ √ 3/5 = 1 15 (as in part (a)). Knut Sydsæter. x3 ) = h(x3 . and λ1 = 0 if x 2 + y 2 < 2 and λ2 = 0 if x + y < 1 (i) (ii) (iii) (iv) It is usually a good idea to exploit similarities and symmetries in the ﬁrstorder conditions. and since x = y. (Draw a graph!) Since f (−x2 ) = 125 and f (1) = 0. (The extreme value theorem guarantees that there really is a maximum point. So no candidates in this case either. y3 ) 3. y) = xy + x + y − λ1 (x 2 + y 2 − 2) − λ2 (x + y − 1). y) with x ≤ 1 and x ≤ y we have h(x. λ2 ≥ 0. we can eliminate λ2 from (i) and (ii) to get y − 2λ1 x = x − 2λ1 y ⇐⇒ (1 + 2λ1 )(y − x) = 0 Since 1 + 2λ1 ≥ 1. It is clear that 5 f (x) > 0 if x ∈ (−∞. 1/2). In the present case. y) = x + 1 − 2λ1 y − λ2 = 0 λ1 ≥ 0. Thus there are no candidate points in this case. −x2 ]. Since x = y. x2 ]. the maximum point is −x2 (= x3 ). −1) and (1/2. Firstorder conditions: L1 (x. (C) λ1 > 0. Equations (i) and (ii) give (x. (We did get the point (−1. ∞) f (x) < 0 if x ∈ (−x2 . 1/2) must be the maximum point. −1) in case (A) above. i. If x = y = −1. The point (1.) (D) λ1 > 0. λ2 > 0. So why does this show that the point (x3 .6.
Therefore we must have λ1 > 0 and 2x 2 + 4y 2 = s 2 . b)/∂a and ∂f ∗ (a. Atle Seierstad. if a = 3b. so we know that the points we have found really are optimal. r. Then λ1 = e−y = e−(a−b)/2 . (2 + 8λ2 )y = 0 ⇒ y=0 and and λ1 = 0 if 2x + 4y < s 2 2 2 (i) (ii) (iii) (iv) λ2 = 0 if 2x 2 + 4y 2 > r 2 which contradicts the constraint 2x 2 + 4y 2 ≥ r 2 . and so y = (a − x)/2 = (a − b)/2. i. Strictly speaking. Then (i) and (ii) imply λ1 = e−x and x = y.7. y) = x 2 + y 2 subject to 2x 2 + 4y 2 ≤ s 2 −2x − 4y ≤ −r 2 2 2 (∗) (∗∗) We use the Lagrangian L(x. a > 3b. The Lagrangian is concave. λ2 = 0. 3. (A) Suppose λ2 = 0. Condition (v) now implies x = b.7.e. Hence. for that would imply 2x 2 + 4y 2 = r 2 < s 2 . and therefore a/3 ≤ b. If λ1 = 0.1 (a) The Lagrangian is L(x. Since λ2 > 0.3 (a) Consider the maximization problem and write it in standard form as maximize f (x.CHAPTER 3 STATIC OPTIMIZATION 33 3. b)/∂b. which contradicts 2x 2 + 4y 2 = s 2 . Thus. y) = 100 − e−x − e−y − e−z − λ1 (x + y + z − a) − λ2 (x − b) and the Kuhn–Tucker conditions are e−x − λ1 − λ2 = 0 e −y (i) (ii) (iii) (iv) (v) − λ1 =0 =0 e−z − λ1 λ1 ≥ 0. λ2 ≥ 0. we cannot have λ2 > 0. and Peter Hammond 2008 .7 3. From (iv) we get x + y + z = a. so x = a/3. and get the Kuhn–Tucker conditions L1 = 2x − 4λ1 x + 4λ2 x = 0 L2 = 2y − 8λ1 y + 8λ2 y = 0 λ1 ≥ 0. and (i) yields λ2 = e−b −e−(a−b)/2 . Moreover. so x + 2y = a. and λ1 = 0 if x + y + z < a and λ2 = 0 if x < b Equations (ii) and (iii) imply that λ1 > 0 and y = z. Hence x + y + z = 3x = a. i. the Kuhn–Tucker conditions have a unique solution in each of the two cases a ≤ 3b and a > 3b. but things work out all right in that case too. then (i) and (ii) would yield (2 + 4λ2 )x = 0 ⇒ x = 0. s) = x 2 + y 2 − λ1 (2x 2 + 4y 2 − s 2 ) + λ2 (2x 2 + 4y 2 − r 2 ). y. a ≤ 3b. λ1 > 0. Knut Sydsæter.e. Equations (i) and (ii) reduce to (i ) (2 − 4λ1 )x = 0 and (ii ) (2 − 8λ1 )y = 0 © Arne Strøm. we must have −b > −(a−b)/2. you must consider the onesided derivatives and show that the left and right derivatives are the same. (b) See the answer in the book for the evaluation of ∂f ∗ (a. (B) Suppose λ2 > 0. λ2 ≥ 0.
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If x = 0, then y = 0 (because 2x 2 + 4y 2 = s 2 > 0), and (ii ) implies λ1 = 1/4. If x = 0, then (i ) implies λ1 = 1/2. We are left with the two possibilities √ 1 1 (A) λ1 = 1/2, y = 0, x = ± 2 2 s (B) λ1 = 1/4, x = 0, y = ± 2 s √ 1 1 Case (A) gives the optimum points, (x ∗ , y ∗ ) = (± 2 2 s, 0), and f ∗ (r, s) = f (x ∗ , y ∗ ) = 2 s 2 . To verify the envelope result (3.7.5), note that ∂L(x, y, r, s)/∂r = −2λ2 r, ∂L(x, y, r, s)/∂s = 2λ1 s
If we insert the optimal values of x ∗ and y ∗ and the corresponding values λ1 = 1/2 and λ2 = 0 of the multipliers, we get ∂L(x ∗ , y ∗ , r, s)/∂r = 0 = ∂f ∗ (r, s)/∂r, in accordance with (3.7.5). (b) The minimization problem is equivalent to maximizing g(x, y) = −f (x, y) subject to the constraints (∗) and (∗∗) in part (a). We get a new Lagrangian L(x, y, r, s) = −x 2 − y 2 − λ1 (2x 2 + 4y 2 − s 2 ) + λ2 (2x 2 + 4y 2 − r 2 ), and the ﬁrstorder conditions are as in (a), except that (i) and (ii) are replaced by L1 = −2x − 4λ1 x + 4λ2 x = 0 L2 = −2y − 8λ1 y + 8λ2 y = 0 (i ) (ii ) ∂L(x ∗ , y ∗ , r, s)/∂s = s = ∂f ∗ (r, s)/∂s
The solution proceeds along the same lines as in (a), but this time λ2 = 0 is impossible, so we get λ2 > 0 1 and λ1 = 0. The optimum points are (x ∗ , y ∗ ) = (0, ± 2 r), with λ2 = 1/4, and g ∗ (r, s) = g(x ∗ , y ∗ ) = 1 1 −(x ∗ )2 − (y ∗ )2 = − 4 r 2 , and the minimum value of f is f ∗ (r, s) = −g ∗ (r, s) = 4 r 2 . The equations in (3.7.5) now become
1 Lr (x ∗ , y ∗ , r, s) = −2λ2 r = − 2 r =
∂g ∗ ∂f ∗ =− , ∂r ∂r
Ls (x ∗ , y ∗ , r, s) = 2λ1 s = 0 =
∂g ∗ ∂f ∗ =− ∂s ∂s
(c) The admissible set is the area between two ellipses, and the problems in (a) and (b) are equivalent to ﬁnding the largest and the smallest distance from the origin to a point in this admissible set. 3.7.4 Let r and s be points in the domain of f ∗ , let λ ∈ [0, 1], and put t = λr+(1−λ)s. We want to prove that f ∗ (t) ≥ λf ∗ (r) + (1 − λ)f ∗ (s). There are points x and y such that f ∗ (r) = f (x, r) and f ∗ (s) = f (y, s). Let w = λx + (1 − λ)y. Since g is convex, we have g(w, t) λg(x, r) + (1 − λ)g(y, s) 0, so (w, t) is admissible. And since f is concave, we have f ∗ (t) ≥ f (w, t) = f (λ(x, r) + (1 − λ)(y, s)) ≥ λf (x, r) + (1 − λ)f (y, s) = λf ∗ (r) + (1 − λ)f ∗ (s)
3.8
3.8.2 (a) Lagrangian: L(x, y) = xy − λ(x + 2y − 2). Kuhn–Tucker conditions: ∂L/∂x = y − λ ≤ 0 ∂L/∂y = x − 2λ ≤ 0 λ≥0 (= 0 if x > 0) (= 0 if y > 0) (= 0 if x + 2y < 2) (i) (ii) (iii)
© Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
CHAPTER 3
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35
There are admissible points where xy > 0, so we cannot have x = 0 or y = 0 at the optimum point or points. It follows that (i) and (ii) must be satisﬁed with equality, and λ must be positive. Hence, x = 2λ = 2y and x + 2y = 2, so x = 1, y = 1/2, λ = 1/2. (The extreme value theorem guarantees that there is a maximum, since the admissible set is closed and bounded. It is the closed line segment between (2, 0) and (0, 1).) (b) As in part (a), there are admissible points where x α y β > 0, so we may just as well accept (2, 0) and (0, 1) as admissible points and replace the constraints x > 0 and y > 0 by x ≥ 0 and y ≥ 0. Then the extreme value theorem guarantees that there is a maximum point in this case too, and it is clear that both x and y must be positive at the optimum. With the Lagrangian L(x, y) = x α y β − λ(x + 2y − 2) we get the Kuhn–Tucker conditions ∂L/∂x = αx α−1 y β − λ ≤ 0 ∂L/∂y = βx y
α β−1
(= 0 if x > 0) (= 0 if y > 0) (= 0 if x + 2y < 2)
(i) (ii) (iii)
− 2λ ≤ 0 λ≥0
It is clear that (i), (ii), and (iii) must all be satisﬁed with equality, and that λ > 0. From (i) and (ii) we get βx α y β−1 = 2λ = 2αx α−1 y β , so βx = 2αy. This equation, combined with (iii) yields the solution: x = 2α/(α + β), y = β/(α + β). (If we had not extended the admissible set to include the end points, then we could not have used the extreme value theorem to guarantee a maximum, but with the conditions on α and β the Lagrangian is concave, so we could still be certain that the point we have found is a maximum point. But the argument above, with a closed and bounded admissible set, works for all positive values of α and β, even if L is not concave.) 3.8.3 With the Lagrangian L(x, y, c) = cx + y − λ(x 2 + 3y 2 − 2) we get the Kuhn–Tucker conditions: L1 = c − 2λx ≤ 0 L2 = 1 − 6λy ≤ 0 λ≥0 (= 0 if x > 0) (= 0 if y > 0) (= 0 if x + 3y < 2)
2 2
(i) (ii) (iii)
If λ = 0, then (ii) implies 1 ≤ 0, but that is impossible. Hence, λ > 0 and x 2 + 3y 2 = 2. Further, (ii) implies 6λy ≥ 1, so y > 0. Therefore (ii) is an equality and y = 1/6λ. √ √ 2 (A) √ If x = 0, then (i) implies c ≤ 2λx = 0. Further, 3y = 2, so y = 2/3 = 6/3, and λ = 1/6y = 6/12. (B) If x > 0, then (i) is satisﬁed with equality and c = 2λx > 0, and x = c/2λ. The equation x 2 + 3y 2 = 2 then leads to λ = 6(3c2 + 1)/12, x = 6c/ 6(3c2 + 1), and y = 2/ 6(3c2 + 1). Since the admissible set is closed and bounded and the objective function f (x, y) = cx +y is continuous, the extreme value theorem guarantees that there is a maximum point for every value of c. The cases (A) and (B) studied above show that the Kuhn–Tucker conditions have exactly one solution in each case, so the solutions we found above are the optimal ones. √ If c ≤ 0, then we are in case (A) and f ∗ (c) = cx ∗ + y ∗ = 6/3. √ The value function f ∗ (c) is obviously continuous for c = 0, and because limc→0+ f ∗ (c) = 6/3 = f ∗ (0) = limc→0− f ∗ (c), it is continuous at c = 0 too. The value function is differentiable at all c = 0,
© Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
If c > 0, then we are in case (B) and f ∗ (c) = cx ∗ + y ∗ =
6(3c2 + 1)/3.
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and it is not hard to show that both onesided derivatives of f ∗ (c) at c = 0 are 0, so f ∗ is differentiable there too. For c ≤ 0 we get (f ∗ ) (c) = 0 = x ∗ , and a little calculation shows that (f ∗ ) (c) = x ∗ for all c > 0 as well. Thus (f ∗ ) (c) = L3 (x ∗ , y ∗ , c) for all c in accordance with equation (3.7.5). 3.8.5 See Fig. A3.8.5 in the answer section of the book. Since the Lagrangian
1 1 L(x, y) = x + y − 2 (x + y)2 − 4 x − 1 y − λ1 (x − 5) − λ2 (y − 3) − λ3 (−x + 2y − 2) 3
is concave, a point that satisﬁes Kuhn–Tucker conditions must be a maximum point. The objective function has no stationary points, so any maximum points must lie on the boundary of S. The Kuhn– Tucker conditions are: L1 (x, y) = 1 − (x + y) − L2 (x, y) = 1 − (x + y) −
1 4 1 3
− λ 1 + λ3 ≤ 0 − λ2 − 2λ3 ≤ 0 λ1 ≥ 0 λ2 ≥ 0 λ3 ≥ 0
(= 0 if x > 0) (= 0 if y > 0) (= 0 if x < 5) (= 0 if y < 3) (= 0 if −x + 2y < 2)
(i) (ii) (iii) (iv) (v)
The solution is x = 3/4, y = 0, with λ1 = λ2 = λ3 = 0. Once we have found or been told about this point it is easy to check that it satisﬁes (i)–(v), but otherwise it can be a very tedious job to go through all possible combinations of zero or positive multipliers as well as x = 0 or x > 0 and y = 0 or y > 0. In this problem there are 32 different combinations to check if we do not see any shortcuts. In fact it would probably be more efﬁcient to check each of the ﬁve straight line segments that form the boundary of S. But it would hardly be practical to do that in a problem with more than two variables, because it quickly becomes difﬁcult to visualize the geometry of the admissible set. 3.8.6 (a) The last inequality in (∗) gives
m ∗ λj (gj (x∗ ) − bj ) ≥ j =1 j =1 m
λj (gj (x∗ ) − bj )
for all λ
0
(∗∗)
m If gk (x∗ ) > bk for some k, then j =1 λj (gj (x∗ ) − bj ) can be made arbitrary large by choosing λk large and λj = 0 for all j = k. Hence, gj (x∗ ) ≤ bj , j = 1, . . . , m. By choosing all λj equal to 0 in (∗∗), m ∗ ∗ ∗ we get j =1 λj (gj (x∗ ) − bj ) ≥ 0. Now, λj ≥ 0 and gj (x∗ ) ≤ bj for every j , so each λj (gj (x∗ ) − bj ) m ∗ ∗ ) − b ) = 0. Finally, whenever x is admissible, the inequality must be zero, and then j =1 λj (gj (x j m m ∗ ∗ L(x, λ∗ ) ≤ L(x∗ , λ∗ ) implies that f (x)−f (x∗ ) ≤ j =1 λj [gj (x)−gj (x∗ )] = j =1 λj [gj (x)−bj ] ≤ 0. Therefore f (x) ≤ f (x∗ ), so x∗ solves problem (1).
(b) Proof of the second inequality in (∗): Under the given assumptions, L(x∗ , λ∗ ) − L(x∗ , λ) = m m m ∗ ∗ ∗ ∗ j =1 λj [gj (x ) − bj ] − j =1 λj [gj (x ) − bj ] = j =1 λj [gj (x ) − bj ] ≤ 0 when λ ≥ 0. Since the ﬁrst inequality in (∗) is assumed, we have shown that (x∗ , λ∗ ) is a saddle point for L.
3.9
m m 3.9.1 (A) implies that π(x∗ ) ≥ π(ˆ ), i.e. f (x∗ ) − j =1 λj gj (x∗ ) ≥ f (ˆ ) − j =1 λj gj (ˆ ). But, because x x x x ˆ m m x also solves (3.9.1), f (ˆ ) = f (x∗ ) and then j =1 λj gj (ˆ ) ≥ j =1 λj gj (x∗ ). Thus, because λj ≥ 0 and x
© Arne Strøm, Knut Sydsæter, Atle Seierstad, and Peter Hammond 2008
If λ = 0. so λ = 3/5. and let x0 be any point in A ⊆ three cases to consider: . y ∗ . μ = 0 both solve the problem. and ∂L(x ∗ . y. We use Theorem 3. . This 0.3 (necessary ﬁrstorder conditions for problems with mixed constraints). with y = −z = a 2 /2. a)/∂a = 2λa = 2a. a) = x 2 + y 2 + z2 − λ(2x 2 + y 2 + z2 − a 2 ) − μ(x + y + z). Thus x satisﬁes (A)–(C). There are (I) If f (x0 ) > 0. being squeezed between two equal numbers. ∓ 10 10 a). y. so the constraints yield x + 2y = 0 and 2x 2 + 2y 2 = a 2 .10 3.9. then f (x) > 0 for all x in an open interval U around x0 (because f is continuous). If we evaluate the objective function x 2 + y 2 + z2 at each of the points we have found. so df ∗ (a)/da = 2a. (B) If λ = 1. If λ > 0. z∗ . for all x in U we have f + (x)2 = f (x)2 . ˆ 3. if gk (ˆ ) < bk and λk > 0 for any k. then j =1 λj (gj (ˆ ) − bj ) < 0. we ﬁnd that √ √ 1 1 the two points (x ∗ . Since x = −2y. ∓ 10 10 a. z) = (0.CHAPTER 3 STATIC OPTIMIZATION 37 x gj (ˆ ) ≤ bj . equations (i) and (ii) 5 yield −4(1 − 2λ)y = μ = 2(1 − λ)y. we have m m m m λj bj ≥ j =1 j =1 λj gj (ˆ ) ≥ x j =1 λj gj (x ) = j =1 ∗ λj bj (∗) Here the two middle terms.11 3. ± 2 2 a. which contradicts x x (∗). z) = (± 1 10 a. and λ = 0 if 2x + y + z < a 2 2 2 2 (i) (ii) (iii) (iv) There is no sign restriction on μ. ∓ 2 2 a). with λ = 1. there is at least one maximum point in this problem. m m m Therefore f (ˆ ) − j =1 λj gj (ˆ ) = f (x∗ ) − j =1 λj gj (x∗ ) ≥ f (x) − j =1 λj gj (x) for all x x x 0. ± 2 2 a. © Arne Strøm. There are two possibilities: λ = 1 and λ = 1. then μ = 0 and x = √ so y + √= 0 and y 2 + z2 = a 2 . Also. z 1 1 gives the two points (x. 3. and so (d/dx)(f + (x)2 ) = 2f (x)f (x) = 2f + (x)f (x). j = 1. . y. z. since the corresponding constraint is an equality. m. which implies 3x = 0.1 Assume ﬁrst that f is a function of just one variable.5). m proving (A). But the point (x. . With L(x.11. must themselves be equal. the necessary conditions are: ∂L/∂x = 2x − 4λx − μ = 0 ⇐⇒ 2(1 − 2λ)x = μ ∂L/∂y = 2y − 2λy − μ = 0 ⇐⇒ 2(1 − λ)y = μ ∂L/∂z = 2z − 2λz − μ = 0 ⇐⇒ 2(1 − λ)z = μ λ ≥ 0. then 2x 2 + y 2 + z2 = a 2 because of complementary slackness. z∗ ) = (0.8. Atle Seierstad. Knut Sydsæter. y. √ √ 1 1 with the solutions (x. y ∗ . (b) f ∗ (a) = a 2 . . 0. Then. and Peter Hammond 2008 . ∓ 2 2 a). and also because of (3. so x = y = z = μ = 0.10. we get x = y = z = μ/2. (A) If λ = 1 then (ii) and (iii)√ imply y = z. not an inequality.1 (a) Since the admissible set is closed and bounded. We have found several other points that satisfy the necessary conditions for a maximum but are not maximum points. z) = (0. 0) is obviously not a maximum point but a global minimum point in this problem. Such is often the case when the Lagrangian is not concave.
x − x0 and therefore f (x) = f (x) − f (x0 ) < (K + 1)x − x0  Then for all x = x0 in W . dx = 2(u − 1) du. and Peter Hammond 2008 . . . Atle Seierstad. .1. Knut Sydsæter. . .38 CHAPTER 4 TOPICS IN INTEGRATION (II) If f (x0 ) < 0. in all three cases we have shown that (d/dx)(f + (x)2 ) = 2f + (x)f (x). we get f + (x)2 f (x)2 f + (x)2 − f + (x0 )2 = ≤ < (K + 1)2 x − x0  → 0 x − x0 x − x0 x − x0 and so ((f + )2 ) (x0 ) = 0 = 2f + (x0 )f (x0 ). There is then an open interval W around x0 such that for all x = x0 in W . f (x) = 2f + (x)∇f (x) ∂x1 ∂xn as x → x0 which implies f (x) − f (x0 ) < f (x0 ) + 1 = K + 1 x − x0 Note that f need not really be C 1 . let K = f (x0 ). . and then (d/dx)(f + (x)2 ) = 0 = 2f + (x)f (x).1 4. We get 9 4 √ ( x − 1)2 dx = x 9 4 √ x−2 x+1 dx = x 9 4 2 1 dx = 1− √ + x x √ 9 (x − 4 x + ln x) = 1 + ln 4 4 9 (b) With u = 1 + 1 0 √ x we get x = (u − 1)2 . This result immediately carries over to the partial derivatives of f + (x)2 if f is a function n → : ∂ ∂ f (x) (f + (x))2 = 2f + (x) ∂xi ∂xi and the gradient of f + (x)2 is ∇(f + (x)2 ) = ∂ ∂ (f + (x))2 . Thus. then there is an open interval V around x0 such that for all x in V we have f (x) < 0 and f + (x) = 0.) If f (x0 ) = 0. (III) (The most interesting case.5 (a) Expand the integrand. Chapter 4 Topics in Integration 4. All that is needed is that all the ﬁrstorder partial derivatives of f exist. (f + (x))2 ∂x1 ∂xn ∂ ∂ = 2f + (x) f (x). . f (x) − f (x0 ) − f (x0 ) < 1. . and √ x ) dx = 1 2 ln(1 + 2(u − 1) ln u du = 2 1 1 2 2u 2 1 (u − 1)2 ln u − 1 1 2 2 (u − 1)2 du u = ln 2 − − 2u + ln u = © Arne Strøm.
using (4. it must be a stationary point—that is.2. Suppose it is correct for n = k. and g (Q) = (h + p)f (Q) ≥ 0. 1 We assumed above that α = 0. This yields F (α) = 0 1 ∂ 2 (xeαx ) dx = ∂α 1 0 x 3 eαx dx = 1 2α 1 2 1 2α 2 eαx 2 Direct calculation of F yields F (α) = conﬁrming the result above. 4.10 (a) g (Q) = c + h a 0 a Q Q 0 f (D) dD −p a Q f (D) dD. then formula (4. assuming α = 0. and such that f (t − τ )k(τ ) ≤ p(τ ) and Gt (τ. we need to know that F (0) = 0 x dx = 1/2. The given formula is thus (2k − 1)! √ π − 1)! (2k − 1)! 2k(2k + 1) √ (2k + 1)! √ 2k + 1 (2k − 1)! √ π= π = 2k+1 π = 2k−1 (k − 1)! 2k−1 (k − 1)! k! 2 2 2 · 2k · 2 2 Thus the proposed formula is valid also for n = k + 1.2 From the functional equation (4. t) ≤ q(τ ) for all τ ≤ t.2. By mathematical induction it is true for all natural numbers n.2. Atle Seierstad.2. we have f (D) dD = 0 a f (D) dD − 0 Q f (D) dD = 1 − 0 Q f (D) dD and therefore g (Q) = c − p + (h + p) 0 f (D) dD Since Q∗ is the minimum point of g(Q). Since G (τ. and 27 0 x 1/3 dx = 1 + x 1/3 4 1 u−1 3(u − 1)2 du = u 4 1 45 3u3 − 9u2 + 9u − 3 du = · · · = − 3 ln 4 u 2 4.1) and then introduce u = αx 2 as a new variable. In order to use Leibniz’s formula (Theorem 4.2 in this case) we need t t to know that there exist functions p(τ ) and q(τ ) such that −∞ p(τ ) dτ and −∞ q(τ ) dτ converge. Q (b) Since f (D) dD = 1. Then x = (u − 1)3 . Therefore c − p + (h + p)F (Q∗ ) = 0. g (Q∗ ) = 0. and Peter Hammond 2008 .1). 1 1 1 1 1 (k + 1 + 2 ) = ((k + 2 ) + 1) = (k + 2 ) (k + 2 ) = (k + 2 ) 1√ 2 π. x(t) = e−δ(t−τ ) y(t) + ˙ t −∞ 0 αeα − eα + 1 2α 2 0 0 α −1 α − eα + 1 e αe = . the inequality for Gt boils down to k(τ )f (t − τ ) ≤ q(τ ) for all τ ≤ t. 22k−1 (k © Arne Strøm. t) = −k(τ )f (t − τ ). which gives F (α) = 2α 2α 2 α ueu du = 1 2α 2 α (ueu − eu ) = 1 F (α) − F (0) eα − 1 − α “0” = lim = ··· = = 2 α→0 α→0 α 2α 0 4 −δe−δ(t−τ ) y(τ ) dτ = y(t) − δx(t) 4. which implies F (Q∗ ) = (p − c)/(p + h). If α = 0.2. Knut Sydsæter.1) yields F (0) = 0 x 3 dx = 1/4. .2 We use formula (4.8 See the answer in the book.2. Then. ( 2 ) = ( 2 + 1) = 2 ( 2 ) = correct for n = 1.2). 4. dx = 3(u − 1)2 du.6 By Leibniz’s formula (Theorem 4. To 1 get the answer by differentiating F directly.3 3 1 1 1 4.2 4.3.2.2). 4.3.2.CHAPTER 4 TOPICS IN INTEGRATION 39 (c) Let u = 1 + x 1/3 .3. Then F (0) = lim as it should be.
By induction.4.3. b a 1 1 x2 b 4. M (0) = α λ and M (n) (0) = α(α + 1) · · · (α + n − 1) = λn ∞ n −∞ x f (x) dx λα (α + n) (α) (λ − t)α+n (α + n) (α)λn (Alternatively we could have used the formula M (n) (0) = from Problem 4.4 4.2 The inner integral is a 1 y=b y/x 1 1 1 b/x 1 1 y/x e dy = 2 e = 2 eb/x − 2 . Therefore I = w w x w 1 1/a 1 b 1 (−ebw + 1) dw = (e − eb/a ) + − 1. I = n/3.4. so I = e − 2 dx. Then ∞ −∞ f (x) dx = ∞ −∞ λα (α) ∞ 0 x α−1 e−λx dx = λα (α) ∞ 0 λα (α) ∞ 0 (u/λ)α−1 e−u 1 du = λ 1 (α) ∞ 0 uα−1 e−u du = 1 (b) M(t) = get etx f (x) dx = λα (α) ∞ 0 x α−1 e−(λ−t)x dx. © Arne Strøm. 1 0 2 2 2 ( 1 + x2 + x3 + · · · + xn ) dx2 = 3 3 2 2 2 [ 1 x2 + 1 x2 + x2 (x3 + x4 + · · · + xn )] = 3 3 2 3 2 2 2 + x3 + x4 + · · · + xn etc. ka > 2 if a > 0. Obviously.) 4. 2 + 3a a a + 3a 1 0 1 0 3 2 2 2 [ 1 x1 + x1 (x2 + x3 + · · · + xn )] = 3 1 3 2 2 2 + x2 + x3 + · · · + xn 2 2 2 (x1 + x2 + · · · + xn ) dx1 = Next.3 The integral I = I= R f (x.2.4.5 (a) Introduce u = λx as a new variable. we get x = (w2 ebw − w2 ) − 2 dw = and dx = − 2 dw. With u = (λ − t)x as a new variable we α M(t) = (α) uα−1 e−u λα λ du = = α α (λ − t) (α) (λ − t) λ−t = λα (λ − t)−α Differentiation gives M (t) = αλα (λ − t)−α−1 and in general M (n) (t) = α(α + 1) · · · (α + n − 1)λα (λ − t)−α−n = Hence. Atle Seierstad.5.5 The innermost integral is 1 0 4 2(a 2 + 3a + 2) =2+ 2 . x y=0 x x x2 x 0 x 1 1/a 1 1 1 1 With w = . y) dx dy is 1 a 1 x=a 2k k dy dx dy = − 3 (x + y + 1)2 0 0 (x + y + 1) 0 x=0 1 1 k k k k − dy = − = (y + 1)2 (y + a + 1)2 y+1 y+a+1 0 0 k k k(a 2 + 3a) k +k− = =− + 2 a+2 a+1 2(a 2 + 3a + 2) The integral equals 1 if k = ka = 4.40 CHAPTER 4 TOPICS IN INTEGRATION 4. and Peter Hammond 2008 . Knut Sydsæter.
. 1 0 0 1 0 0 1 0 1 x − y dx dy = y x − y dx dy + A 1 y 1 0 x − y dx dy B 1 0 x=y x=0 = = (y − x) dx + (x − y) dx dy = 1 yx − x 2 + 2 1 dy = 2 1 0 x=1 x=y 1 2 x − yx 2 dy 1 1 1 y 2 − y 2 + − y − y 2 + y 2 dy = 2 2 2 y2 − y + 1 1 3 1 2 1 y − y + y = 3 2 2 3 4. and Peter Hammond 2008 . 2]. then x must run from V = 0 1 0 y √ y − 1 to 1. Atle Seierstad.6 x − y = x − y if x ≥ y and y − x if x < y. . 1 1 1 1 1 1 = 2 3 n(n − 1)2n − 3 (2n − 1)2nn + 2 n2n = 2 − → 2 n 2 n n n 2 4.6.CHAPTER 4 TOPICS IN INTEGRATION 41 4. Hence (see Fig. A4. Then (2xi∗ − yj∗ + 1) xi and 2n−1 n−1 yj = 2 j 11 i i j 1 − +1 =2 3 − 3 + 2 n n nn n n n 2n−1 n−1 2 j =0 i=0 j 1 i 1 − 3 + 2 =2 3 3 n n n n =2 1 n3 i − j =0 2n−1 j =0 i=0 1 n3 n−1 2n−1 j + i=0 j =0 n−1 1 n2 2n−1 n−1 1 j =0 i=0 2n−1 1 1 n(n − 1) − 3 2 n i=0 1 1 (2n − 1)2n + 2 2 n n j =0 as n → ∞. Knut Sydsæter.6. y3 67 dy = 2 120 xy 2 dx dy + 1 2 1 √ y−1 xy 2 dx dy = 0 1 y4 dy + 2 2 1 y2 − 4.6(a) in the book). 1].7 y P3 P1 P2 x Q1 Figure M4.5.5. .7.2 Q2 Q3 © Arne Strøm. 2n − 1. and if y ∈ [1.5 4.1.1 (a) Use the same subdivision as in Example 4.2 If y ∈ [0. Thus. then x runs from 0 to y.6 4.5. except that j = 0. .
v) (x + y) dx dy = A2 4 8 1 −1 + 2 v and 5 2 3 u + v J  du dv = 5 5 8 4 1 −1 2 3 1 u + v du dv = 144/25 5 5 5 4. therefore ⎧ ⎨ 2π 0 Jn dθ = 2πJn . It follows that J = ∂(u.7. 1 x1 y1 1 and an easy computation shows that this equals A = 2 1 x2 y2 .42 CHAPTER 4 TOPICS IN INTEGRATION 4. so let x = r cos θ. That may change the sign of the determinant but not its absolute value.7. v = 3x + y. Knut Sydsæter.3 (b) In this problem it is convenient to use polar coordinates centred at (0.8. In either case the area equals A. i = 1.7. then the area of the triangle is T13 − T12 − T23 .4 Note that the integrand takes both positive and negative values in the domain of integration. Qi . and Pj form a quadrilateral with two parallel sides (called a trapezium in Britain. y) 1 = − 5 . Finally.8 4. and Peter Hammond 2008 . a trapezoid in the US). yi ). y = 5 5 ∂(x. Such a translation will not change the area of the triangle. we get In = An (x + y ) 2 2 −p dx dy = 2π 1 n r 1−2p n2−2p − 1 dr = 2 − 2p ⎩ 2π ln n 2π if p = 1 if p = 1 If p > 1.5 (b) Introduce new variables u = y − 2x. we can renumber them. and that x1 ≤ x2 ≤ x3 . then In → π/(p − 1) as n → ∞. Qj . then In → ∞. whose area is 1 Tij = 2 (xj − xi )(yi + yj ). if the triangle does not lie in the ﬁrst quadrant. the points Pi . 4. we can move it there by a parallel translation. Figure M4. Then x = − 1 u + 1 v. 2. (b) With polar coordinates and with An as in part (a). y) : 1 ≤ x 2 + y 2 ≤ n2 }.7. j ) with i < j . nor will it change the value of the determinant. If P2 lies below the line P1 P3 .1 (a) Use polar coordinates and let An = {(x. but if p ≤ 1. y = 1 + r sin θ. y)/∂(r. and x 2 dx dy = A 0 2π 0 1/2 r 3 cos2 θ dr dθ = 0 2π r=1/2 r=0 r4 1 cos2 θ dθ = 4 64 2π 0 cos2 θ dθ = 3 5u π 64 4. 4.8. The Jacobian is ∂(x.2 Assume for convenience that the points Pi = (xi . For each pair (i. If P2 lies above P1 P3 . all lie in the ﬁrst quadrant. since we are just adding multiples of the ﬁrst column to the other two columns. Atle Seierstad. θ) = r in this situation too. Then (x 2 +y 2 )−3 dx dy = An ∗ 0 2π 1 n −6 1 r r n n 1 r −6 r dr dθ = 2π ∗ 1 1 r −5 dr = 2 π(1−n−4 ) → 2 π as n → ∞ About the equality =: The integral Jn = dr is independent of θ.2 shows the triangle P1 P2 P3 together with the normals from the Pi to the corresponding points Qi on the xaxis. 1). If the xi are in a different order from what we assumed above. In the calculations of the two iterated integrals the positive and the negative parts will more or less balance © Arne Strøm. then the area 1 x3 y3 of the triangle is T12 + T23 − T13 = −A. 3.
5. 0).3).6 (b) Introduce new variables u = x + y. but this solution cannot be extended to any larger interval because x(t) runs off to inﬁnity as t approaches either endpoint. Atle Seierstad. Let n → ∞. the equation has the solution x = tan( 2 t 2 ) over (− π. v) = −1/2. The two iterated integrals 1 1 y(y + x)−3 dx dy and b d −3 dy dx both tend to ∞ as b and d tend to ∞. n] × [−n.2 x x 2 + y 2 = 4. (Here we used e−v dv · arctan n.8. with the √ √ 1 initial condition x(0) = 0. − ln(x 2 + y 2 ) A x2 + y2 dx dy = lim π/2 1 1/n n→∞ 0 − ln r 2 r dr dθ = −π lim n→∞ r 1 1/n ln r dr = · · · = π Chapter 5 Differential Equations I: Firstorder Equations in One Variable 5. n] in the uvplane corresponds to the square Bn with corners (2n. (This can be shown by direct differentiation. y)/∂(u. (Actually. Then In → e−v dv · 2 2 2 −n −∞ Poisson’s integral formula (4. 2 2 n n n n e−(x−y) e−v 1 1 1 2 dx dy = e−v dv du = du dv = and In = 2 2 2 2 −n −n 1 + u −n −n 2 1 + u Bn 1 + (x + y) n ∞ √ π 3/2 π π 2 2 = π· = . with C an arbitrary positive constant. (0. or by solving the separable © Arne Strøm.1 5. (−2n. With that modiﬁcation the answer in the book is quite correct. One can show that. y = 2 (u − v). and (0.) 4.1. and Peter Hammond 2008 . 1 1 4. The square Bn = [−n. The 1 1 y(y + x) trouble arises when we try to take the difference.2 5. and so do the integrals of x(y + x)−3 . the given differential equation has no solution deﬁned on the entire real line.CHAPTER 5 DIFFERENTIAL EQUATIONS I: FIRSTORDER EQUATIONS IN ONE VARIABLE d b 43 each other.3. x = 0. That leads us into an ∞ − ∞ situation that does not lead to any deﬁnite value. Instead of “for all t” it should have said “for all t in some open interval I around 0”.7 (b) With polar coordinates and with the sets An as in Example 3. but not in exactly the same way. Knut Sydsæter. and the Jacobian determinant is ∂(x.8.2.6 The statement of the problem is slightly inaccurate. Then x = 2 (u + v). x > 0 1 1 t Figure M5. v = x − y. π).2. 0). −2n) in the xyplane.2 The solution curves are semicircles (not full circles) of the form t 2 + x 2 = C. 2n).
t dt 1 2 2x x dx = ⇒ 1 = 2 t 2 + C1 (d) The equation is equivalent to x = e−2t (x + 1)2 . tx ˙ (b) Here. = at + b. x0 ) we must have 1 − e0 + C = 0. Atle Seierstad. so x = 1 + e−2t 5.e. ⇒ x 2 = t 2 + C. (c) No constant solutions. 2) for C = 2. x(t) = − 4 − t 2 . (b) One constant solution. where C = 2C1 . 1 − e−2t . which is also a solution of the differential equation. 1/e) is x = te−t . so x = Cte−t . separating the variables. That gives x dx = x at + b dt = t a+ b dt t ⇒ ln x = at + b ln t + C1 ⇒ x = Ceat t b © Arne Strøm. C = 0. x > 0. 2) is ˙ √ given by t 2 +x 2 = 4. (The ﬁgure in answer in the book is misleading since it shows a full circle. but not the one you were asked to ﬁnd.2.44 CHAPTER 5 DIFFERENTIAL EQUATIONS I: FIRSTORDER EQUATIONS IN ONE VARIABLE equation x = −t/x using the method set out in the next section. x ˙ t2 = x 1 + t3 ⇒ ln x = 1 3 ln 1 + t 3  + C1 ⇒ x = C 1 + t3 3 Integral curve through (t0 . M5.) The integral curve through (0. Knut Sydsæter. x ≡ 0.) 5. The nonconstant ˙ solutions are found by separating the variables: dx = (x + 1)2 e−2t dt ⇒ − 1 1 = − 2 e−2t + C1 x+1 ⇒ x= 1 − e−2t + C 1 + e−2t − C where C = 1 + 2C1 . x ≡ −1. and we get (a) The equation x dx = x a dt t ⇒ ln x = a ln t + C1 = ln t a + C1 ⇒ x = eln x = t a · eC1 = Ct a where C = eC1 . One constant solution.3. dx = x 1−t dt = t 1 − 1 dt t ⇒ ln x = ln t − t + C1 Hence. so x = t 2 − 1. The lower semicircle shown in Fig.6 For convenience we shall suppose that x > 0 and t > 0.3 (a) One constant solution. √ √ An integral curve through (t0 . x0 ) = (0. Otherwise. and Peter Hammond 2008 . i. The integral curve through (t0 . For the solution to pass through (t0 . in other words it is the graph of the function x(t) = 4 − t 2 over the interval √ (−2. x0 ) = ( 2. where C = ±C2 = ±eC1 . Otherwise. tx ˙ = a is separable. x ≡ 0.2 is the graph of another function. 2). 1) must have C = −1 and x > 0. x0 ) = (1.3 5. x = eln t−t+C1 = eln t e−t eC1 = C2 te−t .3.
K = (1 − b + c)eQt + C 1−b+c Q Q C = C1 (1 − b + c). Since = − . and so K0 − pα + 1 α 1/α α K = K0 + sαAbα (t + a)pα+1 − a pα+1 /(pα + 1) It follows that K = L α K0 + sαAbα (t + a)pα+1 − a pα+1 pα + 1 bα (t + α)pα 1/α 1/α α K0 a pα+1 sαA t +a− + = α b (t + α)pα pα + 1 (t + α)pα 1/α → ∞ as t → ∞ © Arne Strøm. (a) Let P = Anα a b and Q = αv + ε. 5. and Peter Hammond 2008 . We have the same answer as in the book (since β − αx = αx − β).9 (a) Note ﬁrst that L = L0 eλt = [Lα eαλt ]1/α . we get x x(ax + b) t x(ax + b) b x ax + b b dt t ⇒ ln x − ln ax + b = b ln t + C1 ⇒ x = Ct b ax + b 1 a − dx = x ax + b where C = ±eC1 . The hint in the problem gives (b) We separate the variables and get (β − αx)(x − a) Integration yields β dx + β − αx ⇐⇒ a dx = (β − αa) x−a dt ⇐⇒ − β ln β − αx + a ln x − a = (β − αa)t + C1 α β ln β − αx − a ln x − a = ln β − αxβ/α + ln x − a−a = −(β − αa)t − C1 α ⇐⇒ β − αxβ/α x − a−a = e−(β−αa)t−C1 = e−(β−αa)t e−C1 = Ce(αa−β)t where C = e−C1 . Atle Seierstad. where = e + C1 . dK/dt = sAK 1−α Lα = sAK 1−α bα (t + a)α .3.3. Hence. so as t → ∞. Knut Sydsæter. x dx = dt. Separating the variables we get 0 1/(1−b+c) P K 1−b+c P Qt . 1 − Cat b K c−b dK = P eQt dt.8 Cbt b . We get K α−1 dK = sAbα The initial condition gives C = (t + a)pα dt ⇒ 1 α sAbα K = (t + a)pα+1 + C α pα + 1 sAbα pα+1 1 α a . and ﬁnally x = 5.CHAPTER 5 DIFFERENTIAL EQUATIONS I: FIRSTORDER EQUATIONS IN ONE VARIABLE 45 (c) The equation tx ˙ x ˙ 1 1 1 1 a = ax + b gives = . 0 α K0 + (sA/λ)Lα (eαλt − 1) K 0 = L [Lα eαλt ]1/α 0 1/α = 1−α α K0 sA (1 − e−αλt ) α αλt + λ L0 e 1/α → (1−α)/α sA λ 1/α and AK 1−α Lα K X = =A L L L →A sA λ (1−α)/α = A1/α s λ (b) The equation is separable.
6. (ii) implies that ˙ ˙ ˙ ˙ X/X = a N/N. It follows from (5.4. and the solution of tx + x 2 = C is x = − 2 t + 1 2 4t + C. we have (gt − fx )/f = 1/x.4) yields z = e2t (C + e−2t et dt) = e2t (C + e−t dt) = e2t (C − e−t ) = Ce2t − et . Then apply this with ξ = ασ − μ. Faster growth per capita is to be expected because foreign aid contributes positively. It follows that x = (a −1)αx −(a −1)β.5. ˙ ˙ 5. We assumed that t > 0 the differential equation is obtained from tx + x 1 and x > 0. then x(t) → β/α.4. the given equation is equivalent to the Bernoulli equation x + (2/t)x = x r with r = 2. N(t) → (β/αA)1/(a−1) .2 With f (t.4.) Formula (5. so we are in Case (II). and (5.6 5. and (8) easily yields h(t. and Peter Hammond 2008 . even if ασ < ρ. and therefore z > 0.e. If 0 < a < 1. ˙ ˙ The solution is x(t) = [x(0) − β/α]eα(a−1)t + β/α. √ 1 (c) In this case.4.9 From x = X/N.6) yields the solution x = Ct + t 2 . So foreign aid must grow faster than the population. a(t) dt = −2 ln t. X(t) = A[N(t)]a .4 5. Moreover.1 (a) With t > 0.4.6) yields the solution x = C t 2 − 1 + t 2 − 1. H0 −(ρ−ασ )t H0 (μ−ρ)t σ σ e + e .5. which leads to x = Ct 2 + 2a 2 /3t. x) = tx + x 2 − t0 x0 − x0 . © Arne Strøm. so C will be positive. so that x = 1/z.4. with r = 1/2. Then x = 2z˙ and the given equation becomes ˙ 2z˙ = 4z2 + 2et z ⇐⇒ z − 2z = et z (Recall that x is assumed to be positive. The solution of ˙ 2 = C. Knut Sydsæter. where C is a constant. 2 Hence. (c) Using equation (∗∗).46 CHAPTER 5 DIFFERENTIAL EQUATIONS I: FIRSTORDER EQUATIONS IN ONE VARIABLE 5. x(t) is positive and increasing for large t as long as μ > ρ. 5.10 (b) It sufﬁces to note that (1 − e−ξ t )/ξ > 0 whenever ξ = 0 (look at ξ > 0 and ξ < 0 separately). Atle Seierstad. 5.1). Thus x = (Ct 2 + t)−1 . 5. (b) Here a(t) dt = − (1/t) dt = − ln t.6 Use formula (5.5 5. x) = 1 and g(t. x) = t/x + 2. so x/x = (a −1)N/N = (a −1)[α −β(1/x)]. x + (t + 2x)x = 0 is exact. (d) Here a(t) = −2/t. Thus we substitute z = x 1−1/2 = ˙ z x 1/2 . x = z2 .4. we get x(t) = x(0) + ασ − μ N0 μ − ασ N0 Note that.11) that we can choose β(x) = exp( (1/x) dx) = exp(ln x) = x as an integrating factor. (b) The equation is a Bernoulli equation as in (5. ˙ 1−r = x −1 = 1/x. b(t) = −2a 2 /t 2 . Then x = −z−2 z and the differential equation becomes ˙ ˙ Let z = x ˙ ˙ −z−2 z + (2/t)z−1 = z−2 ⇐⇒ z − (2/t)z = −1 whose solution is z = Ct 2 + t. Then (ii) and x = X/N together imply that N(t) = [x(t)/A]1/(a−1) . x/x = X/X − N/N. and X(t) → A(β/αA)a/(a−1) as t → ∞. and (5.6) to solve these equations. i.6. a(t) dt = − 2 ln(t 2 − 1). by logarithmic differentiation.
where ˙ a P = αδ(1 − b) and Q = αAn0 (1 − b). we substitute x = 1/z. and it certainly satisﬁes the equation. Integration = 2 1−z t 2 1+z 1−z t 1 1 yields 2 ln 1 + z − 2 ln 1 − z = ln t + C.4. ˙ According to (5. In addition we have At 2 + 1 At + 1 the two solutions x = −t and x = t.4) and calculate like this: z − 2z = et ⇐⇒ (˙ − 2z)e−2t = e−t ˙ z d (ze−2t ) = e−t ⇐⇒ ze−2t = −e−t + C.4. Knut Sydsæter.4. 5.6.3 Introducing z = K 1−b as a new variable. + dz = + C.6.4.CHAPTER 5 DIFFERENTIAL EQUATIONS I: FIRSTORDER EQUATIONS IN ONE VARIABLE 47 (Alternatively we could go back to the method that was used to deduce (5.6. corresponding to z = ±1. and Peter Hammond 2008 . To ﬁnd the other solutions. This has the two ˙ constant solutions z = −1 and z = 1. This leads to the differential equation ˙ z − (1/t)z = −(ln t)/t ˙ Formula (5. with x = −z−2 dz.4). By (5. we ﬁnd that (see (5. but the problem explicitly calls for solutions with x > 0. By a wellknown identity. ⇐⇒ dt The solution of the given equation is therefore x = z2 = (Ce2t − et )2 (c) As in part (a). Solving for z gives z = © Arne Strøm.3)) z + P z = Qe(av+ε)t .7 The equation is of the form x = g(x/t) with g(z) = 1 + z − z2 . we separate the variables and get 1 1 1 dt dt dz . Atle Seierstad. the solution of this linear differential equation is z = Ce−P t + Qe−P t = Ce−P t + Qe−P t eP t e(av+ε)t dt = Ce−P t + Qe−P t e(av+ε+P )t dt Qe(av+ε)t 1 e(av+ε+P )t = Ce−P t + av + ε + P av + ε + P Insert the values of P and Q. 5. ˙ the substitution z = x/t leads to the separable equation t z = g(z) − z = 1 − z2 .4 Introduce z = K 1−α as a new variable. so ln 1+z = 2 ln t + 2C = ln t 2 + 2C 1−z ⇒ 1+z = At 2 1−z At 3 − t At 2 − 1 .6) yields the solution z = eln t C − e− ln t ln t dt = t C − t ln t dt = Ct + ln t + 1 t2 ⇒ x = (Ct + ln t + 1)−1 etc.6.3).6.3). we get the equation z − γ2 (1 − α)z = γ1 b(1 − α). According to Problem 5.) 5.) (The answer in the book also lists x ≡ 0 as a solution.6. Then K = z1/(1−α) gives the answer in the book. where A = ±e2C . the solution is z = Ceγ2 (1−α)t − γ1 b/γ2 . Then K = z1/(1−b) gives the answer in the book.6. and ﬁnally x = tz = 2 . According to (5.
8. But F (K. 2 ) is x = 1/(1 + e−t ). √ 5. c = (X − K)/L = (1 − s)X/L = (1 − s)f (k). 5. In equilibrium.r. For t < a. ˙ (b) From equations (i) to (iv). But sf (k ∗ ) = λk ∗ .3 were satisﬁed. and the solution through (t0 . there would exist numbers a(t) and b(t) such that x(1 − x) ≤ a(t)x + b(t) for all x. and x(t) → −∞ as t → (− ln A)+ . If condition (3) in Theorem 5. k ∗ is that f (k ∗ ) = λ. we obtain FK (K. (4) implies x 2 (1 − x) ≤ a(t)x 2 + b(t). −(t − a) It follows that when t is near a. then x(t) → ∞ as t → (− ln A)− .7 5. so 1 − x ≤ a(t) + b(t)/x 2 .8. If x0 > 1.3 (a) This is a separable equation with solution x(t) = (1+Aet )/(1−Aet ) where A = (x0 −1)/(x0 +1) for x0 = −1. (ϕ(t) − ϕ(a))/(t − a) = ˙ 2 /(t − a) = −(t − a) = a − t. For t < a.t. From F (K. (c) See the answer in the book. L) = Lf (k)(1/L) = f (k). For t in (a.3(a) in the answer section of the book for some integral curves. A5. and √ ϕ(a) = limt→a (ϕ(t) − ϕ(a))/(t − a) = 0 = 2 ϕ(a). 5. Atle Seierstad. L) = Lf (k) and so FK = Lf (k)dk/dK = f (k) because k = K/L with L ﬁxed. The argument ˙ √ for t > b is similar. (ϕ(t) − ϕ(a))/(t − a) ≤ t − a. See Fig.7. and decreases as the growth rate of the work force increases. Similarly. which clearly is impossible when x is sufﬁciently large. x(t) → −1 as t → ∞. For x0 = −1 we get the constant solution x(t) ≡ −1.5. so when k = k ∗ we have c = f (k ∗ )−λk ∗ .8. Thus ∂F /∂K = λ. x0 ) = (0. and Peter Hammond 2008 . which becomes impossible as x → −∞.4 The equation is separable. Knut Sydsæter. But then 1 − x ≤ a(t) + b(t)/x.4 (a) ∂k ∗ /∂s = f (k ∗ )/[λ − sf (k ∗ )] > 0 and ∂k ∗ /∂λ = −k ∗ /[λ − sf (k ∗ )] < 0 when λ > sf (k ∗ ).5 See Fig. so ϕ is differentiable at a. and for t slightly larger than a.8 1 5. capital per worker increases as the savings rate increases. then for every t. M5.7.8. For x0 = 1. which occurs when 0 < A < 1. In the same way we show that the differential ˙ equation is satisﬁed at t = b. b) we have ϕ(t) = 0 = 2 ϕ(t). L) = Lf (k) with k = K/L.5 x = ϕ(t) t 1 2 3 4 © Arne Strøm.7.48 CHAPTER 5 DIFFERENTIAL EQUATIONS I: FIRSTORDER EQUATIONS IN ONE VARIABLE 5. x 3 2 1 −4 −3 −2 −1 −1 −2 −3 Figure M5. The necessary ﬁrstorder condition for this to be maximized w. (ϕ(t) − ϕ(a))/(t − a) = 0.8. ϕ(t) = −2(t − a) = 2(a − t) = 2 (a − t)2 = 2 ϕ(t).
with ∂ (x − ϕ(t)) dt 1 (∂/∂x)(x − ϕ(t)) 1 = =− = − ∂x = ∂ dx (∂/∂t)(x − ϕ(t)) ϕ(t) ˙ x ˙ ∂t (x − ϕ(t)) Therefore x = 1/t . or d 2 t/dx 2 = x. (a) Putting u = x. Then u − u = t 2 .4. where t = dt/dx. which has the solution (see (5.4. which has the solution (see (5. The equation for t in (a) becomes 1 t = −(t )3 (−x)(1/t 3 ) = x. (c) Let u = x.CHAPTER 6 / DIFFERENTIAL EQUATIONS II: SECONDORDER EQUATIONS 49 6 Differential Equations II: SecondOrder Equations and Systems in the Plane 6. and so u = Aet − t 2 − 2t − 2. with A = − 2 C. we get u + 2u = 8. 1/t ) (b) (i) Obviously. let u = x.1. We know that if x = ϕ(t) = 0.3)) u = Ce−2t + 4. 3 6.4 In each of these three equations. and further © Arne Strøm. (The prime denotes differentiation with respect to x. s ).1. x) becomes ¨ ˙ − t = F (x. But then ˙ ˙ x= 1 1 (Ce−2t + 4) dt = − 2 Ce−2t + 4t + B = Ae−2t + 4t + B.4)) u = Aet + et ˙ ˙ integration by parts twice gives Then x = e−t t 2 dt. Using e−t t 2 dt = −t 2 e−t − 2te−t − 2e−t . with the solution (see (5. That will give simple ﬁrstorder equations for u which ˙ you can solve. then the equation ¨ ˙ ˙ ˙ x − ϕ(t) = 0 deﬁnes t as a function of x. x(t) ≡ C is a solution for any constant C. (Aet − t 2 − 2t − 2) dt = Aet − 1 t 3 − t 2 − 2t + B. (b) With u = x. we get u − 2u = 2e2t .6 (a) Suppose x = ϕ(t) is a solution of x = F (x. Atle Seierstad. and afterwards ﬁnd x as x = u dt.1 6.4. and Peter Hammond 2008 . Knut Sydsæter.4)) ˙ ˙ u = Ce2t + e2t e−2t 2e2t dt = Ce2t + e2t 2 dt = Ce2t + e2t 2t = (C + 2t)e2t Integration by parts then yields x= 1 (C + 2t)e2t dt = 2 (C + 2t)e2t − 1 2 2e2t dt 1 1 1 = 2 (C + 2t)e2t − 2 e2t + B = 2 (C − 1)e2t + te2t + B = Ae2t + te2t + B 1 with A = 2 (C − 1). Integration yields dt/dx = 2 x 2 + A.) Now the ˙ chain rule gives d d 1 t 1 t d 1 dx x = (x) = ¨ ˙ =− 2 =− 3 = dt dt t dx t dt (t ) t (t ) and the differential equation x = F (x. 1/t ) (t )3 ⇐⇒ t = −(t )3 F (x.
(b) The general solution of the homogeneous equation is again x = Aet + Be−t . 6. Since e−t is a solution ˙ ¨ of the homogeneous equation. If we let A = 0 in Beat . so p = −1/2. 6.2 (a) The characteristic equation is r 2 − 1 = 0. where A = 1/A2 and B2 = −B1 /A2 .1(b) now tells us that the general solution is Au1 + Bu2 + u∗ . we recover the constant solutions mentioned at the beginning. Since the righthand side of the equation is a polynomial of degree 1. and the general solution of the given equation is x = Au1 + Bu2 = a(t + a)−1 + B(t + b)−1 . and then t = t dx = A2 ln x + B1 . Since a = b. Inserting this into the given equation yields ˙ −2p sin t − 2q cos t = sin t.2. Knut Sydsæter. Then u∗ (t) = pe−t − pte−t and u∗ (t) = −pe−t − −t + pte−t .2 6. and u∗ = −p sin t + q cos t. © Arne Strøm. x(t) ≡ C is a solution for every constant C = 0. which inserted into the given equation yields −2pe−t = e−t . where u∗ is any particular solution of the equation.1(a) says that the general solution of x + x − 6x = 0 is x = Au1 + Bu2 = ¨ ˙ 2t + Be−3t . A nonconstant solution 6 of the equation x = −x x 3 is therefore given implicitly by the equation x 3 + A1 x + B1 = 6t.3 (a) Direct calculations show that u1 + u1 − 6u1 = 0 and u2 + u2 − 6u2 = 0. where A2 = ±eA1 . Finally. and (t + a)(t + b)x + 2(2t + a + b)x + 2x ¨ ˙ = (t + k)−3 2(t + 2)(t + b) − 2(2t + a + b)(t + k) + 2(t + k)2 = (t + k)−3 2 k 2 − (a + b)k + ab = (t + k)−3 2(k − a)(k − b) Thus x = (t + k)−1 solves the given differential equation if and only if k = a or k = b.50 CHAPTER 6 / DIFFERENTIAL EQUATIONS II: SECONDORDER EQUATIONS integration results in t = 1 x 3 + Ax + B. Since u1 and u2 are not ¨ ˙ ¨ ˙ proportional. We get u∗ +u∗ −6u∗ = C−6(Ct +D) = −6Ct +(C−6D).3 6. where A and B are arbitrary constants. ¨ ˙ (ii) In this case.3. ∗ is a solution if and only if −6C = 6 and C = 6D. x = 2(t + k)−3 . This yields ln x = At + B2 . Then x = −(t + k)−2 . we try u∗ (t) = pte−t . The general solution of the corresponding homogeneous differential equation is therefore (Case (I) in Theorem 6. and the pe 1 general solution is x = Aet + Be−t − 2 te−t . To ﬁnd a particular solution of the given equation we try u∗ (t) = p sin t + q cos t. x = Aet + Be−t .2.2. Thus the general solution of the given equation is x = Ae2t + Be−3t − t − 1/6.) 6. x = ±eB2 eAt = BeAt . and Peter Hammond 2008 . The general solution of x − x = sin t is ¨ 1 therefore x = Aet + Be−t − 2 sin t.3.5 ˙ ¨ Let x = (t + k)−1 . with roots r = 1 and r = −1. Ae (b) Theorem 6. Theorem 6. Thus p = −1/2 and q = 0. ¨ Then u∗ = p cos t − q sin t.1). in other words if and only if C = −1 and so u D = −1/6. For solutions with x = 0 we use the ˙ transformation in (a) and get t = −(t )3 1/(t )2 t =− x x ⇐⇒ 1 t =− t x ⇐⇒ ln t  = − ln x + A1 This yields t = A2 /x.2. (Note that the constants A and B here are different from 0. we try to ﬁnd ¨ ˙ a particular solution of the form u∗ = Ct +D. the functions u1 = (t + a)−1 and u2 = (t + b)−1 are not proportional. Atle Seierstad.
Since sin π = 0 and cos π = −1. To ﬁnd the solution with the given initial conditions we must determine A and B. Then u∗ = 2Ct + D. and ﬁnd p = 2/75. so r = 5 is a double root.3. B = A + 5 = −1. and ﬁnd C = 1 and D = 1/4. The general solution of the homogeneous equation is therefore x = At + Bt 3 . The initial condition x(π/2) = 0 gives A sin π + B cos π + π/2 + 1/4 = 0. That is because Qt is a solution of the homogeneous equation. and so ˙ t − tet + t 2 − 4t + 6. With x = t r .1).e. The general solution of the homogeneous equation is therefore (Case (II) in Theorem 6. with roots 1 r = − 2 γ [β + α(1 − β)] ± 1 2 γ 2 [β + α(1 − β)]2 + 4γ δ ∗ 1 Oscillations occur if the characteristic roots are complex. To ﬁnd a particular solution of the nonhomogeneous equation. Equating like powers of t yields C = 1. if and only if 4 γ 2 [β +α(1−β)]2 +γ δ ∗ < 0. It follows that the general solution is x = A sin 2t +B cos 2t +t +1/4. the condition x(0) = 1 implies −A + B − 4 = 1. To ﬁnd a particular solution we try u∗ (t) = Ct 2 + Dt + E. Since x = 2A cos 2t − 2B sin 2t + 1. So the general solution is x = Ae−t + Bte−t + t 2 − 4t + 6.3. so A = −6. Atle Seierstad. i. The characteristic equation is r 2 + γ [β + α(1 − β)]r − γ δ ∗ = 0. The constants A and B are determined by the initial conditions. It follows that D = −4. Since ˙ x(t) = −Ae−t + Be−t − Bte−t + 2t − 4. The general solution of the homogeneous equation is therefore (Case (III) in Theorem 6.3 (a) The characteristic equation is r 2 + 2r + 1 = (r + 1)2 = 0. (b) Substituting x = t r into the homogeneous equation yields the equation r 2 − 4r + 3 = (r − 1)(r − 3).3. Inserted into ˙ ¨ the given equation this yields 2C+4Ct +2D+Ct 2 +Dt +E = t 2 .3. Inserted into the given equation this yields ¨ u ˙ 2P t 2 − 3t (2P t + Q) + 3P t 2 + 3Qt + 3R = t 2 ⇐⇒ −P t 2 + 3R = t 2 This holds for all t if and only if P = −1 and R = 0. The general solution is therefore x = At −1 + Bt −3 .8 (a) This is an Euler differential equation. Therefore A = 1/2. and 2C + 2D + E = 0. (Note that Q did not appear in the last equation.3. and u∗ = 2P . ˙ 6. x = Ae−t + Bte−t .CHAPTER 6 / DIFFERENTIAL EQUATIONS II: SECONDORDER EQUATIONS 51 (c) The characteristic equation is r 2 − 10r + 25 = (r − 5)2 = 0. the equation ˙ 1 1 1 1 x(π/2) = 0 gives −2A + 1 = 0. ˙ ¨ Inserting this into the given equation and cancelling t r gives the equation r 2 + 4r + 3 = 0. and E = 6. 6. Knut Sydsæter. the general 2 3 solution of the given equation is x = Ae5t + Bte5t + 75 t + 125 . or Ct 2 +(4C+D)t +2C+2D+E = t 2 . we get x = rt r−1 . so we must have ˙ ¨ γ [β + α(1 − β)]P − γ δ ∗ P t − γ δ ∗ Q = −γ δ ∗ kt − γ δ ∗ L0 It follows that P = k and Q = L0 + [β + α(1 − β)]k/δ ∗ . Then ¨ ˙ ∗ = 2P t + Q. with roots r = −1 and r = −3. x = Ae5t + Bte5t . Hence. we try to ﬁnd a particular solution of the form u∗ = P t + Q. we ﬁnd B = π/2 + 1/4. x = A sin 2t + B cos 2t. 4C + D = 0. © Arne Strøm. q = 3/125. To ﬁnd a particular solution we try u∗ (t) = pt + q. t 2 x − 3t x + 3x = t 2 . To ﬁnd a particular solution we try u∗ (t) = Ct + D. and so the general solution is x = At + Bt 3 − t 2 .3. The general solution of the homogeneous equation is therefore (Case (II) in Theorem 6. We get u∗ = P and u∗ = 0. we try u∗ (t) = P t 2 + Qt + R.4 Since the righthand side is a linear function of t. and so x = 2 sin 2t + ( 4 + 2 π) cos t + t + 4 . The condition x(0) = 0 yields A + 6 = 0. 6. so r = ±2i are the complex roots. and u∗ = 2C.1). and x = r(r − 1)t r−2 . and Peter Hammond 2008 .) One particular solution of the nonhomogeneous equation is therefore u∗ = −t 2 . so r = −1 is a double root.1). The required solution is x = −6e (b) The characteristic equation is r 2 + 4 = 0.
˙ ˙ we get x = t + 1. and y = be ˙ If a + b = 0. and see the answer in the book. then the solution is ¨ √ 1 rt + Be−rt − k/r 2 . Knut Sydsæter. ¨ 6. Therefore x = 1.2 (a) If we add the two equations we get x + y = (a + b)(x + y). From the ﬁrst equation ˙ ˙ and the initial conditions we get x(0) = 0 + y(0) = 1. if λ = 0. The initial conditions yield A = x(0) − and so x(t) = 2ae(a+b)t + b − a . If λ > 0. Note that a(s1 − d1 ) > 0. then x = a and y = b = −a. y= +B a+b a+b for suitable constants A and B.3.4. 6. Atle Seierstad.5 6. then the solution is p(t) = At + B + 2 kt 2 . if √ √ λ < 0. y= 1 2 − at (b) The ﬁrst equation gives y = x − 2tx. We can also see the instability from the criterion in (6. the corresponding homogeneous equation has solutions that run off to inﬁnity. a+b 2 a+b 2(a + b) B = y(0) − b 1 b a−b = − = a+b 2 a+b 2(a + b) If a + b = 0. and if we use this in the second equation we get ˙ x − 2x − 2t x = −2t − 2x ⇐⇒ x − 2t x = −2t ¨ ˙ ¨ ˙ This is a ﬁrstorder linear equation for x with general solution x = Ce−t + 1.52 CHAPTER 6 / DIFFERENTIAL EQUATIONS II: SECONDORDER EQUATIONS 6. this equation has two real solutions. p must ¨ satisfy p + a(s1 − d1 )p = a(d0 − s0 ). This implies x = a(x + y) = ae(a+b)t (a+b)t . In other words. This is obvious from the form of the solutions—if λ ≥ 0. y(0) = 2 . and Peter Hammond 2008 . one positive and one negative. and therefore ˙ ˙ x= 1 2 + at. The equation is not stable for any values of the constants.4 6. p = a[D(p(t)) − S(p(t))] = a(d1 − s1 )p + a(d0 − s0 ). the characteristic roots are r1 = r2 = 0. the equation has complex roots with real part equal to 0. ˙ 2 1 (c) The ﬁrst equation yields y = − 2 x + 2 sin t. Hence x + y = Ce(a+b)t .3 Write the equation as p(t) − λp(t) = k. and y = x − 2tx = 1 − 2t (t + 1) = −2t 2 − 2t + 1. and if λ < 0 the solutions oscillate with a ﬁxed amplitude. Because x(0) = 1. then ae(a+b)t be(a+b)t x= + A. where λ = γ (a − α). we must have C = 1. If λ < 0.4. If λ > 0.2): The characteristic equation is r 2 − λ = 0. Because of ˙ ˙ 1 1 ˙ the initial conditions x(0) = 2 .10 By Leibniz’s rule. From the second equation we then get ˙ 1 1 ¨ − 2 x + 2 cos t = 2x + 1 − cos t ⇐⇒ x + 4x = −2 + 3 cos t ¨ 1 (∗) © Arne Strøm. then the solution is p(t) = A cos −λ t + B sin −λ t − k/λ. 2(a + b) y(t) = 2be(a+b)t + a − b 2(a + b) a 1 a b−a = − = . so C = 0. where r = p(t) = Ae λ. If λ = 0.5.
A straightforward calculation gives x − x = A 2e(1+ 2 )t − √ √ √ √ √ √ B 2e(1− 2 )t and then p = e−2t (x − x) = A 2e( 2−1)t − B 2e(− 2−1)t . It follows that σ = απ − π = (α − r1 )Aer1 t + (α − r2 )Ber2 t . ˙ 6. Then p = −2e−2t (x −x)+e−2t (x − x) = e−2t (x −3x +2x). Inserting this into the second equation. has the general solution x = A cos 2t + B sin 2t. the system is not globally asymptotically −1 1 1 and . If α + 1/β > 2. with corresponding eigenvectors 0 −1 1 1 Aet + Be−t w + Be−t = . and E = 0. Let ˙ ˙ z = x + 5 and w = y − 2 (cf. so the solutions we are looking for are 1 1 x = − 2 cos 2t + cos t − 2 .5. we get ˙ ¨ ˙ ˙ ˙ e−2t (x − 3x + 2x) = 2e−2t x − e−2t (x − x) = e−2t (3x − x) ⇒ x − 2x − x = 0 ¨ ˙ √ √ √ The general solution of the last equation is x = Ae(1+ 2 )t + Be(1− 2 )t .5. Then u∗ = −D cos t − E sin t ∗ + 4u∗ = 4C + 3D cos t + 3E sin t.3 The ﬁrst equation gives p = e−2t (x −x). where 1± 2 are the roots of the √ √ ˙ characteristic equation. and Peter Hammond 2008 . then r1 and r2 are real and different. ¨ ¨ To ﬁnd a particular solution of (∗) we try u∗ = C + D cos t + E sin t. If we insert these expressions for p and p into the second equation. The given equation system is equivalent to the system w = w + 2z ˙ z = −z ˙ with coefﬁcient matrix A = 1 0 ⇐⇒ w ˙ z ˙ =A w z (∗) 2 . Since the trace of A is 0. r 2 − 2r − 1 = 0. y = −y.5. 2). Atle Seierstad. x + 4x = 0.6 6. is (x ∗ . stable.6.2 = 2 (α − 1/β) ± 2 (α + 1/β)2 − 4. ˙ 6.4 From the ﬁrst equation. with roots r1. The According to (6. y ∗ ) = (−5. D = 1. then x does not converge to the equilibrium value as t → ∞.3 (ii) The equilibrium point of the linear system x = x + 2y. The initial conditions x(0) = y(0) = 0 yield B − 2 + 1 = 0 and −A = 0.5. which conﬁrms that the system is not asymptotically stable. It is clear that if A = 0. Knut Sydsæter. The eigenvalues of A are λ1 = 1 and λ2 = −1. The characteristic equation 1 1 is r 2 + (1/β − α)r + (1 − α/β) = 0. the same solution as in (i). and we get y = − 2 x + 2 sin t = ˙ 1 −A cos 2t + B sin 2t + sin t. and the general solution of (∗) is π = Aer1 t + Ber2 t . we get ˙ απ − π = π − ˙ ¨ 1 α π+ π ˙ β β ⇐⇒ π+ ¨ 1 α −α π + 1− ˙ π =0 β β (∗) which is a secondorder differential equation for π with constant coefﬁcients. It follows that C = −1/2.9). Thus and u ¨ 1 1 1 the general solution of (∗) is x = A cos 2t + B sin 2t − 2 + cos t.4). © Arne Strøm. σ = απ − π. 1 y = − 2 sin 2t + sin t ˙ ˙ ˙ ¨ ˙ ¨ ˙ 6. the solution of (∗) is = Aet −Be−t 0 −1 z solution of the given system is therefore x = z − 5 = Aet + Be−t − 5 and y = w + 2 = −Be−t + 2.CHAPTER 6 / DIFFERENTIAL EQUATIONS II: SECONDORDER EQUATIONS 53 The corresponding homogeneous equation. example 6.
which turns out to be u∗ = (2β −αa)/(a 2 −4).6. t0 = 1. We get tr(A) = 2a and A = a 2 − 4. Thus.4. the general solution of the system is x = Ae−3t + Bet + 2. y = 2 (x − ax − α).1 says that the equilibrium point 2 a is globally asymptotically stable if and only if 2a < 0 and a 2 − 4 > 0. The equilibrium point is globally asymptotically stable if and only if e(a−2)t and e(a+2)t both tend to 0 as t → ∞. the solutions with B = 0. It follows that the homogeneous equation associated with (♦) has the general solution xH = Ae(a−2)t + Be(a+2)t . given by A = B = 0. 3) along the line x + y = 5. and z0 = 1.4(a) and (b) in the answer section of the book.7 6.54 CHAPTER 6 / DIFFERENTIAL EQUATIONS II: SECONDORDER EQUATIONS 1 6. An alternative way to check stability is to consider the trace and determinant of the coefﬁcient matrix a 2 A= . 0). Indeed. It is clear that this will converge to the equilibrium point (2. Knut Sydsæter. y ∗ ) is given by the equation system ax ∗ + 2y ∗ + α = 0. The second equation then yields ˙ 1 ¨ 2 (x 1 − a x) = 2x + 2 a(x − ax − α) + β ˙ ˙ ⇐⇒ x − 2a x + (a 2 − 4)x = 2β − αa ¨ ˙ (♦) The characteristic equation is r 2 − 2ar + a 2 − 4 = 0. i. we look for a suitable constant u∗ . (b) The equilibrium point (x ∗ . α = −4. This solution moves towards (2. (b) The ﬁrst equation has the general solution x = Ae−t . One such solution is then x = e−3t + 2. y = −Ae−3t + Bet + 3. and β = −1. which has the roots r1. away from (0. the general solution of equation (♦) itself is xH + u∗ . if and only if a < −2.7. which is a Bernoulli equation. and Peter Hammond 2008 . With z = y 1−2 = y −1 = 1/y we get y = 1/z. so −e−s ≥ −1 and e−e ≥ e−1 . b(t) = 1.7. the equations show that any solution through a point on the yaxis below the origin will move straight downwards. i. y = −˙ /z2 . namely (0. we get − and z = ee −t −1 a(ξ ) dξ = e−t − e−s + 0 t ee −t −e−s ds = ee −t e−e −t e−1 + 0 t e−e ds −s y= e−1 + t 0 e−e−s ds −s For all s ≥ 0 we have e−s ≤ 1.4 (a) See Figs. and so do all the convergent solutions. Of course. 6. and this happens if and only if both a − 2 and a + 2 are negative. Atle Seierstad. 1 ˙ Then the equation y = 2 (x − ax − α) yields y = −Ae(a−2)t + Be(a+2)t + (2α − aβ)/(a 2 − 4). It follows that for t > 0 we have −t t −e−s ds ≥ e−1 t. The system has a single equilibrium point. 0 e © Arne Strøm.7) with a(t) = e−t . and the initial condition x(0) = −1 implies ˙ A = −1. The second equation is the system the becomes y = e−t y − y 2 . where u∗ is any particular solution of (♦). 3) if and only if B = 0. 2x ∗ + ay ∗ + β = 0 Easy calculations show that x ∗ = (2β − αa)/(a 2 − 4) and y ∗ = (2α − aβ)/(a 2 − 4). the general solution of (♦) is x = Ae(a−2)t + Be(a+2)t + (2β − αa)/(a 2 − 4). and Theorem 6.4 (a) From the ﬁrst equation. which is equivalent to a < −2. 0). Hence.e. Since the righthand side of the equation is a constant. so x = −e−t . (c) With a = −1. y = −e−3t + 3.e.2 = a ± 2. It seems clear from the phase diagram that this is not a stable equilibrium. e−e ≤ e0 = 1 and y(t) ≤ 1/(e−1 + te−1 ) → 0 as t∞. this is just the stationary solution of the system in part (a). and ˙ z −˙ /z2 = e−t (1/z) − 1/z2 z ⇒ z + e−t z = 1 ˙ t s If we use formula (5.6. A6.
It is a saddle point because the Jacobian at (4/3. . the point 6. The initial condition x(0) = 1 then implies ˙ x(t) = e−t . with γ1 b = s and γ2 = −δ.2 is α(IY − SY ) α(IK − SK ) fY fK . K) = I (Y. K) − S(Y. K) and g(Y.4. © Arne Strøm. Finally. K) = IY gY gK IK and A(Y.6 The equation x = −x has the general solution x = Ae−t . c∗ ) = f (k ∗ ) − δ cf (k ∗ ) −1 0 = r cf (k ∗ ) −1 0 has determinant A(k ∗ . The second equation becomes y = −e−2t y. e−1/2 ). The general solution is therefore K(t) = Ce−δ(1−α)t + s/δ . c∗ ) is a saddle point. Now. 6.9. K) = α I (Y. This is a separable equation and we get ˙ dy =− y e−2t dt ⇒ ln y = 1 −2t e +C 2 −2t −1)/2 1 The initial condition y(0) = 1 yields C = − 2 .5 Let f (Y. This corresponds to the equation in Problem 1/(1−α) 5. The matrix A in Theorem 6.CHAPTER 6 / DIFFERENTIAL EQUATIONS II: SECONDORDER EQUATIONS 55 6. so an equilibrium point for the system must be globally asymptotically stable according to Olech’s theorem. c) = −c(r + δ − f (k)) ˙ The origin (k. The Jacobian matrix at (k.6 See the answer in the book for the stability question. 8/3) is y−x−2 x −2/3 4/3 A= = .9 6.8.8 6. Knut Sydsæter. the solution K(t) = 1/(1−α) 1−α tends to (s/δ)1/(1−α) = K ∗ as t → ∞.9.2 Write the system as ˙ k = F (k.6. c) = (0. c∗ ) with c∗ > 0 we have c∗ = f (k ∗ ) − δk ∗ and f (k ∗ ) = r + δ. and we get y(t) = e(e (x(t). c∗ ) = cf (k ∗ ) < 0. A6. At an equilibrium point (k ∗ . Since δ(1 − α) > 0. y0 ) = (4/3. and Peter Hammond 2008 . Atle Seierstad. y 2 /2x 2 1 − y/x 2 −1 (b) See Fig. tr A(Y. fY gK = α(IK − SK )IY < 0 everywhere. so (k ∗ .3 in the answer section of the book. K).8. c) = Fk Gk Fc Gc = f (k) − δ cf (k) −1 f (k) − r − δ c = G(k. Then A(k ∗ .8. y(t)) tends to (0. 1−α The initial condition K(0) = K0 yields C = K0 − s/δ. ˙ K must satisfy the Bernoulli equation K = sK α − δK. c) = f (k) − δk − c. but not the one the authors had in mind. 0) is an equilibrium point.3 (a) (x0 . 6.7. As t → ∞. K) = α(IY − SY ) + IK < 0 = A(Y. (K0 − s/δ)e−δ(1−α)t + s/δ 6.9. with determinant A = −2. c) is A(k. K) = α(IY − SY )IK − α(IK − SK )IY = α(IY SK − IK SY ) > 0 by the assumptions in the problem. 8/3).
¨ © Arne Strøm.2. u∗ = (2F −2E+(E−4F )t +F t 2 )e−t . so the only possibilities are ±1. To ﬁnd the solution of the equation x +x = 1/t we use the method of variation of parameters. 7 Differential Equations III: HigherOrder Equations 7. 7. which has the solutions x = (−1 ± 10)/4. See Fig. u ∗ = (3E−6F +(6F −E)t −F t 2 )e−t . so r 3 −r 2 −r +1 = (r −1)(r 2 −1) = (r −1)2 (r +1). These conclusions are conﬁrmed by the solution to part (b). 3/2) is locally asymptotically stable. Since x = y 2 must be nonnegative. ˙ ˙ Let x = C1 (t) sin t + C2 (t) cos t.4 (a) The equilibrium points are the solutions of the equation system (i) y 2 − x = 0. A bit of tedious algebra gives u∗ = . (ii) 25/4 − y 2 − (x − 1/4)2 = 0 Substituting x for y 2 in (ii) leads to the quadratic equation x 2 + x/2 − 99/16 = 0. y) is A(x. It follows that (9/4.. and we see that both r = −1 and r = 1 are roots. A6. But that does not work because r = −1 is a root in the characteristic equation. Moreover.. −2y −4 −3 −1 −3 . it might seem natural to try u∗ = (D + Et)e−t as a particular solution.1. so A(9/4.2). We must therefore increase the degree of the polynomial factor and try ˙ with a quadratic polynomial instead.4 in the answer section of the book.1. −3/2) = A2 = −4 3 tr(A1 ) = −4. The determinants and traces of these matrices are A1  = 15. 3/2) = A1 = and −2x + 1/2.3 The homogeneous equation x + x = 0 has the two linearly independent solutions u1 = sin t and ¨ ¨ u2 = cos t. t It follows that u∗ (t) = sin t sin t ˙ C2 (t) = − t cos t cos t dt − cos t dt is the general solution of the given equation t t (provided we include an arbitrary constant of integration in each of the two integrals).9. and Peter Hammond 2008 .7.9. Looking at the righthand side of the given nonhomogeneous equation. and the determinant of the system is sin t cos t = − sin2 t − cos2 t = −1. −3/2) is a saddle point. y) = .) Cramer’s rule gives cos t − sin t cos t ˙ C1 (t) = . A(9/4. The two equations to determine C1 (t) and C2 (t) are ˙ ˙ C1 (t) sin t + C2 (t) cos t = 0 ˙ ˙ C1 (t) cos t − C2 (t) sin t = 1/t ˙ ˙ This is a linear equation system in the unknowns C1 (t) and C2 (t). (r 3 −r 2 −r +1)÷(r −1) = (r 2 −1).1 7. According to the general method for ﬁnding linearly independent solutions to linear homogeneous equations with constant coefﬁcients. (See Section B. whereas (9/4. A2  = −15.2 7. Let u∗ = (Et + F t 2 )e−t . (E+(2F −E)t −F t 2 )e−t . and tr(A2 ) = 2. the general solution of the associated homogeneous equation is xH = (A + Bt)et + Ce−t . −1 2y −1 3 The Jacobian at (x. Atle Seierstad. we get x = 9/4 and y = ±3/2. Knut Sydsæter.2 Integer roots of the characteristic equation r 3 −r 2 −r +1 = 0 must divide the constant term 1 (EMEA.56 7 DIFFERENTIAL EQUATIONS III: HIGHERORDER EQUATIONS 6. Note 4.
so the general solution of the given equation is x = xH + u∗ = (A + Bt)et + (C + 2t + t 2 )e−t .. This equals 8te−t if F = 1 and E = 2. ¨ K = (γ1 κ + γ2 )K + (γ1 σ + γ3 )μ0 μeμt 0 t ˙ ˙ ¨ From the given equation. ¨ ˙ 7. ¨ ˙ yields the equation K − p K + q K = 0 given in the answer in the book. From (d) 1 we ﬁnd x3 = 2 (x1 + x1 − 2x1 ) = −C1 e−t + 2C3 e2t . Inserting this into (∗) .. Why did we not include a term of the form De−t in the tentative solution u∗ ? The answer is that De−t . where A = x3 1 1 1 −1 − λ 1 1 A are the solutions of the equation = 0. B = 1. Differentiating ˙ ˙ ˙ (a) w.. t and inserting from (b) and (c) gives (d) x1 + x1 − 2x1 = 2x3 .4 7..3. is a solution of the homogeneous equation for every value of D. (c) x3 = x1 +x2 +x3 .3.t.) The eigenvectors associated with the eigenvalues are determined by the three systems x2 + x3 = 0 x1 + x3 = 0 . 7.3 Differentiating the equation w. (These are the same as the solutions of the characteristic equation of the differential equation (e). C = 1... Requiring this solution to satisfy the initial conditions gives A = −1.. ¨ ˙ . t gives (using the product rule and (4. Since the characteristic ¨ ˙ polynomial is (r + 1)(r + 2)(r − 2).2 The roots of the characteristic equation r 3 + 4r 2 + 5r + 2 = 0 are r1 = r2 = −1 and r3 = −2. and we ﬁnd them to be λ1 = −1.1. t ˙ ˙ e−μτ K(τ )dτ + (γ1 σ + γ3 )μ0 eμt e−μt K(t) (∗) 7.7 DIFFERENTIAL EQUATIONS III: HIGHERORDER EQUATIONS 57 ..t. nonzero. so global asymptotic stability also follows from Theorem 7..4. The eigenvalues of ˙ (ii) We write the system as x = Ax. If these conditions are satisﬁed.6. and Peter Hammond 2008 .1 (i) The system is: (a) x1 = −x1 +x2 +x3 .. 1 −1 − λ 1 1 1 1−λ λ2 = −2. x1 + x2 + 2x3 = 0 x1 + x2 + x3 = 0 x 1 + x 2 + x3 = 0 .1.5)) . (γ1 σ + γ3 )μ0 eμt 0 e−μτ K(τ )dτ = K − (γ1 κ + γ2 )K.3 7. ¨ ˙ ˙ ˙ t and inserting from (c) gives x 1 + x1 − 2x1 = 2x3 = 2x1 + 2(x2 + x3 ) = 2x1 + 2(x1 + x1 ). (a) again. We then ﬁnd x2 from (a): x2 = x1 + x1 − x3 = ¨ ˙ ˙ −t − C e−2t + C e2t . (b) x2 = x1 −x2 +x3 .r. and so x = (t − 1)et + (t + 1)2 e−t . x1 + x2 + 3x3 = 0 −3x1 + x2 + x3 = 0 x1 − 3x2 + x3 = 0 x 1 + x2 − x 3 = 0 © Arne Strøm. and different if p 2 − 4q > 0 and q = 0. See the remark above Theorem 6. so D would not appear in u ∗ − u∗ − u∗ +u∗ ..r. ¨ ˙ and ﬁnally u ∗ − u∗ − u∗ + u∗ = (4E − 8F + 8F t)e−t .. C1 e 2 3 ⎛ ⎞ ⎛ ⎞ −1 1 1 x1 ⎝ 1 −1 1 ⎠ and x = ⎝ x2 ⎠. which are all negative. it follows from the theory in this section that the general solution of the differential equation is of the form K(t) = C1 er1 t + C2 er2 t + C3 er3 t .1 concerning secondorder systems. Differentiating once more w. the general solution is x1 = C1 e−t + C2 e−2t + C3 e2t . This is no coincidence. One root of the characteristic 3 − pr 2 + qr = 0 is r = 0. The other two are the roots r and r of r 2 − pr + q = 0. Knut Sydsæter. using .t. Atle Seierstad.2.r. Thus the differential equation for x1 is (e) x 1 + x1 − 4x1 − 4x1 = 0. equation r 3 1 2 and they are real. and λ3 = 2.
0) = ⎝ −t 3e 1 −t 3e 1 + 2 e−2t + 1 e2t 6 1 − 2 e−2t + 1 e2t 6 1 −t 3e 1 −t 3e 1 − 2 e−2t + 1 e2t 6 1 + 2 e−2t + 1 e2t 6 1 − 1 e−t + 3 e2t 3 1 −t 3e ⎞ ⎟ 1 − 1 e−t + 3 e2t ⎠ 3 + 2 e2t 3 − 1 e−t + 1 e2t 3 3 − 1 e−t + 1 e2t 3 3 The ith column of P(t. Knut Sydsæter. f1 (x) g2 (y) the function H (x. (iii) The resolvent. In particular. 7. is ⎛1 ⎜ P(t. −1 ⎛ ⎞ 1 v2 = ⎝ −1 ⎠ . It is not hard to verify that AP(t. x3 (t)) of particular solutions of the system such that (x1 (0). y) = k − ay h k bx − h dx − dy = b− dx − − a dy = x y x y bx − h ln x − (k ln y − ay) + C = b(x − x0 ln x) + a(y − y0 ln y) + C. Therefore. so f2 (y) g1 (x) dx = dy + C for some constant C. 0) = (d/dt)P(t.5 7. x2 (0).5. y0 ) with x0 = 0 and y0 = 0 is an equilibrium point if and only if bx0 − δy0 = h εx0 + ay0 = k (∗) The determinant of this system is ab + δε = 0. ˙ y = y(−h + bx − δy) ˙ It is clear that a point (x0 . 0). as given in the problem. y0 = (bk − hε)/(ab + δε).58 7 DIFFERENTIAL EQUATIONS III: HIGHERORDER EQUATIONS The following vectors are solutions of these systems: ⎞ 1 v1 = ⎝ 1 ⎠ . 0 ⎛ ⎛ ⎞ 1 v3 = ⎝ 1 ⎠ 2 The solution of the given system of differential equations is then ⎛ ⎞ ⎛ ⎞ ⎛ ⎞ ⎛ ⎞ x1 1 1 1 ⎝ x2 ⎠ = C1 e−t ⎝ 1 ⎠ + C2 e−2t ⎝ −1 ⎠ + C3 e2t ⎝ 1 ⎠ x3 −1 0 2 We see that we have arrived at the same solutions as above. P(0.5. and Peter Hammond 2008 . 0) = I3 . y) is constant along each solution curve for the system. 0) is a vector (x1 (t). where x0 = h/b and y0 = k/a. with t0 = 0. x3 (0)) is the ith standard unit vector ei . Atle Seierstad. We claim that the function L(x. x2 (t). y) = b(x − x0 ln x) + a(y − y0 ln y) − b(x0 − x0 ln x0 ) + a(y0 − y0 ln y0 ) © Arne Strøm. so it has a unique solution. 7. and Cramer’s rule gives the solution as x0 = (ah + kδ)/(ab + δε).5 We can write the system as x = x(k − ay − εx). (b) H (x.4 (a) Equation (∗) is separable.
y) = a(1 − y0 /y) are both 0 at (x0 . and Lxy = 0. Solving this equation for the ﬁrst variable yields z = x + ϕ(xy). y) = x + ϕ(xy) = x − xy + x 2 y 2 . It looks as if x has a special role here. f (x)−ln v1 ) = 0. z = 4 x 4 + 2 x 2 y 2 − ex y + ϕ(y). and we see that x = f −1 (ln(g(v1 .7. We have proved that L is a strong Liapunov function for the system. and hence z = 1 − xϕ(1/x − 1/y) differentiable function. ˙ ˙ ˙ L = b 1 − x0 /x x + a 1 − y0 /y y = b(k − ay − εx)(x − x0 ) + a(−h + bx − δy)(y − y0 ) = b(εx0 + ay0 − ay − εx)(x − x0 ) + a(δy0 − bx0 + bx − δy)(y − y0 ) = −εb(x − x0 )2 − aδ(y − y0 )2 which is negative for (x. It follows that x = F (g(v1 .2) leads to the solution z = 3x + ϕ(y − 2x). The solutions are −1/y = −1/x + C1 . Actually. but that is an illusion. and Peter Hammond 2008 . The functions ϕ and ψ are related by the equation ψ(u) = ϕ(−2u) + 3u. 7. with (x0 . First note that L(x0 . where y seems to be singled out.7. The general solution is (v2 /v1 . Moreover. or 1/z = 1/x − ϕ(1/x − 1/y). f (x) − ln v1 = C2 . The general solution of (∗) is given by (z − x. y0 ) = 0. y) = b(1 − x0 /x) and Ly (x. Since f (x) = 1/xε(x) > 0. −1/z = −1/x + C2 . and hence f (x.3) are dy/dx = −y/x and dz/dx = 1. The composition F of the two increasing functions f −1 and ln is increasing.7. v2 )). so (x0 .1 (a) By integration. y0 ) and Lxx = bx0 /x 2 > 0. The latter equation gives z = x +C1 . 1) = x 2 implies that x + ϕ(x) = x 2 .7 1 1 7. If we use the recipe with y instead of x as the independent variable in equations (7. where ϕ(y) is an arbitrary function and plays the role of a constant of integration when we integrate with respect to x. where ϕ is an arbitrary differentiable function. dy/dx = y 2 /x 2 and dz/dx = z2 /x 2 . The general solution is therefore (1/x − 1/y.3 (a) The equations in (7. where ϕ is an arbitrary differentiable function. v2 )) is homothetic.3) are dv2 /dv1 = v2 /v1 and dx/dv1 = xε(x)/v1 . Deﬁne g(v1 .7. we are led to z = 3y/2 + ψ(x − y/2). where f (x) = (1/xε(x)) dx. Hence.7 DIFFERENTIAL EQUATIONS III: HIGHERORDER EQUATIONS 59 is a strong Liapunov function for the system.3) are both separable. (c) The equations in (7. y0 ). y0 ).7. Thus ϕ(x) = −x + x 2 for all x. and has an inverse f −1 that is also strictly increasing. (b) The condition f (x. Lyy = ay0 /y 2 > 0. y0 ) is locally asymptotically stable. xy) = 0.7 The equations in (7.7. 7. © Arne Strøm. f is strictly increasing.7. y0 ) as its minimum point. y) is strictly convex and has a unique minimum at (x0 . Then g is homogeneous of degree 1. y) = (x0 . 1/x − 1/z) x .3). The ﬁrst equation is separable with solution xy = C2 . Finally. Lx (x. Knut Sydsæter. 7. or f (x) = ln v1 + ϕ(v2 /v1 ). and so z − x = C1 . with the solutions v2 /v1 = C1 .7. (b) The recipe for solving equations of the form (7. where ϕ is an arbitrary = 0. these solutions are just two ways of writing the same thing. so L(x. Atle Seierstad. v2 ) = eln v1 +ϕ(v2 /v1 ) = v1 eϕ(v2 /v1 ) . We used the equations k = εx0 + ay0 and h = −δy0 + bx0 from (∗). x = f −1 (ln v1 + ϕ(v2 /v1 )).
x) = x 2 + x 2 + 2xet we get Fx = 2x + 2et and Fx = 2x. The Euler equation is ˙ ˙ ˙ aex−ax + d x−ax ˙ ˙ e˙ = 0 ⇐⇒ aex−ax + ex−ax (x − a x) = 0 ⇐⇒ x − a x + a = 0 ¨ ˙ ¨ ˙ dt ˙ ˙ (c) Here F (t. and since Fxx Fx x − (Fx x )2 = 4 − 4t 2 ≥ 0 for ˙ ˙˙ ˙˙ ˙ all t in [0. x) is convex with respect to (x. ˙ ˙ 1 2 1 1 2 t x = 2 t + C. and Peter Hammond 2008 x ˙ √ 1 + x2 ˙ = 0. 1].2. and the boundary conditions x(0) = 1 and x(1) = 2 yield ¨ A = B = 1. x) as long as t ∈ [0.2. x.e. Fx x = 2t. x.1. Hence. x. it follows that F (t. by ˙ ˙ Theorem 8. Knut Sydsæter. Atle Seierstad. We have Fxx = 2 > 0.4 With F (t. The Euler equation. Then Fx = 0 and Fx = √ ˙ ˙ 2 dt ˙ 1+x ˙ therefore reduces to d dt This implies © Arne Strøm. x) = x 2 + 2tx x + x 2 we get Fx = 2x + 2t x and Fx = 2tx + 2x. √ x ˙ 1 + x2 ˙ =C (constant) .2.2. √ x ˙ d ˙ . x. and the Euler equation ˙ ˙ ˙ ˙ becomes 2t + 3x − ˙ d (3x + 2t x) = 0 ⇐⇒ 2t + 3x − 3x − 2x − 2t x = 0 ⇐⇒ t x + x = t ˙ ˙ ˙ ˙ ¨ ¨ ˙ dt It is worth noting that this is an exact equation for x because it says that (d/dt)(t x) = t. Thus the only admissible function that satisﬁes the Euler equation is x = t + 1.2) is 2x + 2t x − ˙ d (2tx + 2x) = 0 ⇐⇒ 2x + 2t x − (2x + 2t x + 2x) = 0 ⇐⇒ x = 0 ˙ ˙ ˙ ¨ ¨ dt The general solution of x = 0 is x = At + B.6 Let F (t. where C and A are constants. x) = [(x − x)2 + x 2 ]e−at . x. Hence. ˙ ˙ ˙ ˙ ˙ ˙ 8. x) = −ex−ax we get Fx = aex−ax and Fx = −ex−ax . and Fx x = 2 > 0.2 8. so Fx = [2(x − x) + 2x]e−at and Fx = −2(x − x)e−at . and so x = 4 t + C ln t + A.60 8 CALCULUS OF VARIATIONS 8 Calculus of Variations 8. The ˙ ˙ ˙ Euler equation becomes [2(x − x) + 2x]e−at + ˙ d [2(x − x)e−at ] = 0 ˙ dt ˙ ¨ ˙ ⇐⇒ [2(x − x) + 2x]e−at + 2(x − x)e−at − 2a(x − x)e−at = 0 ˙ ⇐⇒ 2(x − x) + 2x + 2(x − x) − 2a(x − x) = 0 ˙ ˙ ¨ ˙ ⇐⇒ x − a x + (a − 2)x = 0 ¨ ˙ ˙ ˙ (d) With F (t. 1]. and the Euler equation ˙ ˙ ˙ ˙ becomes d ˙ 2x + 2et − (2x) = 0 ⇐⇒ 2x + 2et − 2x = 0 ⇐⇒ x − x = et ¨ ¨ dt ˙ ˙ ˙ (b) With F (t. i. x. so the Euler equation ˙ ˙ (8. x) = 1 + x 2 . x. x) = 2tx + 3x x + t x 2 we get Fx = 2t + 3x and Fx = 3x + 2t x. 8.3. x = t + 1 is the optimal solution of the problem. Fx − Fx = 0.3 (a) With F (t. which implies x = 2 t + C/t.
so U (c − xert )ert = K (a constant) ¯ ˙ ¯ ˙ dt d (Evaluating the derivative ¯ ˙ −U (c − xert )ert above leads to the equation dt −U (c − xert )(−xert − r xert )ert − rU (c − xert )ert = 0 ¨ ˙ ¯ ˙ ¯ ˙ This can be simpliﬁed to x + rx = ¨ ˙ which will most likely be harder to solve. this is precisely what we would expect: the shortest curve between two points is the straight line segment between them. and we get exp(−v c + v xert ) = Ke−rt ¯ ˙ −v c + v xert = ln K − rt ¯ ˙ xert = C − rt/v ˙ x = (C − rt/v)e ˙ © Arne Strøm. then U (c) = e−vc . Thus the graph of x is a straight line. x is a linear function of t: ˙ x = C1 t + C2 . and Peter Hammond 2008 (C = c + (ln K)/v) ¯ −rt .3. Atle Seierstad.8 CALCULUS OF VARIATIONS 61 x2 ˙ = C2. x0 ) and (t1 . so F is convex with respect to (x.1 in ˙˙ Section 8. x) = U (c − xert ). x). 8. ∂x ˙ If U (c) = −e−vc /v. at least among the admissible C 2 functions. the Euler equation reduces to d −U (c − xert )ert = 0. namely the straight line through the points (t0 . and ˙ ¯ ˙ ∂F = 0. The function x is given by the equation x(t) = x0 + x1 − x 0 (t − t0 ) t1 − t0 ˙ ˙ Note also that Fx x = 1/(1 + x 2 )3/2 > 0. Knut Sydsæter.3 shows that the function we have found really does give the minimum. x1 ). ∂x As ∂F /∂x = 0.3 8. and Theorem 8. 1 + x2 ˙ so x = C1 ˙ C (= √ ) 1 − C2 Since x is a constant.) (b) It follows from part (a) that ¯ ˙ U (c − xert ) = Ke−rt rU (c − xert ) −rt ¯ ˙ e ¯ ˙ U (c − xert ) ∂F ¯ ˙ = −U (c − xert )ert .3. x. Of course.2 (a) The objective function is F (t.
4 ˙ ˙ ˙ ˙ 8.3. so the corresponding homogeneous differential equation has the general solution yH = Aet/σ + Btet/σ . We get u∗ − ¨ 2 ∗ 1 2α αt 1 (1 − ασ )2 αt u + 2 u∗ = α 2 Ceαt − ˙ Ce + 2 Ceαt = C e σ σ σ σ σ2 It follows that u∗ is a solution of (∗) if and only if C = zl0 /(1 − ασ ). and the general solution of (∗) is ¯ y = yH + u∗ = Aet/σ + Btet/σ + z l0 ¯ eαt 1 − ασ (If ασ = 1. Atle Seierstad. A + (B + T /v)e−rT = x(T ) = 0 U is concave because U (c) = −ve−vc < 0. Hence. K. To ﬁnd a particular integral of (∗) we try with a function u∗ = Ceαt .1 shows that the solution we have found is optimal. and Peter Hammond 2008 . ˙ ˙ z ˙ z ˙ z ˙ The Euler equation is then 1 d −σ 1 σ (y − σ y − zl(t)) ˙ ¨ ¯˙ − = 0 ⇐⇒ − =0 y − σ y − zl(t) dt y − σ y − zl(t) ˙ ¯ ˙ ¯ y − σ y − zl(t) ˙ ¯ [y − σ y − zl(t)]2 ˙ ¯ 1 2 z ¯ ˙ ⇐⇒ y − σ y − zl(t) − σ y + σ 2 y + σ zl(t) = 0 ⇐⇒ y − y + 2 y = 2 l(t) − σ l(t) ˙ ¯ ˙ ˙ ¨ ¯˙ ¨ σ σ σ (b) With l(t) = l0 eαt the Euler equation becomes y− ¨ 2 1 z(1 − ασ )l0 αt ¯ y + 2y = ˙ e σ σ σ2 (∗) The characteristic equation r 2 − (2/σ )r + 1/σ 2 = 0 has the double root r1 = r2 = 1/σ . the constants A and B are determined by the equations A + B = x(0) = x0 .4.1 With F (t. y. Theorem 8.3. 8.) 8.62 8 CALCULUS OF VARIATIONS Integration by parts yields x = x(t) = (C − rt/v)e−rt dt = A + (B + t/v)e−rt where B = (1 − vC)/rv. Knut Sydsæter. Finally. K) = e−t/4 ln(2K − K) we get FK = 2e−t/4 /(2K − K) and FK = −e−t/4 /(2K − K). ˙ The Euler equation is e−t/4 ˙ ¨ d 2e−t/4 e−t/4 e−t/4 (2K − K) 2 1 − = 0 ⇐⇒ − − −e−t/4 =0 ˙ ˙ ˙ ˙ ˙ dt 2K − K 2K − K 2K − K 4(2K − K) (2K − K)2 e−t/4 ˙ ˙ ˙ ¨ 8(2K − K) − (2K − K) − 4(2K − K) = 0 ⇐⇒ ˙ 4(2K − K)2 ¨ ˙ ⇐⇒ 4K − 15K + 14K = 0 © Arne Strøm. y) = ln y−σ y−¯ l(t) we get Fy = 1/[y−σ y−¯ l(t)] and Fy = −σ/[y−σ y−¯ l(t)]. then (∗) is homogeneous and the general solution is yH .4 (a) With F (t.
Knut Sydsæter. Hence the general solution of the Euler equation is K = Ae2t + Be7t/4 . Then u = 2P t + Q and u = 2P . x. which has the roots r1 = 2 and r2 = 7/4.4. The ˙ Euler equation is UC (fK − δ) + d ˙ U = 0 ⇐⇒ UC (fK − δ) + UCC C + UCt = 0 dt C © Arne Strøm. and ˙ ¨ if we insert this into (∗) we get Q 1 P =− t 2P − t − 5 10 200 This yields P = 5/200 = 1/40 and Q = 20P = 1/2.2 (a) Let F (t. x) is concave with respect to (x. Then Fx = te−t/10 /100 and Fx = −2xe−t/10 . and Peter Hammond 2008 . t) we get FK = UC CK = UC (fk − δ) and FK = UC · (−1) = −UC . The boundary conditions yield the equations K(0) = A + B = K0 . and the ˙ ˙ ˙ d 2 t −t/10 t −t/10 −2xe−t/10 = 0 ⇐⇒ ˙ e xe−t/10 = 0 ˙ − + 2xe−t/10 − ¨ e dt 100 10 100 1 1 ⇐⇒ x − ¨ x=− ˙ t 10 200 The general solution of the corresponding homogeneous equation is xH = A + Bet/10 (∗) To ﬁnd a particular solution u∗ of (∗) we try with u = P t 2 + Qt. e2T − e7T /4 B= e2T K0 − KT e2T − e7T /4 − x 2 e−t/10 .4.8 CALCULUS OF VARIATIONS 63 The characteristic equation of the Euler equation is 4r 2 − 15r + 14 = 0. so the general solution of the Euler equation is x = A + Bet/10 + 1 2 1 t + t 40 2 The boundary conditions x(0) = 0 and x(T ) = S yield the equations A + B = 0. x). x) = ˙ Euler equation becomes 1 100 tx KT − e7T /4 K0 . ˙ ˙ (b) With T = 10 and S = 20 we get B = −5/2 + 5 − 20/(e − 1) = 25/2(e − 1). K) = U (C. K(T ) = Ae2T + Be7T /4 = KT By means of Cramer’s rule or by other methods you will ﬁnd that A= 8. Atle Seierstad. K. this is indeed an optimal solution. with the solution A = −B = A + BeT /10 + T 2 /40 + T /2 = S T 2 /40 + T /2 − S eT /10 − 1 Since F (t. and the optimal solution is 1 2 1 25(et/10 − 1) + t + t x= 2(e − 1) 40 2 ˙ 8.3 With F (t. x.
8. The integrand F (t. Atle Seierstad. so the Euler equation is ˙ ˙ Fp − d d (Fp ) = 0 ⇐⇒ D + p − b (D) Dp − [p − b (D)]Dp = 0 ˙ ˙ dt dt ˙ ˙ (b) With b(x) = αx 2 +βx +γ and x = D(p. Insertion into the Euler equation gives ˙ Ap + B p + C + [p − 2α(Ap + B p + C) − β]A − ˙ ˙ d dt p − 2α(Ap + B p + C) − β B = 0 ˙ ˙ ˙ ˙ ¨ which yields Ap + B p + C + Ap − 2αA2 p − 2αAB p − 2αAC − βA − B p + 2αAB p + 2αB 2 p = 0. and Peter Hammond 2008 .5 8. we get b (x) = 2αx +β. ˇ 8. x) = (10 − x 2 − 2x x − 5x 2 )e−t ˙ ˙ ˙ 2 − 2x x − 5x 2 = −(x − x)2 − 4x 2 ). and therefore ˙ U + UC (fK − δ) 1 UCt C = − Ct =− + fK − δ C CUCC ω UC ˇ where ω = CUCC /UC is the elasticity of marginal utility with respect to consumption.1). x) (look at the Hessian or note that −x ˙ ˙ ˙ ˙ so the solution we have found is optimal (Theorem 8. p) − b(D(p. p) = Ap +B p +C.4 (a) F (t.4.5. we get the transversality condition Fx ˙ t=1 = 0.5. p) = pD(p. and the boundary conditions yield the equations x(0) = A + B = 0. is concave with respect to (x. (b) (i) With x(1) free. Knut Sydsæter. p)) yields Fp = D + pDp − b (D)Dp = D + [p − b (D)]Dp ˙ ˙ ˙ and Fp = [p − b (D)]Dp . ˙ Rearranging the terms we can write the Euler equation as p− ¨ βA + 2αAC − C A2 − A/α p= 2 B 2αB 2 and it is easy to see that we get the answer given in the book. and ∂D/∂ p = B. ∂D/∂p = A. x. so the optimal solution is x ≡ 0. this yields A = B = 0. © Arne Strøm.2 (a) The Euler equation is (−2x − 10x)e−t − ˙ d [(−2x − 2x)e−t ] = 0 ⇐⇒ e−t (−2x − 10x + 2x + 2x − 2x − 2x) = 0 ˙ ˙ ¨ ˙ ˙ dt ⇐⇒ x + x − 6x = 0 ¨ ˙ The general solution of this equation is x = Ae3t +Be−2t . p. x(1) = Ae3 + Be−2 = 1 which have the solution A = −B = 1/(e3 − e−2 ). which implies x(1) + x(1) = 0 ⇐⇒ 3Ae3 − 2Be−2 + Ae3 + Be−2 = 0 ⇐⇒ 4Ae3 − Be−2 = 0 ˙ Together with the equation A + B = x(0) = 0.64 8 CALCULUS OF VARIATIONS ˙ The Euler equation implies C = −[UCt + UC (fK − δ)]/UCC .
5. so according to Theorem 9.9 CONTROL THEORY: BASIC TECHNIQUES 65 =0 (ii) With the terminal condition x(1) ≥ 2 the transversality condition is Fx ˙ if x(1) > 2.2. for then we must have A = 0.2. x ∗ (t). We must have 5A ≥ 1500.5. u) = g(u) it ˙ ˙ ˙ means that g (x) must be constant. where K is a constant. and the solution is z = P ert − (ρ − r)/br. x ∗ (t) = −u∗ (t) = 2 t − 2 . x must also be a constant. u∗ (t). the following conditions are sufﬁcient for optimality: (i) Hu (t. ˙ Since x(t) = Ae3t − Ae−2t . and Peter Hammond 2008 .5 (a) The conditions are −(d/dt)[Cx (t. (ii) p(t) = −Hx (t.7). u. ˙ ˙ 8. u. u∗ (t). we get z − rz = (ρ − r)/b. x 4 2 9. x) = K must be constant. These constants are determined by the boundary conditions A(0) = A0 and A(T ) = At . p(t)) = 1. u). With x ∗ (0) = 0. p(10) = 0. In our case this reduces to −x(1) − x(1) ≤ 0. It ˙ ˙ ˙ follows that Cx (t. With C(t. x)e−rt ] = 0 and Cx (5. and p(1) = 0 gives A = −1 and so p(t) = t − 1. ˙ From (ii). This is a linear ˙ ﬁrstorder differential equation with constant coefﬁcients. p(t)) = 4.1 (using (9. From (i) 1 1 1 1 ˙ we have u∗ (t) = − 2 p(t) = 2 (1−t). x ∗ (0) = 0. 1 1 1 and so x ∗ (t) = 4 t 2 − 2 t + B. p) = −x − u2 − pu is concave in (x. The Hamiltonian H (t. with p(t) = t − 1. u∗ (t). From (iii).2. so x = At.7)): (i) Hu (t. x) = g (x) = g (A) > 0. Then A = z dt = Kert − (ρ − r)t/br + L.2 1 9. Atle Seierstad. x) = Ke−rt .3 We transform the problem to a maximization problem by maximizing 0 [−x(t) − u(t)2 ] dt. we get −A(4e3 + e−2 ) ≤ 0. Since Cx (t. Therefore A(e3 − e−2 ) = 2 and x = e3 − e−2 8. Putting z = A. x(5)) ≥ 0 (= 0 if x(5) > 1500). and t=1 ≤ 0.2. It remains to determine x ∗ (t).2. p(t)) = −2u∗ (t) − p(t) = 0.5. with Fx ˙ t=1 and −x(1) − x(1) = 0 if x(1) > 2 ˙ −A(4e3 + e−2 ) = 0 if x(1) = A(e3 − e−2 ) > 2 From the last condition it is clear that we cannot have A(e3 − e−2 ) > 2. x ∗ (t).1. and that is impossible. ˙ © Arne Strøm. ∗ (t) = 1 t 2 − 1 t. 2(e3t − e−2 ) . p(t)) = −4u∗ (t) + p(t) = 0. u∗ (t).3 reduces to A − r A = (ρ − r)/b. p) = 1−4x−2u2 +pu is concave in (x. So the optimal solution is u∗ (t) = 2 (1 − t). p(1) = 0. (ii) p(t) = −Hx (t. we get U (C) = be−bC and U (C) = −b2 e−bC . Thus planting will take place at the constant rate of 300 hectares per year. 9 Control Theory: Basic Techniques 9. the following conditions are sufﬁcient for optimality (using (9. ˙ (iii) x ∗ (t) = −u∗ (t). Knut Sydsæter. where K = P /r and L are constants. x ∗ (t).2. x. so A = 300 and x = 300t. x. ˙ (iii) x ∗ (t) = u∗ (t). u).4 The Hamiltonian H (t. x ∗ (t). we get B = 0. ˙ ˙ (b) It follows from part (a) that if r = 0 then Cx (t. Since g is strictly increasing. x ∗ (0) = 0. so equation (∗) in Example ¨ ˙ ˙ 8. p(t) = t + A for some constant A. the transversality condition shows ˙ ˙ ˙ that x(5) = 1500. so according to Theorem 9.4 With U (C) = a − e−bC .
4. Knut Sydsæter. x ∗ (1) ≥ 1. so according to Theorem 9. u∗ (t). 9. ˙ p(1) ≥ 0. u). Note that 1 Hu = 0 when u = − 4 (T 2 − t 2 ). ˙ From (ii) we get the linear differential equation p(t)+p(t) = −1. (ii) p(t) = −Hx (t.2. we get x 2 9. K ∗ (t) = I ∗ (t) − 0. The condition x ∗ (0) = 0 gives B = 4 eT − 2 .1K ∗ (t). the following conditions are sufﬁcient for optimality: (i) (ii) (iii) (iv) Hu (t. x ∗ (t) = x ∗ (t) + 2 (eT −t − 1). Thus. ˙ 1 and p(T ) = 0 gives A = eT . ˙ (iii) x ∗ (t) = x ∗ (t) + u∗ (t).2K. p(t) = 4t + A for some constant A and p(10) = 40 + A = 0. we must have p(1) = 0. x ∗ (t). x. x ∗ (t). u.1p(t) = −1 + 0. with general solution x ∗ (t) = Bet + 2 et ˙ e−t (eT −t − 1) dt = 1 1 1 1 1 1 1 1 Bet − 4 eT −t + 2 . which gives A = 2/(e − e−1 ) = 2e/(e2 − 1). so according to Theorem 9. p(t)) = 1 − tx ∗ (t) − u2 + p(t)u for u ∈ [0. x ∗ (t) = u∗ (t). so A = −40 and p(t) = 4t − 40. but this time u∗ (t) is the value of u that maximizes H (t. Atle Seierstad. From (iii). p) = x −u2 +p(x +u) is concave in (x. Thus the optimal choice of u must be u∗ (t) ≡ 0. T ].2. u∗ (t). x ∗ (0) = 0. x ∗ (t). x ∗ (t). p. From (i) we have u∗ (t) = 2 (eT −t − 1).1p = −1 + 0. so p(t) = eT −t − 1. Inserting these results into (iv) and ˙ ¨ − 0.1. 1].6 (b) Conditions (7) and (5) reduce to 1 (i) I ∗ (t) = 2 p(t). simplifying yields K 1 Moreover.2 (using (9. If ˙ x ∗ (1) > 1. p(t)) for u ∈ [−1.5. the following conditions are sufﬁcient for optimality: (i) Hu (t.4. It follows that p(t) = Aet + Be−t for ˙ ¨ ˙ 1 1 ˙ suitable constants A and B. 1 1 from (iii). (ii) p(t) − 0. (The value of A here is twice the value of A given in the book.1K. x ∗ (t). x ∗ (t) = 2 p = 2 (Aet − Be−t ).7). and p(t) = A(et + e−t ). u). p(t)) = −1 − p(t).06K. p(T ) = 0. Furthermore. The general solution is p(t) = Ae−t −1. we have p(t) = − 2 (T 2 − t 2 ). p(t)) = −2u∗ (t) + p(t) = 0. 1] provided © Arne Strøm. x.2K. Note that Hu = −2u + p(t) = 1 −2u− 2 (T 2 −t 2 ) < 0 for all t < T . and since x ∗ (0) = 0 gives 1 1 B = A. u) = 1 − x 2 − u2 + pu is concave in (x.4 9. u∗ (t).) 1 9. p(t)) = −2u∗ (t) + p(t) = 0.66 9 CONTROL THEORY: BASIC TECHNIQUES From (ii). and this nonpositive number is an interior point of [−1.2 The Hamiltonian H (t. which contradicts x ∗ (1) ≥ 1. and therefore A = 0. x ∗ (t) = u∗ (t) = t − 10. ˙ ∗ (t) = 1 t 2 − 10t.1K ∗ (t) = 2 p(t) − 0. x ∗ (t). So for each t in [0. ˙ (iv) p − 0. Finally. u∗ (t). and then x ∗ (t) ≡ x0 .1 (using (9. and then p = 2K + 0.2. u. x ∗ (t) = 4 eT +t − 4 eT −t − 2 et + 2 .04K = −0. and with x ∗ (0) = 0.3 (a) As in Example 9. and 2 9. u. Thus (K ∗ (t). and Peter Hammond 2008 . 1 From (i) we have u∗ (t) = 4 (4t − 40) = t − 10. the optimal u∗ (t) must maximize the concave function H (t. ˙ From p(t) = 2x ∗ (t) we get p(t) = 2x ∗ (t) = 2u∗ (t) = p(t). ˙ ˙ ¨ ˙ From (iii) we get p = 2K + 0. and p(1) = 0 if x ∗ (1) > 1. u∗ (t) = x ∗ (t) = 2 A(et + e−t ). we have x ∗ (t) = 2 A(et − e−t ). p(t)) = 2x ∗ (t). x ∗ (0) = 0. p(t) = −Hx (t.5 The Hamiltonian H (t.2.2. 1 (b) Also in this case Hu = −2u + p(t) = −2u − 2 (T 2 − t 2 ) and Huu = −2.2. but that would give x ∗ (t) = 0 for all t.4.06K ∗ (t).7). Therefore we must have x ∗ (1) = 1. p(t)) must satisfy ˙ (iii) K = 1 p − 0. 1].
˙ From (ii) we get p(t) = A − t for some constant A. u. If t ≤ T 2 − 4. and p(5) = 0 if x ∗ (5) > 0. and thus u∗ (t) = 1.1t − pu is concave in (x. u.9 CONTROL THEORY: BASIC TECHNIQUES 67 √ √ 1 − 4 (T 2 − t 2 ) > −1. and if u∗ (t) = 0.4.1t − 1) − 5t + 10. t > T 2 − 4. x. Knut Sydsæter.4. x ˙ 2 and x ∗ (T ) = B gives A = 2bB/T − aT /2.4. we conclude that t ∗ = 2. and Peter Hammond 2008 . Now u∗ (t) ≡ 0 and u∗ (t) ≡ 1 are both impossible because x ∗ (t) = u∗ (t) and ˙ ∗ (0) = 0 contradict x ∗ (10) = 2. Suppose u∗ (t) > 0 for all t in [0. 5]. The condition x ∗ (5) = 0 gives p = 3/(e0. Since x ∗ (10) = 2. u∗ (t). (b) As in (a) we ﬁnd that for some t ∗ in (0. and then x ∗ (t) = −5.4. Then (i) is ¯ ¯ ∗ (t). x ∗ (t). t ∗ ] and x ∗ (t) = t ∗ for t in (t ∗ . u∗ (t).4 (a) Since H (t. a contradiction.) For the rest see the answer in the book. Here x ∗ (0) = 0 yields C = 0. ˙ p(5) ≥ 0. for t in [0. p. Moreover. x ∗ (0) = 0. 10) we have p(t) > 0. ˙ (iii) x ∗ (t) = u∗ (t). T ]. so A = t ∗ and p(t) = t ∗ − t. x ∗ (t) = −u∗ (t). t ∗ ] and x ∗ (t) = t ∗ + x0 for t in (t ∗ . u). x. ¯ If p = 0. T ). 9. Then x ∗ (t) = t + x0 for t in [0.7 (b) The Hamiltonian H (t. u∗ (t) = 1 in [0. and the solution is as given in the book. 10]. Atle Seierstad.5 − 1). and then x ∗ (t) = −u∗ (t) with x ∗ (0) = 10 ˙ that x 2 ¯ ¯ gives x ∗ (t) = 5p(e0.4. that is. To check the maximum condition (9. x ∗ (5) ≥ 0. x ∗ (10) = 2. u) = x + pu is concave in (x. we get x ∗ (t) = 10−5t. because it is easy to check that all the conditions in Theorem © Arne Strøm. Thus u∗ (t) = a(2t − T )/4b + B/T and x ∗ (t) = at (t − T )/4b + Bt/T Note that u∗ (t) is increasing in t. From (v) we have u∗ (t) = 5 − 1 pe0. u). x (v) [10 − 2u∗ (t)]e−0.5) in Theorem 9. then u = −1 is optimal. u). t ∗ ]. 10]. So in this case we have found an optimal solution. ˙ From (ii) we have p(t) ≡ p for some constant p. T ]. the following conditions are sufﬁcient for optimality: (i) (ii) (iii) (iv) u∗ (t) maximizes H (t. we conclude that for some t ∗ in x (0. the following conditions are sufﬁcient for optimality: (i) u = u∗ (t) maximizes p(t)u for u ∈ [0. then (Hu )∗ = −2bu∗ (t)+p(t) = 0.6 The Hamiltonian H (t. Hence p > 0 and from (iii) (and x ∗ (5) ≥ 0) we conclude ¯ ∗ (5) = 0.e. u∗ (t)). and (i) implies that u∗ (t) = 1 if p(t) > 0 and u∗ (t) = 0 if p(t) < 0. u.2. we conclude that t ∗ = x1 − x0 . Also p(t) = at + A for some constant A.1t . if u∗ (t) > 0.1t = p.4. and the solution is as given in the book. ∗ (t) = u∗ (t) = (1/2b)(at + A). Since p(t) is strictly decreasing. so according to Theorem 9. 9. Since all the ¯ ∗ (t). x ∗ (0) = 10. p(t)) = [10u − u2 − 2]e−0. x ∗ (t). Then u∗ (t) = p(t)/2b = (1/2b)(at + A). p) = [10u − u2 − 2]e−0. t ∗ ] and u∗ (t) = 0 for t in (t ∗ . i. 1]. equivalent to Hu (t. p) = −(ax + bu2 ) + pu is concave in (x. Since x ∗ (T ) = x1 . it sufﬁces to check that. conditions (i)–(iv) are satisﬁed by the pair (x 9. (ii) p = −1.1t − p(t)u for u ≥ 0. then (Hu )∗ = −2bu∗ (t) + p(t) ≤ 0.1. T ]. p(t) = −Hx (t. and p(t) < 0 with u∗ (t) = 0 for t in (t ∗ . we have found an optimal solution. (Choosing u∗ (t) = 1 cannot be optimal because Hu is negative for u = 1. then (v) implies that u∗ (t) ≡ 5. Suppose u∗ (t) > 0 for all t in [0. With x ∗ (0) = 10. p(t)) = 0. ¯ ˙ which gives x ∗ (5) = −15. p(t)) = 0. and u∗ (0) = B/T − aT /4b ≥ 0 if and only if B ≥ aT 2 /4b. x. At t ∗ we have p(t ∗ ) = 0. so x ∗ (t) = (1/2b)( 1 at 2 + At) + C. We see that x ∗ (t) = t for t in [0.
because x ∗ (t) ≥ 0. and p = a = −(Hx )∗ . x For t ≥ t ∗ . T ] we have as before u∗ (t) = (1/2b)(at +A). Since x ∗ is continuous. ˙ (iii) x ∗ (t) = u∗ (t). T ] if t ∈ (t 2b 4b √ with t ∗ = T − 2 bB/a. u) = x 2 − 2u + pu = x 2 + (p − 2)u. The function x ∗ must be increasing. Now t ∗ is determined ˙ √ by the condition x ∗ (T ) = B. so p(t) = −2(1 + t ∗ )t + C . so x ∗ (t) remains constant. In (t ∗ .2.8 The Hamiltonian is H (t. and the storage cost a is sufﬁciently small relative to the unit production cost b. so x ∗ (t) = x ∗ (0) + t = 1 + t. 2] ⇒ u∗ (t) = 1 0 for t ∈ [0. There is therefore a unique t ∗ in (0.1) gives the following necessary conditions: (i) u = u∗ (t) maximizes (p(t) − 2)u for u ∈ [0. so p(0) ≥ p(2) + 4 = 4. x ∗ (t) = (a/4b)(t−t ∗ )2 . Because p ≤ −2. we see that ˙ 2 2 ˙ p(2) − p(0) = 0 p(t) dt ≤ 0 (−2) dt = −4. and u∗ (t) = (a/2b)(t −t ∗ ). 1].4. and p(t) >2 <2 for t ∈ [0. and with x ∗ (t ∗ ) = 0. t ∗ ]. Note: When we use sufﬁcient conditions. p(t ∗ ) must equal 2. and ˙ ∗ (t) = −2 − 2t ∗ . we have A = −at ∗ . x ∗ (t) = x ∗ (t ∗ ) = 1 + t ∗ . which gives (a/4b)(T − t ∗ )2 = B. and since u∗ (t ∗+ ) = 0. In particular. as it should be. It remains only to check the maximum condition. We cannot have u∗ (t) ≡ 0 because then x ∗ (t) ≡ 0. p(2) = 0. So u∗ (t ∗+ ) = 0. T ] ⎩ ⎩ if t ∈ (t ∗ . and Peter Hammond 2008 . Note that t ∗ > 0 ⇐⇒ B < aT 2 /4b. t ∗ ] if t ∈ [0. u∗ (t). We end up with the following suggestion for an optimal solution: ⎧ ⎧ if t ∈ [0. See Kamien and Schwartz (1991) for further economic interpretations. (This solution is valid if the required total production B is large relative to the time period T available. the unique maximizer of H would be > 0 for some t < t ∗ . ˙ From (i) we see that p(t) > 2 ⇒ u∗ (t) = 1 and p(t) < 2 ⇒ u∗ (t) = 0. x ∗ (t ∗ ) = 0. p. Since p(2) = 0. This quadratic equation © Arne Strøm. p(t) = a(t − t ∗ ) . 2) with p(t ∗ ) = 2.) The maximum principle (Theorem 9. as long as we really check that all the conditions in the sufﬁciency theorem are satisﬁed. which gives p(t) = −2t − t 0 0 ∗ (t ∗ ) = 1 + t ∗ (the limit of x ∗ (t) as t approaches t ∗ from the left). where C = p(2) + 2(1 + t ∗ )2 = 4(1 + t ∗ ).4. which contradicts x ∗ (T ) = B > 0 (assumed implicitly). x (t) = a(t − t ∗ )2 ∗.4. (Since x(2) is free. t ∗ ] ⎨0 ⎨0 ∗ ∗ u (t) = a(t − t ∗ ) . If u∗ (t ∗+ ) > 0. T ] we have u∗ (t) > 0 and we see that (Hu )∗ = −2bu∗ (t) + p(t) = 0. Knut Sydsæter. −2x(t) = −2 − 2t. with t close to t ∗ . p(t) = −2x ˙ 1 1 Now. we have x ∗ (t) = u∗ (t) = 0. t ∗ ) for t ∈ (t ∗ . then by continuity of p(t). or T − t ∗ = ± 4bB/a.68 9 CONTROL THEORY: BASIC TECHNIQUES 9. 2] ˙ ˙ For t ≤ t ∗ . we put p0 = 1. t ∗ ] for t ∈ (t ∗ . p(t) = 2 + C for a suitable constant C . Hence p(t) = −2x ∗ (t) ≤ −2x ∗ (0) = −2 < 0.2 are satisﬁed. x ∗ (t). we have p(t) > 0 for t in [0. Then x ∗ (t) = u∗ (t) = (a/2b)(t−t ∗ ). Moreover. u∗ ) is admissible and satisﬁes the terminal condition x ∗ (T ) = B. and u∗ (t) = x ∗ (t) ≡ 0 in [0. we have u∗ (t) = 0 and (Hu )∗ = −2bu∗ (t) + p(t) = a(t − t ∗ ) ≤ 0. so we must have t ∗ = T − 2 bB/a. x. so −2(1 + t ∗ )t ∗ + 4(1 + t ∗ ) = 2.) Suppose B < aT 2 /4b. It remains to check that the proposed solution satisﬁes all the conditions in Theorem 9. Atle Seierstad. we can use “wild” guesses about the optimal control and the optimal path.4. 2). (ii) p = −Hx (t. we have x ∗ (t) = u∗ (t) = 1. Then we guess that production is postponed in an initial time period. t ∗ ]. 9. For t in (t ∗ . So we have found an optimal solution. The ˙ pair (x ∗ . x ∗ (0) = 1. The minus √ sign would make t ∗ > T . For t in [0. p(t)) = −2x ∗ (t). or (t ∗ )2 − t ∗ − 1 = 0. Consequently p is ˙ ˙ strictly decreasing.
p(t)) = 0. The only possible solution is spelled out in the answer in the book. The Euler equation ˙ ˙ ˙ ˙ ˙ ˙ d is then 2e−t − 2x − dt (−2x − 2x) = 0. Since x ∗ (t) = 2 2[Ae 2 2 t − (1 − A)e− 2 2 t ]. Moreover ∗ (t). then the Hamiltonian would simply be pu. C 9 3 we use the equation p(t ∗ ) = 2. x) = 2xe−t − 2x x − x 2 we get Fx = 2e−t − 2x and Fx = −2x − 2x. ˙ ˙ 9. Atle Seierstad. Fx = −2x and Fx = −4x. Hence x ∗ (t) must be a solution of the ˙ ˙ get x ¨ 2 ˙ Euler equation that we found in (a).5. we have A+B = 1.06. If p(t)u has a maximum for some u in (−∞. or 2e−t − 2x + 2x + 2x = 0. the control function u∗ (t) and the adjoint function p(t) are given by the equations above. u ∈ (−∞. ˙ The control problem is 2 max 0 (3 − x 2 − 2u2 ) dt. or C0 = 2 + 2t ∗ + (t ∗ )2 = 2 + 2 5. p(t)) = −2e−t + 2u∗ (t) = −2e−t + 2x ∗ (t). ¨ 1 1 So if x ∗ (t) solves the problem. u∗ (t). using (i) and (ii). u∗ (t). Now that we know x ∗ (t). x ˙ ˙ ˙ ∗ (t) = u∗ (t) = 1 p − x ∗ (t) = −e−t . The characteristic equation r 2 = 2 has solutions r1 = 2 2 and r2 = − 2 2. We conclude that x ∗ (2) = 4 and thus A = (4e 2 − 1)/(e2 2 − 1). and Peter Hammond 2008 . From x ∗ (t) = u∗ (t) we (ii) p(t) = −Hx (t. and since t ∗ must be positive. so we have found the solution. so (i) u∗ (t) = 2 p(t) − x ∗ (t). Knut Sydsæter. p) = 2xe−t − 2xu − u2 + pu. x. The associated control problem is 1 max 0 (2xe−t − 2xu − u2 ) dt. x(2) ≥ 4 © Arne Strøm. Hu (t. but p(t) = 0 is impossible when p0 = 0. We also know that there is a constant C0 such that p(t) = −2t − t 2 + C0 for t ≤ t ∗ .3): (Fx )∗ = −4x ∗ (2) ≤ 0. t ∗ = (1 + 5 )/2.5.1 With F (t. (Incidentally.2 With F (t. x ∗ (2) ≥ 0. x).5 9.) We have Hu = −2x − 2u + p and Hx = 2e−t − 2u.9 CONTROL THEORY: BASIC TECHNIQUES 69 √ √ gives t ∗ = (1 ± 5 )/2. x. with x ∗ (2) = 0 if x ∗ (2) > 4. 9. so the only admissible solution of the Euler equation is x ∗ (t) = −e−t + e−1 t + 1. x = u. moreover. so the Euler equation Fx − (d/dt)Fx √ 0 ˙ ˙ ˙ = √ 1 1 1 reduces to x − 2 x = 0. It ˙ ˙ ˙ ˙ ¨ ¨ −t + A and x = −e−t + At + B for suitable constants A and B. To determine the constant√ 0 . then we must have x ∗ (t) = Ae 2 2 t + Be− 2 2 t . √ √ Since x ∗ (0) = 1. x ∗ (t). or B = 1−A.97 1 √ √ We now invoke the transversality condition (8. u. contra˙ √ √ dicting (∗). then p(t) = 0. ∞) ˙ The Hamiltonian (with p0 = 1) is then H (t. x(0) = 0. ˙ ˙ t=2 with −4x ∗ (2) = 0 ˙ if x ∗ (2) > 4 √ √ √ 1 1 1 ˙ ˙ Equivalently. there is precisely one solution that also satisﬁes the boundary conditions on x ∗ (t). ˙ √ √ √ √ √ √ 1 we have x ∗ (2) = 2 2[Ae 2 − (1 − A)e− 2 ] = 0 provided A = e− 2 /(e 2 + e− 2 ) ≈ 0. ˙ x(0) = 1. x(1) = 1. ∞). which gives C0 − 2t ∗ − (t ∗ )2 = 2. x = u. 1 Since the control region is open. x. x) = 3 − x 2 − 2x 2 . and. As we found in (a). x ∗ (2) = Ae 2 +(1−A)e− 2 ≥ 4 requires √ √ √ √ √ (∗) A ≥ (4 − e− 2 )/(e 2 − e− 2 ) = (4e 2 − 1)/(e2 2 − 1) ≈ 0. From the boundary follows that x = e ˙ conditions x(0) = 0 and x(1) = 1 we get A = e−1 and B = 1. if p0 = 0. which reduces to x = −e−t . The function F is (for t ﬁxed) concave in (x. We know that for t ≥ t ∗ we have √ p(t) = −2(1 + t ∗ )t + C1 = −2(1 + t ∗ )t + 4(1 + t ∗ ) = 2(1 + t ∗ )(2 − t) = (3 + 2 5 )(2 − t).5.
If (x ∗ (t). which is the same differential equation as before. integration gives x ∗ (t) = 5pet/10 − t + A. Therefore. x.2 (see (9. so the Euler equation is ˙ ˙ ˙ ˙ ˙ d −t/10 ˙ = 0. and so p(t) = 2e−2t + C. ¯ 9. u. There are two possibilities: Case A: Suppose p(0) ≤ 1. p(t)) = 2(x ∗ (t))2 e−2t + (p(t) − 1)uet . and thus u∗ (t) = so p(t) = p. a constant.5. ˙ ∗ = (−2 − 2u∗ (t))e−t/10 + p(t) = 0. so ∂V /∂x0 = T = 6 6 p(0). T ]. so p(t) is ˙ ˙ ∗ (t) is the value of u in [0.3 With F (t. p(t)) = 1 1 1 1 x ∗ (t) − 2 u∗ (t)2 + p(t)u∗ (t) = T t − 2 t 2 + x0 − 2 (T − t)2 + (T − t)2 .70 9 CONTROL THEORY: BASIC TECHNIQUES The Hamiltonian is H = 3 − x 2 − 2u2 + pu. u∗ (t). Atle Seierstad. Since x ∗ (t) = u∗ (t) = T − t and x ∗ (0) = x0 . For all t in [0. x). (iii) x ∗ (t) = u∗ (t). x ∗ (0) = x0 . x. (ii) p(t) = −Hx (t.) The value of the Hamiltonian “along the optimal path” is H ∗ (t) = H (t. Thus. The rest x ¨ ˙ 4 ˙ 4 2 is easy. See the answer in the book. The boundary conditions ¯ ˙ ¯ 2 yield p = 0 and A = 1. (Recall that x(T ) is free.2. Since 2(x ∗ (t))2 e−2t does not depend on u. p(t)) = −u∗ (t) + p(t) = 0. we get p(t) < 1. and hence x ∗ (t) ≥ x ∗ (0) = 1 for all t in [0. Since p(T ) = 0.6 1 9.1 (a) The Hamiltonian H (t. (Hu ) ¯ 1 pet/10 − 1.7)).6. (ii) p(t) = 2x ∗ (t). u∗ (t). (If we were asked only to ﬁnd ∂V /∂x0 . ˙ It remains to determine p(t). we have p(t) < 1 for t close to T . ˙ © Arne Strøm. we have x ∗ (t) = u∗ (t)et ≥ 0. p(t)) = −1 with p(T ) = 0. We have p(t) = −4e−2t x ∗ (t) = −4e−2t . Since ˙ Hx = 4xe−2t . the differential equation for p(t) is p(t) = −4e−2t x ∗ (t). x ∗ (t). The function F is (for t ﬁxed) concave in (x. p) = x − 2 u2 + pu is concave in (x. ˙ ˙ From (i) and (ii) we have u∗ (t) = p(t) = T − t.6. It follows that x ∗ (t) = u∗ (t) = 0 and x ∗ (t) ≡ x ∗ (0) = 1 for all t in [0. 9. x) = (−2x − x 2 )e−t/10 . we get 1 x ∗ (t) = T t − 2 t 2 + x0 . (b) The optimal value function is V (x0 . u∗ (t)) is an admissible pair with adjoint function p(t). T ]. u). From the maximum principle. Differentiating (iii) yields ˙ ˙ ∗ (t) = u∗ (t) = 1 p(t) = 1 2x ∗ (t) = 1 x ∗ (t). We 1 2 ∗ (T ). 1] that maximizes (p(t) − 1)u. u. ˙ (iii) x ∗ (t) = u∗ (t). and hence u∗ (t) = 0 for all t > 0. T ]. x. The Hamiltonian for the control problem is H = (−2u − u2 )e−t/10 + pu. x ∗ (t). Since p is strictly decreasing.) Suppose that (x ∗ (t). Fx = 0 and Fx = (−2 − x)e−t/10 . T ) = 0 T 1 x ∗ (t) − 2 u∗ (t)2 dt = t=T T 0 1 1 T t − 2 t 2 + x0 − 2 (T − t)2 dt (∗) 1 1 Integrating we ﬁnd V (x0 . so we get the same solution. u∗ (t) = 0 if p(t) < 1. p(t) < 0. Since x ∗ (t) = u∗ (t). so Hx = −2x and Hu = −4u + p. see that ∂V /∂T = 2 T + x0 = H 9.4 (a) The Hamiltonian is H (t. p) = 2x 2 e−2t − uet + puet = 2x 2 e−2t + (p − 1)uet . T ]. u∗ (t) is the value of u in [0. Moreover. and Peter Hammond 2008 . it would be easier to differentiate (∗) with respect to x0 T under the integral sign: ∂V /∂x0 = 0 dt = T . and so H ∗ (T ) = 2 T 2 + x0 . Knut Sydsæter. for every t in [0. x ∗ (t). the following conditions are sufﬁcient for optimality: (i) Hu (t. Here p(t) = −(Hx )∗ = 0. u∗ (t). 1] that strictly decreasing. u. u maximizes H (t. ˙ − (−2 − x)e dt so we have found the solution. x ∗ (t).2. u∗ (t) = 1 if p(t) > 1. T ) = t=0 ( 2 T t 2 − 1 t 3 + x0 t + 6 (T − t)3 ) = 1 T 3 + x0 T . u∗ (t)) is 1 optimal then (i) u∗ (t) = 4 p(t). so according to Theorem 9.
so we get the equations (i) p(t ∗ ) = 1 = 4e−t + C1 ∗ (ii) p(t ∗ ) = 1 = 2e−t + C2 ∗ ∗ −2T ∗ (iii) p(T ) = 0 = 2et ∗ −2T + C2 From (i) and (iii) we get C1 = 1 − 4e−t and C2 = −2et ∗ . H ∗ (T ) = 2e−2t . (b) We have to consider two cases A and B. Integration gives ˙ ˙ p(t) = 4e−t + C1 2e t ∗ −2t if 0 ≤ t < t ∗ if t ∗ < t ≤ 1 + C2 Since p is continuous. or T ≤ 2 ln 2. and hence C = −2e−2T . Note that in both cases u∗ (T ) = 0 (and p(T ) = 0). i. Multiplying this equation by (iv) 1 1 Multiplying with 2 e2T and rearranging gives (et )2 + 2 et e2T −e2T = 0. we must have 2(1−e−2T ) ≤ 1. Case A: If T ≤ 1 2 ln 2. Since we have assumed p(0) ≤ 1. This inequality is equivalent to 1 4T 16 e + e2T > and so e2T > 2 ⇐⇒ T > 1 2 ln 2. T ) with p(t ∗ ) = 1. ˙ ∗ p(t) = −4e−2t x ∗ (t) = −4e−t if 0 ≤ t < t ∗ . This gives u∗ (t) = 1 0 if 0 ≤ t ≤ t ∗ if t ∗ < t ≤ 1 ∗ Since x ∗ (t) = u∗ (t) and x ∗ (0) = 1. both expressions for p(t) are valid for t = t ∗ . if 0 ≤ t ≤ t ∗ if t ∗ ≤ t ≤ 1 ∗ ∗ −2T p(t) = 4(e−t − 4e−t ) + 1 2et (e−2t − e−2T ) ∗ It remains to determine t ∗ . u∗ (T ).e. then x ∗ (T ) = 1. Case B: Suppose p(0) > 1. p(T )) = 2x ∗ (T )2 e−2T . 2e 1 + e2T − 4 e2T > 1. This is a second degree equation ∗ for determining et . Thus. x ∗ (T ). we get x ∗ (t) = et if 0 ≤ t ≤ t ∗ and x ∗ (t) = et if t ∗ ≤ t ≤ 1. if and only if 1 ( 4 e2T + 1)2 = 1 4T 16 e + 1 4T 16 e 1 2T + 1. Then there exists a point t ∗ ∈ (0. Atle Seierstad. we must take the positive square root. and so −2T ≥ ln(1/2) = − ln 2. Moreover.9 CONTROL THEORY: BASIC TECHNIQUES 71 where the constant C is determined by p(T ) = 0. and Peter Hammond 2008 . and p(t) = −4et −2t if t ∗ < t ≤ 1. It follows that p(t) = 2(e−2t −e−2T ) = 2e−2t (1−e−2(T −t) ). Hence.) This solution makes sense if and only if t ∗ > 0. and so H ∗ (T ) = H (T . and T 0 V (T ) = 2(x ∗ (t))2 e−2t − u∗ (t)et dt = 0 T 2e−2t dt = T 0 −e−2t = 1 − e−2T © Arne Strøm. For the summing up see the book. 1 This gives e−2T ≥ 1/2. Knut Sydsæter. In this case p(t) > 1 for t < t ∗ and p(t) < 1 for t > t ∗ . From (ii) and (iii) we get 1 = 2e−t − 2et ∗ et yields ∗ ∗ et = 2 − 2e2t −2T ∗ ∗ . and we ﬁnd ∗ 1 et = − 4 e2T + ∗ 1 4T 16 e + e2T and so t ∗ = ln 1 4T 16 e 1 + e2T − 4 e2T (Since et is positive. p(T ) = 0.
˙ From (ii) we get p(t) = t + A. p(t)) = − √ ∗ [1 + s ∗ (t)(p(t) − 1)]. Atle Seierstad. (ii) p(t) = 1. ∞).72 9 CONTROL THEORY: BASIC TECHNIQUES This implies V (T ) = 2e−2T = H ∗ (T ).t. k ∗ (t). and therefore ∗ −2T V (T ) = 0 + 2e2t = H ∗ (T ) ∗ as expected. Differentiating w. x1 ) = 0 1 1 (100 − x ∗ (t) − 2 u∗ (t)2 ) dt = 0 1 0 1 1 1 100 − 2 t 2 − (x1 − x0 − 2 )t − x0 − 1 2 t + x 1 − x0 − 1 0 1 2 2 dt. we have x ∗ (T ) = x ∗ (t ∗ ) = et . Furthermore. Case B: For T > 1 2 ln 2. and x ∗ (1) = x1 . and (i) and (iii) give x ∗ (t) = u∗ (t) = p(t) = t + A.1) gives the conditions: √ √ (i) s = s ∗ (t) maximizes k ∗ (t) + k ∗ (t)(p(t) − 1)s for s ∈ [0. so the following conditions are sufﬁcient for optimality: (i) (Hu )∗ = −u∗ (t) + p(t) = 0. Hence we get V (T ) = 2 ∗ dt ∗ dt ∗ dt ∗ ∗ dt ∗ ∗ ∗ ∗ − et − e2t −2T (2 − 2) = (2 − et − 2e2t −2T ) + 2e2t −2T dT dT dT dT ∗ ∗ −2T Equation (iv) shows that 2 − et − 2e2t = 0. as it should be. so we assume p0 = 1.) 9. In the same way. √ √ √ √ 9. Knut Sydsæter. A = x1 − x0 − 2 . u) and u ∈ (−∞.) The maximum principle (Theorem 9. as it should be. x ∗ (0) = x0 . so the solution is as given in the book.4. (b) V = V (x0 . (In (b) we use the Arrow theorem.1 (a) The Hamiltonian H = 100 − x − 2 u2 + pu is concave in (x.r. The algebra required is heavy. x0 under the integral sign yields ∂V /∂x0 = x1 − x0 − 1 0 1 2 1 (t − 1 + t + x1 − x0 − 2 ) dt = 1 0 (2t − 3 2 + x1 − x0 ) dt = 1 0 3 (t 2 − 2 t + (x1 − x0 )t) = = p(0).7 1 9. and Peter Hammond 2008 .2 (a) The Hamiltonian is H = (1 − s) k + ps k = k + k(p − 1)s. 1 (ii) p(t) = −Hk (t. ∂V /∂x1 = 1 2 ) dt 1 [−t − t + x1 − x0 − 2 )] dt = 1 2 (−2t − x1 + x0 + = 1 0 (−t − x1 t + x0 t + 2 1 2 t) = −x1 + x0 − = −p(1). (Alternatively we could have inserted the expressions found for t ∗ and et into the expression for V (T ).7. 1]. ˙ (iii) x ∗ (t) = u∗ (t). Integrating and ˙ 1 using the two boundary conditions gives B = x0 . s ∗ (t). V (T ) = = 0 2(x ∗ (t))2 e−2t − u∗ (t)et dt (2 − et ) dt + T t∗ t∗ 2e2t ∗ −2t dt = 2t ∗ − et + 1 − e2t ∗ ∗ −2T +1 Note that t ∗ depends of T . This gives H ∗ (T ) = 2e2t T 0 ∗ ∗ −2T .7. and found V (T ) in terms of T . ˙ 2 k (t) © Arne Strøm. p(10) = 0.
From (ii) this gives p(t) = −1/2. x ∗ (0) = 1. this implies that p(t) = (10−t)/(t ∗ +2) on (t ∗ . s ∗ (t) = 1 0 if [0. (If p(t) > 1. x ∗ (T ) = 0. 10] we get from (ii) that p(t) = −1/2 k ∗ (t) = −1/(t ∗ +2). t ∗ ] if (t ∗ . 10] . and we see that g (u) > 0 when u is slightly larger than 0. With k ∗ (0) = 1 we get C = 2. 10] we have k ∗ (t) = ( 2 t ∗ + 1)2 since k ∗ (t) is continuous. We conclude that there must exist a t ∗ in (0. p(t)) = −αp(t). On k 2 1 (t ∗ . Thus. (There is a misprint in the formula for x ∗ (t): the ﬁrst fraction must be multiplied by eαt . On this interval p(t) = ˙ √ −p(t)/2 k ∗ (t) = −p(t)/(t + 2). ˙ √ ∗ p(t) = −p(t)/2 k (t) < 0.3 (a) The Hamiltonian H (t. so e−βt = Ae−αt √ ∗ 2 u (t) or u∗ (t) = 1 2(α−β)t e 4A2 (b) See the answer in the book. √ ˙ ˙ But then k ∗ (t) = k ∗ (t) on [0. so E = 6. t ∗ ] and k ∗ (t) = 0 on [0. 10].9 CONTROL THEORY: BASIC TECHNIQUES 73 √ ˙ (iii) k ∗ (t) = s ∗ (t) k ∗ (t). We have found the only possible solution. By integrating the differential equation for √ ∗ (t) on [0. 10] (v) √ ˙ On (t ∗ . (ii) p(t) = −Hx (t. Atle Seierstad. 10) such that p(t ∗ ) = 1.1. k ∗ (0) = 1. But p(t ∗ ) = 1.) © Arne Strøm. The solution of this separable equation is p(t) = E/(t + 2). 10]. Since s ∗ (t) ≥ 0. ˙ (iii) x ∗ (t) = αx ∗ (t) − u∗ (t). p) = e−βt u + p(αx(t) − u) is concave in (x. u. a contradiction. u∗ (t). k ∗ (t) = 1 ( 2 t + 1)2 1 ( 2 t ∗ + 1)2 if [0.7. and p(t) can be found in the answer in the book.7. then s ∗ (t) = 1 and from (ii). The explicit expressions for x ∗ (t). (What if p(t) < 1?) Thus p(t) is strictly decreasing. But p(4) = 1. Then s ∗ (t) = 1 on [0. But then p(t) > 1 for t < 8. x ∗ (t). See the answer in the book. it follows from (iii) that k ∗ (t) ≥ 1 for all t. for some constant E. u). and Peter Hammond 2008 . so k ∗ (t) = ( 1 t + 1)2 . Knut Sydsæter. Then we see from (i) that s ∗ (t) = 1 0 if p(t) > 1 if p(t) < 1 (iv) By studying (ii) and (iv) we see that p(t) < 0 for all t. It remains only to ﬁnd p(t) on [0. Hence u∗ (t) > 0 and g (u∗ (t)) = 0. Then g (u) = √ e−βt (1/2 u) − Ae−αt . the following conditions are sufﬁcient for optimality: √ (i) u = u∗ (t) maximizes H (t. This means that u∗ (t) = 0 cannot maximize g. u∗ (t). t ∗ ]. ˙ Suppose p(t) < 1 for all t in [0. Deﬁne the function g by g(u) = e−βt u − Ae−αt u. for any t. from which it follows that t ∗ = 4. and so p(t) = −t/(t ∗ +2)+D. 10]. x. we ﬁnd 2 k ∗ (t) = t + C. t ∗ ] and s ∗ (t) = 0 on (t ∗ . u. √ 9. or the Hamiltonian. p(t)) = e−βt u + p(t)(αx ∗ (t) − u) for u ≥ 0. so (10−t)/(t ∗ +2) = 1. x ∗ (t). so according to Theorem 9. ˙ and with p(10) = 0 we get p(t) = 5−t/2. t ∗ ] if (t ∗ . Then s ∗ (t) ≡ 0 and k ∗ (t) ≡ 1. From (iii) we get the following linear differential equation for x ∗ (t): x ∗ (t) = αx ∗ (t) − ˙ 1 2(α−β)t e 4A2 with solution x ∗ (t) = Ceαt − 1 e2(α−β)t 4A2 (α − 2β) The two constants A and C are determined by the boundary conditions in (iii). t ∗ ]. t ∗ ]. ˙ √ From (ii) we get p(t) = Ae−αt . Since p(10) = 0.
x ∗ (t).8.1t . which contradicts (p0 . p(t)) = p0 (−9 − 4 u2 ) + p(t)u for u ∈ . 0) and (i) (ii) (iii) (iv) 1 u = u∗ (t) maximizes H (t. and integration gives x ∗ (t) = −5t + 5Ae0.1λ = −(H c )x (t. u). or ax ∗ (T ∗ ) + b(u∗ (T ∗ ))2 = p(T ∗ )u∗ (T ∗ ) = 2b(u∗ (T ∗ ))2 . x ∗ (0) = 10. Then t ∗ = 8/3. © Arne Strøm. 9. but this does not guarantee that a solution to the necessary conditions is optimal. 0).8. Atle Seierstad. λ(t)) = 0. The initial condition x ∗ (0) = 10 yields B = 10 − 5A. and the solution is as in (a). x ∗ (0) = 0. x ∗ (t ∗ ). so x ∗ (t) = 5A(e0. that is aT ∗ /4b + B/T ∗ = aB/b.2 Consider the case B ≥ aT 2 /4b.) Suppose (x ∗ (t). Then from Problem 9.1. we ﬁnd that the equation H ∗ (T ∗ ) = 0 does not determine T ∗ . u∗ (t) = 6. so waiting costs nothing. λ(t)) = 10u − u2 − 2 − λ(t)u for u ≥ 0.9 9. x ∗ (T ) = 16. From (ii) we have p(t) = p for some constant p.1t − 1) − 5t + 10.1t + B. t ∗ ] we have (p0 .74 9 CONTROL THEORY: BASIC TECHNIQUES (b) If x(T ) = 0 is replaced by x(T ) ≥ 0. p(t)) = 0. Finally. Knut Sydsæter. the condition is H (T ∗ ) = 0. u∗ (t). x ∗ (t). λ(t)) = 10 − 2u∗ (t) − Ae0. ˙ x ∗ (t) = u∗ (t). t ∗ ]. or p2 = 9. Then (i) is equivalent to (H c )u (t. such that for all t in [0. Here p = −3 gives t ∗ = 8/p < 0. x ∗ (t) = −u∗ (t).1 (b) In this problem we use Theorem 9. Hence x ∗ (T ) = 0. (See Note 9. u∗ (t). Note that no discounting is assumed. and Peter Hammond 2008 . x ∗ (5) ≥ 0.) If B < aT 2 /4b. ¯ 9. x ∗ (t) = u∗ (t) = 2p.1t for some constant A. u. This reduces to aB/b = (u∗ (T ∗ ))2 .1 and we try to ﬁnd the only possible solution to the problem. p(t ∗ )) = p0 (−9 − 4 u∗ (t ∗ )2 ) + p(t)u∗ (t ∗ ) = 0.9. or √ √ u∗ (T ∗ ) = aB/b. x ∗ (t). which has no maximum. ˙ 1 H (t ∗ . Integrating ¯ ¯ ¯ ˙ ¯ ¯ ¯ and using x ∗ (0) = 0 this gives x ∗ (t) = 2pt. Moreover.1t . u∗ (t)) is an optimal pair deﬁned on [0. u∗ (t ∗ ).4. 5]. ˙ From (ii) we have λ(t) = Ae0. u∗ (t). To determine the optimal T ∗ . with p(T ) = 0 if x ∗ (T ) > 0. the ﬁrm waits until t = T − 2 Bb/a to start production. so p(T ) = 0 would imply Ae−αT = 0. Again p(t) = Ae−αt .) 9. Solving this equation for T ∗ gives the unique √ solution T ∗ = 2 bB/a. u∗ (t) = a(2t − T )/4b + B/T and x ∗ (t) = at (t − T )/4b + Bt/T and p(t) = 2bu∗ (t). Hence p0 = 1. where B is a new ˙ constant. x ∗ (t). Then there exists a continuous function p(t) and a number p0 . The maximum condition (i) would then imply that u∗ (t) for u ≥ 0 √ would maximize e−βt u.8 9.2 The current value Hamiltonian H c = 10u − u2 − 2 − λu is concave in (x. λ(5) ≥ 0. and x ∗ (t ∗ ) = 16 yields p = 8/t ∗ . p(t)) = (0. condition (i) is equivalent to (Hu )∗ = −p0 2 u∗ (t) + p(t) = 0. (Note that this is the positive solution T of B = aT 2 /4b. that is.8. 1 (v) u∗ (t) = 5 − 2 Ae0. which is either 0 or 1. so A = 0 and p(t) ≡ 0. 1 Since H is concave in (x.7. u). 1 The Hamiltonian H = p0 (−9 − 4 u2 ) + p(t)u is concave in (x. u. So the only possible solution ¯ ¯ ¯ ¯ ¯ ¯ is p = 3.8. ˙ λ(t) − 0. u). and x ∗ (t) = 6t. p(t)) = (0. with λ(5) = 0 if x ∗ (5) > 0.1t = 0. and so u∗ (t) = 2p. x ∗ (t). the only change in the conditions (i)–(iii) is that (ii) is augmented by p(T ) ≥ 0. Thenp0 = 0 implies p(t) = 0. (iv) implies 1 −9 − 4 (2p)2 + p2p = 0. and then produces at an optimal rate until delivery time T . p(t) = −Hx (t. Suppose u∗ (t) > 0 for all t in [0. (To save on storage √ costs. 1 Then x ∗ (t) = −5 + 2 Ae0. and u∗ (t) = 2p(t). so the following conditions are sufﬁcient for optimality: (i) (ii) (iii) (iv) u = u∗ (t) maximizes H c (t.
A∗ (t).5 − 1) − 15. x ∗ (t) = u∗ (t). u∗ (t). with √ S (k) = 5/ k. Knut Sydsæter. the Hamiltonian is H (t. x ∗ (0) = 1.1t −1.10. We conclude that there must exist a t ∗ in (0. and u ∈ . 10]. u). so A = 3/(e0. Then (ii) gives p(10) = 5/6 < 1 a contradiction.9.2 the only difference is that instead of the condition “x(10) free”.1t for some constant A. In the answer in the book we go a little further.) Moreover. and we get the same solution as in Problem 9. Since ϕ(A) is also concave. 9.3.2 is still valid (although © Arne Strøm.3. A.) Then √ √ 1 ˙ s ∗ (t) ≡ 1 and k ∗ (t) = k ∗ (t). p = −H2 (t.2 are still valid except that p(10) = 0 in (ii) is now replaced by 5 p(10) = √ ∗ (ii) k (10) Again p(t) is strictly decreasing. Conditions (i)–(iv) in the answer to Problem 9. with k ∗ (0) = 1. 1 Then x ∗ (t) = 2 Ae0. x ∗ (t).5. 9. A) = e−ρT ϕ(A). It follows that 2 k ∗ (t) = t + 2. Since all the conditions (i)–(iv) are satisﬁed by the admissible pair (x ∗ (t). ˙ 1 1 From (ii) we have λ(t) = Ae0.1t − 1. Atle Seierstad. we have found the solution. ˙ A∗ (t) = u∗ (t). A∗ (t). From (ii) we have u∗ (t) = 2 λ(t)−1 = 2 Ae0. we ∗ (T )) = U (rA∗ (T ) + w − u∗ (T )).7. and the scrap value function is S(T . with the given λ(t).3 The current value Hamiltonian H c = −2u − u2 + λu is concave in (x. with A = 0 if x ∗ (5) > 0. Combining (i) and (iii). The scrap value function is S(k) = 10 k. A∗ (0) = A0 . the utility function U has U > 0 and U < 0. p) = U (rA(t) + w − u(t))e−ρt + pu. With the assumptions in Example 8. and Peter Hammond 2008 .7. But A = 0 would imply x ∗ (t) = −5t + 10. t and ˙ equate it to the expression for p(t) in (ii). u∗ (t). k ∗ (10) = 36.1t − t + B. or p(t) = U (rA∗ (t) + w − u∗ (t))e−ρt .10 9. ˙ λ(t) − 0. A∗ (T )) = e−ρT ϕ (A∗ (T )). u).3 Compared with Problem 9. and p(t) < 1 for all t in [0.9 CONTROL THEORY: BASIC TECHNIQUES 75 Next look at condition (iii) which reduces to A ≥ 0. ˙ p(T ) = SA (T . (This was not an option when we required p(10) = 0.6 are found. The constants A and B are determined ˙ from the boundary conditions. x ∗ (1) = 0. λ(t)) = 0.7.4. and (v) in the answer to Problem 9.1λ = −(H c )x (t. p) is concave in (A. also see that ϕ (A 9. But then 0 = 5A(e0.2 With A as the state variable. 10) such that p(t ∗ ) = 1. (We assume that λ0 = 1. p(t)) = 0. 10] is again easily seen to be impossible. Thus A > 0 and x ∗ (5) = 0. with solution x ∗ (t) = 5Ae0. u. In particular. This implies that H (t. or k ∗ (t) = ( 2 t + 1)2 . u∗ (t)). A. and the same solutions for x ∗ (t) and u∗ (t) as in Problem 9. u∗ (t). w is a constant. we √ have now included a scrap value in the objective function. p(t)) = −rU (rA∗ (t) + w − u∗ (t))e−ρt . a set of sufﬁcient conditions for optimality is then (assuming interior solution in (i)): (i) (ii) (iii) (iv) H3 (t.10.5 − 1). u. Using u∗ (t) = A∗ (t). which for t = 5 yields the contradiction x ∗ (5) < 0.5. so the following conditions are sufﬁcient for optimality: (i) (ii) (iii) (H c )u = −2 − 2u∗ (t) + λ = 0. We differentiate the expression for p(t) in (i) w. Suppose p(t) > 1 for all t in [0.r. this gives ˙ ˙ ˙ ¨ ˙ ˙ U (rA∗ + w − A∗ )(r A∗ − A∗ )e−ρt − ρU (rA∗ + w − A∗ )e−ρt = −rU (rA∗ + w − A∗ )e−ρt ¨ ˙ Multiplying by −eρt and rearranging gives A∗ − r A∗ + (ρ − r)U /U = 0.t.
Atle Seierstad. x. In particular.1. From (i) we get p(t) = 3 2 −t We see that the strictly decreasing function p(t) is equal to 1 at t = 1/2. 1] We have found the optimal solution because H (t. and thus p(t) = −t/(t ∗ + 2) + (2t ∗ + 2)/(t ∗ + 2). On (t ∗ .10.76 9 CONTROL THEORY: BASIC TECHNIQUES with a different t ∗ ).10. Hence. and it is valid also in this case. u).) 1 9. We now use (ii) to determine t ∗ : 2t ∗ − 8 = t∗ + 2 1 ∗ 2t 10 5 = ∗ t +2 +1 from which it follows that t ∗ = 9. u. see the answer in the book. 1/2] if t ∈ (1/2. we have 1 p(t) = −t + 2 − 2 x ∗ (1) (iii) Since x ∗ (0) = 1/2 and 0 ≤ x ∗ ≤ 1. u. u∗ (t) = 1 if p(t) > 1 and u∗ (t) = 0 if p(t) < 1. Condition (i) 4 is replaced by p(t) = −1 ˙ 1 1 ¯ and p(1) = S (x ∗ (1)) = − 2 (x ∗ (1) − 2) = 1 − 2 x ∗ (1) (ii) 1 From (ii) we see that p(t) = −t + C and since p(1) = 1 − 2 x ∗ (1). and Peter Hammond 2008 . Hence u∗ (t) = Since x ∗ (t) = u∗ (t) and x(0) = 1/2.1. ¯ (b) The scrap value function is now S(x) = − 1 (x − 2)2 . then according to (B) in Theorem 9. x. we have p(t) = p(0) − t. The rest is routine. and p(t) is the adjoint function. (Again the Arrow condition is satisﬁed. Condition (iii) therefore gives ˙ 1/4 ≤ p(1) ≤ 3/4 Since p(t) = −1 for all t. p(t)) and S(x) = x/2 are concave (in fact linear) functions of (x. p(10) = (2t ∗ − 8)/(t ∗ + 2). Knut Sydsæter. it is clear that 1/2 ≤ x ∗ (1) ≤ 3/2. 1/2] if t ∈ (1/2. p) = x −u+pu = x +(p −1)u.4 (a) This is a problem with scrap value function S(x) = 2 x. We use Theorem 9. 1] 1 0 if t ∈ [0. p(0) = p(1) + 1 and ˙ 5/4 ≤ p(0) ≤ 7/4 © Arne Strøm. the Hamiltonian is H (t. 10] we again get p(t) = −t/(t ∗ + 2) + D and 1 = p(t ∗ ) = −t ∗ /(t ∗ + 2). With p0 = 1. p(t) = − ˙ ∂H ∗ = −1 and ∂x p(1) = S (x ∗ (1)) = 1 2 (i) Moreover. which implies that D = (2t ∗ + 2)/(t ∗ + 2). Let (x ∗ (t).10. but the Hamiltonian is as in (a).) If (x ∗ (t). u∗ (t)) be an admissible pair. we get ˙ x ∗ (t) = t + 1/2 1 if t ∈ [0. u∗ (t)) is an optimal pair in the problem. (Note that the scrap value function is not to be included in the Hamiltonian.
˙ From (ii) we get p(t) = Cet for an appropriate constant C. if t ∈ (t ∗ . Atle Seierstad. t ∗ ] if t ∈ (t ∗ . x. x ∗ (0) = x0 . (ii) p(t) = −∂H ˙ (iii) x ∗ (t) = −x ∗ (t) + u∗ (t). The transversality condition then 1 1 1 3 1 1 gives t ∗ = p(1) = 1 − 2 x ∗ (1) = 1 − 2 2 + t ∗ = 4 − 2 t ∗ . We know that p(t) = p(0) − t = p(1) + 1 − t. 1]. 9. so p(1) = p(t) + t − 1 for all t. A different scrap value function would usually have given another solution. and Peter Hammond 2008 . u) and the scrap value function S(x) = −x 2 is concave in x.5 (a) The Hamiltonian H (t.9 CONTROL THEORY: BASIC TECHNIQUES 77 Condition (ii) is still valid. ∗ /∂x = p(t) and p(T ) = −S (x ∗ (T )) = −2x ∗ (T ). u∗ (t)) is therefore exactly as in (a). The following conditions are therefore sufﬁcient for optimality: 1 (i) H3 (t. p) = −2u∗ (t) + p(t) = 0. and u∗ (t) = 1 0 if t ∈ [0. p) = −u2 − px + pu is concave in (x. Since p(t ∗ ) = 1. and since p(T ) = −2x ∗ (T ). p(t) = − 2T 3e2T − 1 3e − 1 3e − 1 x ∗ (T ) = (b) We have V (x0 . The optimal pair (x ∗ (t). so there exists a unique number t ∗ between 0 and 1 such that p(t ∗ ) = 1. © Arne Strøm. t ∗ ]. but this is accidental. we get 1 p(t) = −2x ∗ (T )et−T and also u∗ (t) = 2 p(t) = −x ∗ (T )et−T . x ∗ (t) = 1/2 + t 1/2 + t ∗ if t ∈ [0. Knut Sydsæter. which means that t ∗ = 2 .10. T ) = − 0 T (u∗ (t))2 dt − (x ∗ (T ))2 = − T 0 4x 2 = − 2T 0 2 (3e − 1) It follows that 1 2t e + e2T 2 2 4x0 (3e2T − 1)2 4x 2 = − 2T 0 2 (3e − 1) T 0 e2t dt + e2T 2x 2 3 2T 1 e − = − 2T 0 2 2 3e − 1 ∂V 4x0 = p(0) and = − 2T ∂x0 3e − 1 2 12x0 e2T ∂V = ∂T (3e2T − 1)2 We see from the solutions in (a) that p(T ) = −2x ∗ (T ) and u∗ (t) = −x ∗ (T ). The differential equation x ∗ (t) = −x ∗ (t) + u∗ (t) = −x ∗ (t) − x ∗ (T )et−T ˙ has the general solution 1 x ∗ (t) = De−t − 2 x ∗ (T )et−T 1 3 From x ∗ (T ) = De−T − 2 x ∗ (T ) we get D = 2 x ∗ (T )eT . so H ∗ (T ) = −u∗ (T )2 + p(T )(−x ∗ (T ) + u∗ (T )) = 3x ∗ (T )2 = ∂V /∂T . so u∗ (t) = 2 p(t). u. we get p(1) = t ∗ . The initial condition x ∗ (0) = x0 gives 1 3 1 1 D − 2 x ∗ (T )e−T = 2 x ∗ (T )eT − 2 x ∗ (T )e−T = 2 x ∗ (T )(3eT − e−T ) = x0 so 3x0 e2T 3 2x0 2x0 eT and D = x ∗ (T )eT = 2T = 2T 3e − 1 2 3e − 1 3eT − e−T Thus the optimal solution is 4x0 et x0 (3e2T −t − et ) 2x0 et u∗ (t) = − 2T . x ∗ (t) = . u∗ (t). 1] To determine t ∗ we use the transversality condition. x ∗ (t).
so x ∗ (t) = (A/2r)ert +at +B.1x ∗ (t) − u∗ (t). so (i) (ii) (iii) x ∗ (t) = A rt (e − 1) + at 2r (iv) 1 1 1 From (ii). x ∗ (t) = 10e−0.11 9. and u∗ (t) follow easily. and so A ≥ 1/2. x ∗ (t) = 0.2t  ≤ M for all t ≥ 0.1t e−0. and Peter Hammond 2008 . with x Condition (iv) requires limt→∞ x ∗ (t) = limt→∞ [(10 − 5/A)e0. This obviously requires 10 − 5/A ≥ 0. The solution of this linear u ˙ ∗ (0) = 10. x ∗ .1t + 5e−0. i.11. From (iii)(c) we see that we must have A ≥ 0. Then from (iv). λ(t)) = 1/u∗ (t) + λ = 0.e.1t /A. u∗ ) to solve the problem: ∂(H c )∗ /∂u = 0 .2t (−10e−0.1t /A) = −(10A − 5) − 5e−0. so λ(t) = Aert . x ∗ (0) = 10.1t . (iv) x ∗ (t) = 0. It remains to check that the conditions in (iii) are satisﬁed.1t e−0.2t  =  2 e0. The following conditions are therefore sufﬁcient for an admissible pair (x ∗ .1t e−0.6 The current value Hamiltonian H c (t. and thus λ(t) = Ae0. is easily seen to be x ∗ (t) = (10 − 5/A)e0. (i) (ii) (iii) λ(t)e−0. But then x ∗ (t) = u∗ (t)−x ∗ (t)+a = 2 Aert +a.10. x ∗ (0) = 0. λ(t) = −2(x ∗ (t) − u∗ (t)). λ(t)) = −0. 9.2λ = −(H c )x (t. ˙ λ(t) − rλ = −∂(H c )∗ /∂x = 2(x ∗ (t) − u∗ (t)) + λ(t). u∗ .2t  = 1 1 ≤ 2 for all t ≥ 0. (a) limt→∞ λ(t)e−0. ˙ λ(t) − 0.1t .2t (−x ∗ (t)) ≥ 0. (iii)(b) is also satisﬁed. (iii)(a) is satisﬁed because we 1 1 have limt→∞ 2 e0. with λ(t) = 2 e0.1t + 5e−0. i. x. 1 Then u∗ (t) = 2e−0.1t . (b) There exists a number M such that λ(t)e−0.1t /A. for some constant A.1λ. A ≤ 1/2.1 The current value Hamiltonian H c = ln u − λ(0. Solving for A yields 2arT A = − rT e (1 + r) − 1 The expressions for λ(t). ˙ The initial condition x ∗ (0) = 0 gives B = −A/2r. The scrap value function S(x) = −x 2 is concave in x.2t The limit of this expression can be ≥ 0 only if 10A − 5 ≤ 0.1x ∗ (t) − e−0. Condition (i) yields ∗ (t) = 1/λ(t) = e−0. where A is a constant. We have therefore found the solution. Finally. See the answer in the book.2t = 0.1t /A. First. x ∗ .2t (−x ∗ (t)) = Ae0. u∗ . Thus we must have A = 1/2.78 9 CONTROL THEORY: BASIC TECHNIQUES 9. x ∗ (t). λ(t) = 2 e0. so the following conditions are sufﬁcient for optimality: (H c )u (t.1t ≥ 0 for all t ≥ 0. and λ(T ) = −2x ∗ (T ). and u > 0. Knut Sydsæter. differential equation. and so (iv) with t = T yields − 2 AerT = (A/2r)(erT −1)+aT . limt→∞ x ∗ (t) ≥ 0. ˙ ˙ From (ii) we get λ(t) = 0.2t (−(10 − 5/A)e0. u).1t . referring to (iii)(a).1t 2e © Arne Strøm. 1 −0. ˙ ˙ From (i) and (ii) it follows that λ(t) = rλ.e.1t − 5e−0. x ∗ (T ) = − 2 λ(T ) = − 2 AerT . u. Atle Seierstad. u). λ) = −(x − u)2 + λ(u − x + a) is concave in (x. However. x ∗ (t) = u∗ (t) − x ∗ (t) + a.1t /A] ≥ 0.1λ(t). (c) There exists a number t such that λ(t) ≥ 0 for all t ≥ t .1x − u) is concave in (x. Since λ(t)e−0. Then (i) yields 1 1 x ∗ (t)−u∗ (t) = − 2 Aert .1t ) = −5 limt→∞ e−0.
and so λ(t) = Cet + 2. and we propose that u∗ (t) = 1 on [0. ∞). ˙ λ(t) − λ(t) = −(H c )x (t. Note that λ(t)e−t = 2e−t = 1 when t ∗ = ln 2. (The answer in the book is wrong.11. ˙ λ(t) − λ(t) = −∂(H c )∗ /∂x = −(2 − u∗ (t)) − λ(t)u∗ (t)e−t . u∗ (t) = 0 on (ln 2.1 (a) The current value Hamiltonian H c = ax − 2 u2 + λ(−bx + u) is concave in (x. The Arrow concavity condition holds in this problem and this yields optimality also in the inﬁnite horizon case. u∗ (t)) to be optimal: (i) (ii) (iii) u = u∗ (t) maximizes H c (t. 0] and x ∗ (t) = e − 1 in (0. u∗ .4 The current value Hamiltonian H c = (x − u) + λue−t is concave in (x. keeping in mind that p(t) = λ(t)e−t . and with x ˙ dx e −t − ln 2 x ∗ (0) = 1 this gives x ∗ (t) = e1−e . It follows that u∗ (t) = 1 in [−1. Then λ(t) = 2. x ∗ (t) ≥ 1 for all t.4. which is clearly 0. On (t ∗ . λ(t)) = 2x ∗ (t) + x ∗ (t)(e−t λ(t) − 1)u for u ∈ [0. u. and the expression in (A) reduces to limt→∞ 2e−t (0 − e1/2 ). ∞). 1]. On [0. λ(t)e−t  ≤ M for all t ≥ 0. ln 2]. ˙ From (ii) it follows that λ(t) = Aet + 1. ∞). 0] and u∗ (t) = 0 in (0. We have obtained the same answers as in the book. ∞). λ(t) ≥ 0 for all t ≥ t . and Peter Hammond 2008 . From (i) we see that u∗ (t) = 1 if et < 1.) 9. ∞). Then λ(t)e−t < 1 on some maximal interval (t ∗ .11. so the following conditions are sufﬁcient for optimality: © Arne Strøm. or λ(t)e−t = C + 2e−t . Since λ(ln 2) = 2 we ﬁnd that C = 2e−1/2 . x ∗ (0) = 1. The problem is not affected by introducing the requirement that limt→∞ x ∗ (t) ≥ 0. ˙ On this interval u∗ (t) = 0 and λ(t) − λ(t) = −2. x ∗ .12 1 9.11. The conditions in (iii) are obviously satisﬁed. ˙ ∗ (t) = 0 on (ln 2. u). 9. x ∗ (−1) = 0. ln 2].3 are trivially satisﬁed. so ln x ∗ (t) = −e−t + A. so A = 0. so we have found the optimal solution. and the following conditions must be satisﬁed for (x ∗ (t). Then from (iv). ∞) we have x ∗ (t) = e1−e = e1−1/2 = e1/2 . Then (B) and (C) in Note 9. x ∗ (t).9 CONTROL THEORY: BASIC TECHNIQUES 79 9. (a) limt→∞ λ(t)e−t (−x ∗ (t)) ≥ 0. ln 2]. ˙ On [0. ∗ (t)/x ∗ (t) = −t dt. Then a(t) dt = (e−t − 1) dt = −e−t − t and λ(t) = Cee −t +t + ee −t +t e−e −t −t (−1) dt = Cee −t −t +t − ee −t +t e−e e−t dt = Cee −t −t +t − et because the last integral is obviously equal to e−e . which ∗ ∗ tends to 0 as t → ∞ only if C = 0.12.t. We use formula (5.6) with a(t) = e−t − 1 and b(t) = −1. It does not change the problem if x(∞) ≥ 0 is added as a restriction in the problem. we get x ∗ (t) = e − e−t in [−1. u). Knut Sydsæter. x ∗ (t) = u∗ (t)x ∗ (t)e−t . Then x ∗ (t) = x ∗ (t)e−t on [0. So the following conditions are sufﬁcient for optimality: (i) (ii) (iii) u = u∗ (t) maximizes x ∗ (t) + e−t (λ(t) − et )u for u ∈ [0. We guess that p(t) = e−t λ(t) = e−t (Aet + 1) = A + e−t → 0 as t → ∞. 1].2 The current value Hamiltonian (with λ0 = 1) is H c = x(2 − u) + λuxe−t . (iv) x ∗ (t) = u∗ (t)e−t . and u∗ (t) = 0 if et > 1. ln 2] we have λ(t) + (e−t − 1)λ(t) = −1.t. Looking at (i) we see that ˙ u (t) = ∗ We guess that p(t) = λ(t)e−t → 0 as t → ∞. Atle Seierstad. (b) There exists a number M s. (c) There exists a number t s. λ(t)) = −1. ˙ 1 0 if λ(t)e−t > 1 if λ(t)e−t < 1 Since x ∗ (t) ≥ 0 and x ∗ (0) = 1.
For such x(t). λ(t)) = 2x ∗ (t) − 2 − λ. But 0 then ∂V /∂x0 = 0 ae −(b+r)t dt = a/(b + r) = λ(0). © Arne Strøm. x ∗ (0) = 10. so the equilibrium point 2 0 Gx Gλ (1.3 (a) With H c = ln C + λ(AK α − C). condition (iii) is evidently satisﬁed.80 9 CONTROL THEORY: BASIC TECHNIQUES (i) (ii) (iii) (iv) (H c )u (t. Knut Sydsæter.2 From the answer to Problem 9. √ √ 9.12. the equilibrium point is a saddle point. we ﬁnd x ∗ = Ae(1+ 2 )t + (1 − A)e(1− 2 )t . and x = x ∗ and λ must satisfy (∗) The equilibrium point is (x. For sufﬁcient conditions. u∗ (t). u∗ . c ) (t.12. x ∗ (t) = x ∗ (t) − u∗ (t). ¯ ¯ Fx Fλ −b 1 (b) The Jacobian matrix of (∗) is = . then the value of the criterion is −∞. λ). ∂(H c )∗ /∂C = 0 implies 1/C ∗ − λ = 0. then the objective function is −∞. Then x ∗ = e(1− 2 )t and λ(t) = − 2 e prove sufﬁciency.9. see Note 9. u).t. note that if limt→∞ x 2 (t)e−2t = limt→∞ (x(t)e−t )2 = 0.1√with x(0) = 1. λ) = (a/b(b + r). with eigenvalues −b and b + r. λ(t)) = −u∗ (t) + λ(t) = 0. u∗ (t)) must satisfy It follows that the optimal pair x x = F (x. λ − rλ = −∂(H c )∗ /∂K = ∗ )α−1 or.) 1/20 −1 (b) The Jacobian matrix evaluated at (400. ˙ x = −bx + λ = F (x. λ) = 2x − 2 The Jacobian matrix of (∗) is (∗) Fx Fλ 1 1 = . x ∗ . ∗ (t). Since Gx Gλ 0 b+r they are real and of opposite signs. a/(b + r). Atle Seierstad. limt→∞ λ(t)e−rt (x(t) − x ∗ (t)) ≥ 0 for all admissible x(t). so the −1/400 0 equilibrium point is a saddle point. ˙ λ(t) − rλ(t) = −(H c )x (t. x ∗ . and thus x ∗ (t) = −bx ∗ (t) + λ(t). Of course. λ) ˙ From (i) we get u∗ (t) = λ(t).3. λ(t)) = −u∗ (t)−λ = 0. we can restrict attention to admissible x(t) satisfying limt→∞ x(t)e−rt ≥ 0.12. To prove sufﬁciency.4 (a) The current value Hamiltonian H c = −(x−1)2 − 2 u2 +λ(x−u) is concave in (x. ˙ ˙ λ = (b + r)λ − a = G(x. The eigenvalues are −1 and 2. (The ﬁrst equation is part of the problem. equivalently. λ(t)) = −a + bλ(t).r. x ∗ (t) = −bx ∗ (t) + u∗ (t). The differential equation the maximum condition reduces to (i) (H u ˙ ˙ for λ is (ii) λ(t) − λ(t) = −(H c )x (t. because if the limit is < 0. (c) V = 0 ∞ 1 [ax ∗ (t) − 2 (u∗ (t))2 ]e−rt dt = ∞ ∞ ax0 e−(b+r)t dt + terms that do not depend on x0 . λ/λ = r − αA(K ∗ )α−1 . then the second equation in (∗) holds. 1 9. To if and only if A = 0. and √ √ √ −2t tends to 0 as t → ∞ λ = A 2 e( 2+1)t − (1 − A) 2 e(1−√ 2 )t . We can therefore restrict attention to admissible solutions for which limt→∞ x(t)e−t = 0. u∗ . x ∗ (t). The determinant is −2. −1) is a saddle point. Since u ∈ . It follows that if K = K ∗ (t) > 0 and C = ˙ −λαA(K C ∗ (t) > 0 solve the problem. λ) = x − u = x + λ ˙ ˙ λ = G(x. u∗ (t). 40) is J = and J  = −1/400 < 0. x ∗ (t). Taking ˙ ˙ ˙ ln of each side and differentiating w. Then condition (iii) is satisﬁed and we have found the optimal solution. and Peter Hammond 2008 . The adjoint variable √ √ √ (1− p(t) = λ(t)e √ 2 )t (with p(t) = − 2 e(−1− 2 )t ). Also. 9. (c) If K0 = 100 and T = ∞ the solution curve converges towards the equilibrium point. or C ∗ λ = 1.11. t yields C ∗ /C ∗ + λ/λ = 0.
it follows that x(t) = −(1/2)e−t + 1 → 1 and λ(t) = e−t − 1 → −1 as t → ∞. 1]. p1 (T ) = 0. then u∗ (t) = 0 and x1 (t) = 0 with x1 (T −2/a) = x1 eaT −2 . so integration gives x2 (t) = ax1 eaT −2 t + B. u∗ ) 1 2 to be optimal: (i) (u1 . ˙∗ ∗ 0 ∗ 0 If follows that x1 (t) = x1 eat . x2 (t) = ax1 eaT −2 . 1 2 ˙ (ii) p1 (t) = −(Hx1 )∗ = −1/2. Moreover. g(x2 ) = F (x2 . The general solution of this equation is x(t) = Ae−t + Be2t + 1.2. Thus p (t) strictly decreases from we get t 2 2 5 © Arne Strøm. In fact. a(1 − u 1 2 2 ∗ 0 ∗ 0 If t ∈ (T −2/a. For A = −1/2. 10. 1 ∗ = T − 2. for which limt→∞ x(t)e t→∞ x(t)e 10 Control Theory with Many Variables 10. and Peter Hammond 2008 . x2 . Note that the integrand in the 1 objective function can be written (−x 2 + 2x − 1 − 2 u2 )e−t . 1]. with the boundary condition ˙∗ ∗ 0 ∗ 0 0 x2 (T − 2/a) = x2 determining B. Then g(λx1 + (1 − λ)x2 ) ≥ F (λx1 + (1 − λ)x2 . then u∗ (t) = 1 and then x1 (t) = ax1 (t) with x1 (0) = x1 . ¨ ˙ and x(0) = 1/2 yields B = −A − 1/2. Looking 1 at (i) we see that u∗ (t) = 1 for p1 (t) > 1 and 0 for p1 (t) < 1. u2 ). ˙∗ 0 ∗ 0 Moreover.2 Suppose T < 2/a. so x(t) = Ae−t − (A + 1/2)e2t + 1 Using λ = x − x.11.1 is satisﬁed. Thus p1 (t) strictly decreases from a level higher than 1 at t = 0 to 0 at t = T . so x1 (t) = x1 eaT −2 . Note that λu1 + (1 − λ)u2 ∈ Uλx1 +(1−λ)x2 . It remains to prove that condition (d) in Theorem 9. If t ∈ [0. we have x2 (t) = ˙∗ ∗ (t))x ∗ (t) = 0.1 10. u2 ) = λg(x1 ) + (1 − λ)g(x2 ). T − 2/a]. Note that from x(t) = −(1/2)e−t + 1 and λ(t) = e−t − 1 we ﬁnd that (x. we ﬁnd the corresponding solution for λ. let x1 . The following conditions are sufﬁcient for the admissible quadruple (x1 . x1 (T − 2/a) = x1 eaT −2 . The Hamiltonian H = 2 x1 + 1 x2 − u1 − u2 + p1 u1 + p2 u2 is linear 5 ∗ ∗ and hence concave. Knut Sydsæter. we get x2 (t) = x2 + ax1 eaT −2 (t − (T − 2/a)). u1 ). Atle Seierstad. u∗ .2. ˙ 1 1 We see immediately from (ii) that p1 (t) = 2 (T − t) and p2 (t) = 1 (T − t). u2 in Ux such that g(x1 ) = F (x1 . 1) and choose u1 . p2 (t) = −(Hx2 )∗ = −1/5.2 ∗ ∗ 0 10.10 CONTROL THEORY WITH MANY VARIABLES 81 ˙ (b) Solving the ﬁrst equation in (∗) for λ yields λ = x − x. ˙ λ(t) = −2Ae−t − (A + 1/2)e2t − 1 If A = −1/2 we see that x(t) and λ(t) both diverge as t → ∞. u∗ (t)) maximizes (p1 (t) − 1)u1 + (p2 (t) − 1)u2 for u1 ∈ [0. 10. Inserted into the second ˙ ¨ ˙ equation in (∗) yields x − x − 2x = −2. Since p1 (t ∗ ) = 1 when 2 (T − t ∗ ) = 1. so we introduce two adjoint variables p1 and p2 .3 (a) There are two state variables x1 and x2 . There are 1 also two control variables u1 and u2 . Note that p1 (0) = 2 T > 1 5 since T > 5. In particular. p (0) = 1 T > 1 since T > 5. u2 ) = (u∗ (t). p2 (T ) = 0. T ]. x2 .1. u2 ∈ [0. so we need only consider admissible x(t) −t ≥ 0. λ(t)) satisﬁes λ = −2x + 1.3 To prove that g is concave. λ ∈ (0. because if lim −t < 0 the objective function is −∞. and so x ∗ (t) = x 0 . λ) = (x(t). u1 ) + (1 − λ)F (x2 . λu1 + (1 − λ)u2 ) ≥ λF (x1 . and then λ = x − x. In the same way.
Since p2 (t ∗∗ ) = 1 when 1 (T − t ∗∗ ) = 1. 0) ⇐⇒ T − t ≷ 2c/ab Putting all this together (note that the assumption T − c/a > T − 2/b in the problem implies c/a < 2/b. 0) = 0. u∗ . 0) ≷ ϕ(0. according to ∗ ∗ Theorem 10. u2 ) = (u∗ (t). 0) if t ∈ (T − c/a. (In some cases there may be more than one maximum point. 0) ⇐⇒ a(T − t) − c ≷ 0 ⇐⇒ t ≶ T − c/a ϕ(1. 0) ≷ ϕ(0. 1) ⇐⇒ 1 2 ab(T − t)2 − c ≷ a(T − t) − c ⇐⇒ t ≶ T − 2/b 2c/ab ⇐⇒ t ≶ T − ϕ(0. T − 2] if t ∈ (T − 2. The control region is U = {(u1 . Looking at (i) we see that u∗ (t) = 1 for p(t) > 1 and 0 for 2 p(t) < 1. The following conditions are ∗ ∗ sufﬁcient for a quadruple (x1 . 0). x2 (0) = x2 . x2 (t)) = 2. and ϕ(0. t = T − c/a. ϕ(1. In the chains of equivalences below it is understood that either the top inequality holds all the way or the bottom inequality holds all the way. The Hamiltonian and the differential equations for p1 and p2 are the same as in (a). and condition (i) in (a) implies that u∗ (t) = u∗ (t) = 1 for all t ∈ [0. x2 (t) = au∗ (t) + bx1 (t). p2 (T ) = 0. T ] ∗ ∗ The corresponding values for (x1 (t). u1 + u2 ≤ 1}. 0). 1 2 (ii) p1 (t) = −(Hx1 )∗ = −bp2 (t). (b) The scrap value function is S(x1 . 1 we get p1 (t) = 2 b(T − t)2 . 1).82 10 CONTROL THEORY WITH MANY VARIABLES a level higher than 1 at t = 0 to 0 at t = T . and thus 2 1 ∗ ∗ x1 (t) = x2 (t) = t.2. To ﬁnd the optimal controls we must for each t in [0. x2 (t)) = 3 and p2 (T ) = S2 (x1 (t). and t = T we choose the values so that the control functions © Arne Strøm. u2 (t)) = (0. For t ∈ [0. for t = T − 2/b. 0 ≤ u2 . x1 (0) = x1 . we ﬁnd that a set of optimal controls are ⎧ ⎪ (1. 1 1 Then p1 (t) = 3 + 2 (T − t) and p2 (t) = 2 + 5 (T − t). (1. ˙ ˙ ∗ 0 ∗ ∗ 0 (iii) x1 (t) = au∗ (t). The transversality conditions are changed. u2 ) : 0 ≤ u1 . Therefore p1 (t) = −b(T − t). the optimal values of u1 and u2 are uniquely determined. 0) if t ∈ [0. x2 ) = 3x1 + 2x2 . we get t ∗∗ = T − 5. 0) = 2 ab(T − t)2 − c. √ and then c/a < 2c/ab < 2/b). T ] solve the problem max ϕ(u1 . but even then at least one corner will be a maximum point. 1) = a(T − t) − c. (u1 . we have p1 (T ) = S1 (x1 (t). We see that (with t < T ) ϕ(1. Knut Sydsæter.5 (C)(c’). u2 ) ∈ U (∗) The control region U is the closed triangular region with corners at (0.4 The Hamiltonian H = x2 + c(1 − u1 − u2 ) + p1 au1 + p2 (au2 + bx1 ) is linear and hence concave. u2 ) = max 1 2 ab(T − t)2 − c u1 + a(T − t) − c u2 s. u2 ) ∈ U . T − 2/b] ⎨ ∗ ∗ (u1 (t). u∗ ) to be admissible and optimal: 1 2 (i) (u1 . p1 (T ) = 0. 10. ˙∗ ˙∗ 1 2 ˙ From (ii) we see that p2 (t) = T − t. and (0. T − c/a] (∗∗) ⎪ ⎩ (0. We conclude that 5 u∗ (t) = 1 1 0 if t ∈ [0. T ] we see that p1 (t) and p2 (t) are both greater than 1. T ] (For values of t in the corresponding open intervals. T ] u∗ (t) = 2 1 0 if t ∈ [0. 1) if t ∈ (T − 2/b. Integrating and using p1 (T ) = 0. x2 (t)) are easily worked out. 1) ≷ ϕ(0. In fact. Since ϕ is a linear function it will attain its maximum over U at one of those corners. and Peter Hammond 2008 .1.) Note that 1 ϕ(0. Atle Seierstad. u∗ (t)) maximizes (ap1 (t) − c)u1 + (ap2 (t) − c) for (u1 . See the answer in the book.t. x2 . T − 5] if t ∈ (T − 5. T ]. p2 (t) = −(Hx2 )∗ = −1.
for t in (t∗ . for t in (t∗ . t∗ ]. T ] ⎧ 0 ⎨ x1 ∗ 0 x1 (t) = t − t∗ + x1 ⎩ 0 t∗∗ − t∗ + x1 for t in [0.2. u. x2 . 10. 1 with p1 (0) = T (1 − 2 bcT ) and maximum at t1 = T − 1/bc (since p1 (t1 ) = 0).) The corresponding values of x1 (t) and x2 (t) follow from (iii) and (∗). The graph of p is shown in Figure 10. p1 . but the expressions on the interval (T − c/a. t∗ ]. such that 0 < t∗ < t∗∗ < T and p1 (t∗ ) = p1 (t∗∗ ) = 1. x2 . for t in (t∗∗ . p2 ) = x1 − cx2 + u0 − u + p1 u + p2 bx1 . Atle Seierstad.10 CONTROL THEORY WITH MANY VARIABLES 83 ∗ ∗ become leftcontinuous. p1 (t). p1 (t) < 1 ⇒ u∗ (t) = 0. since p1 (T ) = p2 (T ) = 0. Note that p1 (t) is a quadratic polynomial in t. The maximum value of ˙ p1 is p1 (t1 ) = 1/2bc. p2 (T ) = 0 ˙ From (i) we see that p1 (t) > 1 ⇒ u∗ (t) = u0 . and p1 (t) = −1−bp2 (t) = −1−bc(t −T ). p1 (T ) = 0 ˙ and p2 (t) = −∂H ∗ /∂x2 = c.2. p 1 t t∗ t∗∗ T Figure 10. u∗ ) is optimal provided for each t in [0. t∗∗ = T − 1 − 2bc bc bc bc bc ∗ The optimal control u∗ and the corresponding x1 (t) are given by t∗ = T − ⎧ ⎨0 u∗ (t) = 1 ⎩ 0 for t in [0. u). t∗∗ ] for t in (t∗∗ . ∗ ∗ ∗ ∗ (i) u = u∗ (t) maximizes H (t. which gives p1 (t) = T −t − 2 bc(t −T )2 = 1 1 − 2 bct 2 + (bcT − 1)t + T − 2 bcT 2 . (The other cases are much simpler.) 1 We then get p1 (0) = T (1 − 2 bcT ) < 0. and Peter Hammond 2008 for t in [0. (ii) p1 (t) = −∂H ∗ /∂x1 = −1 − bp2 (t). so we introduce two adjoint variables p1 and p2 . since p1 (T ) = 0.5 There are two state variables x1 and x2 . t∗∗ ] . u0 ] (where does not depend on u).1. x2 (t). Now. T ] This gives ∗ The expression for x2 (t) is somewhat messy: ⎧ 0 0 ⎨ bx1 t + x2 ∗ 1 1 0 0 x2 (t) = 2 bt 2 + b(x1 − t∗ )t + x2 + 2 b(t∗ )2 ⎩ 1 0 0 b(t∗∗ − t∗ )t + bx1 t + 2 b[(t∗ )2 − (t∗∗ )2 ] + x2 © Arne Strøm. for t in (t∗ . T ]. x1 (t).) The Hamiltonian is concave in (x1 . x1 . (We have p0 = 1. 1 1 p1 (t) = 2 bct 2 − (bcT − 1)t − T + 2 bcT 2 + 1 = 0 ⇐⇒ t = T − 1√ 1 ± 1 − 2bc bc bc 1√ 1√ 1 1 − + 1 − 2bc . We restrict our attention to the main case bcT > 2 and 2bc < 1. Knut Sydsæter. 1 ˙ p2 (t) = c(t −T ). u. from (ii).5. x2 . T ] . The Hamiltonian is H (t.5 There will be two points t∗ and t∗∗ . so according to Theorem 10.2 the ∗ ∗ admissible triple (x1 .2. p1 (t1 ) = 1/2bc > 1. t∗ ]. Moreover. T − 2/b) get very messy. p2 (t)) = x1 (t) − cx2 (t) + u0 − u + p1 (t)u + ∗ ∗ p2 (t)bx1 (t) = + p2 (t)bx1 (t) + (p1 (t) − 1)u for u in [0. p1 (T ) = 0. t∗∗ ] for t in (t∗∗ .
x ∗ (0) = x0 ≥ 0. y. u∗ (t)) is optimal. then u∗ (t) ≡ 1 and y ∗ (t) ≡ t. 1]. so according to Note 10. If (x ∗ (t). x. x ∗ (0) = 1. ∞). y ∗ (2) = 1. ˙ From (ii) we get p(t) = (1/r)e−rt + C.1. we see that u = u∗ (t) maximizes (1/r)e−rt (e−t − r)u for u ∈ [0.3. and then x ∗ (t) − 1 = y ∗ (t) = t for t ≤ t ∗ and x ∗ (t) − 1 = y ∗ (t) = t ∗ for t > t ∗ . and so p2 = −1/2 and t ∗ = 1. y ∗ (t). and then we see that (draw a picture!) u∗ (t) = 1 0 if t ∈ [0. so we have found a solution: u∗ (t) = 1 0 if t ≤ 1 . so p(t) = (1/r)e−rt . y ∗ (0) = 0. ¯ ¯ we must have 3/2 + p2 ≤ 1. ¯ ¯ ¯ The Hamiltonian is concave in (x. contradicting t ∗ = 0. Note that since x ≥ 0 for all t ≥ 0 and x(0) ≥ 0. The Hamiltonian 1 is H (t. p1 (t) + p2 (t) − 2 = 2 − t + p2 − 2 = t ∗ − t. We have e−t = r when t ∗ = − ln r. p2 (t)) = x ∗ (t) + (p1 (t) + p2 (t) − 2 )u for u in [0. (ii) p(t) = −Hx (t. while x ∗ (t) = x0 + 1 − r in (− ln r.2. we have x(t) ≥ x0 for all t ≥ 0. i. − ln r]. Thus. u∗ (t) = 1 if e−t > r and u∗ (t) = 0 ∗ if e−t < r. With this choice of p(t). we have p1 (t) = 2 − t. y ∗ (2) = t ∗ = 3/2 + p2 .10a). Because p2 = 0. (b) p2 (2) ≤ 0. then (i) u = u∗ (t) maximizes (e−t p(t) − e−rt )u for u ∈ [0.3. because of (iii). then u∗ (t) ≡ 0 and y ∗ (t) ≡ 0. p(t)) = −e−rt . Then we must have C = 0. 1 p2 (t) = − 2 10. 1]. and Peter Hammond 2008 .2 it remains only to verify (10. 2]. ˙ We have p(t) = e−rt /r ≥ 0. where ˙ ˙ ¯ 1 1 ¯ ¯ p2 is a constant. If t ∗ = 0. x ∗ (t). From (iii). Then: (i) For each t in [0. ∞) From (iii) we ﬁnd that x ∗ (t) = x0 + 1 − e−t in [0. (iv) x ∗ (t) = u∗ (t). y. p2 ) = x + (p1 + p2 − 2 )u. where t ∗ = 3/2 + p2 is a constant. It remains to determine p2 and t ∗ . Knut Sydsæter. p2 (t) = p2 .3 10. There is no restriction on x(t) as t → ∞. p1 . In this case p2 = p2 (2) = 0 ¯ ∗ = 3/2. u. we see that limt→∞ p(t)(x0 − x ∗ (t)) = limt→∞ (e−rt /r)(x0 − x0 − 1 + r) = 0. In particular.e. u∗ (t). p1 (t). if t > 1 x ∗ (t) − 1 = y ∗ (t) = t if t ≤ 1 . Atle Seierstad. u = u∗ (t) maximizes 1 H (t. 1]. ∗ /∂y = 0. and since p1 (2) = 0. (ii) p1 (t) = −∂H ˙ p2 (t) = −∂H ˙ (iii) (a) p1 (2) = 0.2. y ∗ . p2 ≤ −1/2 < 0. so we guess that p(t) → 0 as t → ∞. y ∗ (t) = u∗ (t). u. u). We shall use Theorem 10. In fact. t Thus we must have 0 < t ∗ < 2. x ∗ (t). p1 = −1. ¯ Condition (i) gives 1 if t < t ∗ u∗ (t) = 0 if t > t ∗ If t ∗ = 2. which is impossible. ∗ /∂x = −1. ˙ ˙ From (ii). Hence.7 There are two state variables and one control variable.1 The Hamiltonian H = (x − u)e−rt + p(t)ue−t is concave in (x. − ln r] if t ∈ (− ln r. u) (in fact linear). Hence. u∗ ) is an admissible triple which solves the problem. © Arne Strøm. Suppose (x ∗ .3. ˙ (iii) x ∗ (t) = u∗ (t)e−t . which gives y ∗ (2) = 0 < 1. and p2 (2) = 0 if y ∗ (2) < 1. and then y ∗ (2) > 1. 1 if t > 1 p1 (t) = 2 − t.84 10 CONTROL THEORY WITH MANY VARIABLES 10. Since y ∗ (2) ≤ 1.
p(1) = 0. x ∗ (0) = x 0 > 0. so we have found the optimal solution.3. then p1 (0) = −ap2 (0) = −a/r > −1 = p2 (0). ∗ (t) − ap (t)(1 − u∗ (t)). The Hamiltonian is H = x2 e−rt + ∗ ∗ p1 aux1 + p2 a(1 − u)x1 . Then the objective function is 0 x2 (t)e−rt dt = ∞ ∞ 0 (b−r)t 0 − e−rt ] dt = 0 [(a − b)(1/b)x1 [(1/(b − r)]e(b−r)t + e−rt /r]. If (x1 (t). (In the terminology of Example 10. Thus there exists an optimal control.4.2. Then u∗ (t) = 0 for t close to 0.) ˙ ˙ If p1 (0) = p2 (0). Again we must ˙ have D = 0 and then p1 (t) = (a/r 2 )e−rt < (1/r)e−rt = p2 (t). (b) Choose the control u(t) = b/a. so x2 (t) = (a − b)x1 (1/b)ebt + C. 10. The set N(t. which leads to consumption increasing at a constant rate. There is no restriction on x2 (t) as t → ∞. and again we see that p1 (t) > p2 (t) for all t ≥ 0. The Hamiltonian is H = (1 − u)x 2 + pux = x 2 + ux(p − x). Thus (i) implies that ˙ u (t) = ∗ 1 0 if p(t) > x ∗ (t) if p(t) < x ∗ (t) © Arne Strøm. Then we must have C = 0.4.2 the total discounted consumption is 0. ˙ From (iii) we see that x ∗ (t) ≥ 0 so x ∗ (t) ≥ x0 > 0. since r > a.3.10(a)).10 CONTROL THEORY WITH MANY VARIABLES 85 10. 1]. Knut Sydsæter. and if (x ∗ (t).2. 1] is convex and the condition in Note 10. ˙ (iii) x ∗ (t) = u∗ (t)x ∗ (t). This is not the optimal solution.1]} is convex (a rectangle) by the same argument as in Example 10.4.1. u∗ (t)) is optimal. With x2 (0) = 0. x ∗ (0) = 0. with x1 (0) = x1 . p (t) = −e−rt .2. x) = {((1 − u)x 2 + γ . From x1 (t) = a(b/a)x1 (t) = bx1 (t). From (i) we see that 1 if p1 (t) > e−rt /r u∗ (t) = 0 if p1 (t) < e−rt /r ˙ Suppose p1 (0) > p2 (0) = 1/r. so we guess that p2 (t) → 0 as t → ∞. By using 0 [(a − b)(1/b)x1 e 0 < r < b < a we see that the integral diverges. x ∗ (0) = x0 > 0. then ∗ (i) u = u∗ (t) maximizes ax1 (t)(p1 (t) − p2 (t))u for u ∈ [0. Suppose p1 (0) < 1/r. 1] and we seek corresponding 0 0 admissible state variables. Finally. ˙ 0 0 Then x2 (t) = (a − b)x1 ebt . Then p1 (t) = −ap2 (t) = −(a/r)e−rt and so p1 (t) = (a/r 2 )e−rt + D.2 (a) The model is closely related to the model in Example 10. and we see that we must have p1 (t) > p2 (t) ∗ for all t ≥ 0. Let us see if we can have u∗ (t) = 0 for all t. x2 (t). so p2 (t) = e−rt /r. ˙2 (iii) x1 (t) = au ˙ 1 1 1 1 2 From (ii) we get p2 (t) = e−rt /r + C. using (10. and the objective function is 0. Atle Seierstad. u∗ (t)) is optimal then: (i) u = u∗ (t) maximizes x ∗ (t)(p(t) − x ∗ (t))u for u ∈ [0. Note that using the interpretation in Example 10. 1].2 the Arrow condition is satisﬁed. Then u∗ (t) = 1 to the immediate right of t = 0 and p1 (t) = −ap1 (t).4. we ﬁnd that C = ˙ ∞ 0 0 bt −(a − b)(1/b)x1 . we have ∗ ∗ 0 0 p1 (t)(x1 − x1 (t)) = 0 and p2 (t)(0 − x2 (t)) = (1/r)e−rt (−ax1 ) → 0 as t → ∞. Then u(t) ∈ [0.4 10. with 0 < r < b < a. (ii) p(t) = −(Hx )∗ = −2(1 − u∗ (t))x ∗ (t) − p(t)u∗ (t).2.2. in this case the discount factor r is so high that it is optimal with no further investment in the investment sector. we ﬁnd x1 (t) = x1 ebt . and Peter Hammond 2008 . x ∗ (t) = a(1 − u∗ (t))x ∗ (t).2 First we apply Theorem 10.1. ˙2 (ii) p1 (t) = −ap1 (t)u ˙ 2 ∗ ∗ (t)x ∗ (t). u ∈ [0. ux) : γ ≤ 0. As in Example 10. so p1 (t) = p1 (0)e−at > (1/r)e−at > (1/r)e−rt . so x2 (t) = (a − b)(1/b)x1 (e − 1). Then u∗ (t) ≡ 1 and from (iii) we have x2 (t) ≡ 0.2 is satisﬁed because ux ≤ x since u ≤ 1.2. The control region U = [0.
1]. we have to have x 0 p(t) < x ∗ (t) in some interval (t ∗ . Then u∗ (t) ≡ 2 and we get a contradiction to x ∗ (1) = 4. and so p(t) = ˙ 2 − 14t + D. ∗ (t) is always ≥ 1. . which is ≥ 1 in [0. In (3/4. 2]. u (t) = ∗ 1 0 if t < t ∗ if t > t ∗ ∗ and x (t) = ∗ x0 et x0 et ∗ if t < t ∗ if t > t ∗ ∗ In (t ∗ . 1] we have x ∗ (t) = −3. 1/2]. Since x ∗ (0) = 4. (Formally. 1] we have p(t) = −2x ∗ (t) = −2x0 et and p(1) = 0. Since p(1) = 0 we get p(t) = 2x0 (1 − t). so 2x et ∗ (1 − t ∗ ) = x et ∗ . It remains to ﬁnd p(t). and if p(t) < 0.4. ˙ But then p(0) = 2x0 . either 0 or 1. Then we see that if p(t) > 0. t ∗ ] if t ∈ (t ∗ . p(t)) = −2p0 x ∗ (t). In fact.3 in the book: . then one should use u∗ (t) = 2. so with x ∗ (0) = 4.3 The Hamiltonian is H = p0 x 2 + p(1 − u2 ). ˙ Since p(3/4) = 0. so p0 = 1. x ∗ (t) − x ∗ (0) = t x ∗ (τ ) dτ ≥ t (−3) dτ = −3t. p(t) = p = 0. then u∗ (t) ≡ 0. we have x ∗ (t) = −3t + 7. (ii) p(t) = −Hx (t. ) ˙ © Arne Strøm. On the other hand.) From (ii) it follows that p(t) = −2x ∗ (t) < 0. then u∗ (t) ≡ 0 and again we get a contradiction to x ∗ (1) = 4. so it means that x 0 ˙ 0 ˙ x ∗ (t) ≥ x ∗ (0) − 3t = 4 − 3t. 1] ˙ ˙ In [0. t ∗ ] and < 0 in (t ∗ . When u = 2. 1]. ˙ then u∗ (t) ≡ 0 and x ∗ (t) ≡ 1. so t ∗ + 4 = −3t ∗ + 7. x ∗ (t) = t + 4. so t ∗ = 3/4. for those t where p(t) > x ∗ (t) we have u∗ (t) = 1 and p(t) = −p(t) < 0. Suppose p(t) < 0 for all t ∈ [0. Then from (ii). According to the maximum principle. If t ∗ = 0. 2]. 0) and (i) u = u∗ (t) maximizes p0 (x ∗ )2 + p(t)(1 − u2 ) for u ∈ [−1. But at t ∗ we ˙ ∗ ) = x ∗ (t ∗ ). If p > 0. and then x ∗ (1) = 4. u∗ (t)) is an optimal pair. The answer is summed up in the answer in the book. such that (p0 . and since x ∗ (1) = 4. . We have found the optimal solution. if p < 0.4. With t ∗ > 0. 2] we see that x ∗ (t) is never less than −3. 1]. and then x ∗ (1) = 4. If p(t) > 0 for all t ∈ [0. We conclude that the strictly decreasing function p(t) is > 0 in some interval [0. . contradicting p(0) ≤ x(0) = x0 . x ∗ (t) = −3t + 4. Since ˙ ˙ ∗ (t) is increasing from the level x > 0 and p(t) is strictly decreasing and is 0 at t = 1. and u∗ (t) maximizes −pu2 for u ∈ [−1. 10. D = 141/16. u∗ (t). Now p(t) is continuous at t ∗ . Then u∗ (t) = 0 2 if t ∈ [0. x ∗ (t) = t + 4. Since p(3/4) = 0.86 10 CONTROL THEORY WITH MANY VARIABLES We claim that p(t) is strictly decreasing. from which it follows that t ∗ = 1/2. We ﬁnd that have p(t 0 0 p(t) = x0 e1−t in [0. so p(t) = 2x0 et (1 − t). if (x ∗ (t). ˙ (iii) x ∗ (t) = 1 − (u∗ (t))2 . 3t (Note the misprint in line 3 of the answer to Problem 10. Atle Seierstad. For those t where p(t) < x ∗ (t) we have u∗ (t) = 0 and p(t) = −2x ∗ (t) < 0. Knut Sydsæter. ¯ ˙ Thus. and so p(t) = −t 2 −8t +C. p(t)) = (0. Then u∗ (t) = 0 in this interval. and p(t) ≡ −2x0 . x ∗ (0) = x ∗ (1) = 4. 2]. so p(t) is strictly decreasing. ˙ ¯ ¯ ¯ Suppose p0 = 0. assuming p0 = 0 leads to contradictions. and Peter Hammond 2008 . one should use u∗ (t) = 0. C = 105/16. x ∗ (t). there exist a continuous and piecewise differentiable function p(t) and a constant p0 . x = −3 . An optimal control u∗ (t) must maximize p(t)(1 − u2 ) for u ∈ [−1. On [0. then u∗ (t) ≡ 2 and x ∗ (t) ≡ −3. 1]. (In neither case should one ˙ use u∗ (t) = −1!) From (iii) and u ∈ [−1. 1]. 1] we have p(t) = −2x ∗ (t) = 6t − 14. . t ∗ ] we have x ∗ (t) = 1 and since x ∗ (0) = 4. 3/4] we have p(t) = −2x ∗ (t) = −2t −8. In (t ∗ . x ∗ (t) ≡ x0 . so with x ∗ (0) = 4.
The solution of this linear differential equation is p(t) = −1 − p(t) + e ˙ 1 1 1 Be−t + 2 et − 1.1 (a) H = − 2 u2 − x − pu and L = H + q(x − u). we get Be−t ∗ + 1 et ∗ − 1 = 2 − t ∗ . ∗ ∗ 1 or Aet = 1 − 2 e−t . H is concave in (x. u) and h1 and h2 are quasiconcave (in fact linear) in (x. t ∗ ]. Knut Sydsæter. or p(t) + p(t) = −1 + et . ∗ ∗ ∗ ∗ ∗ 1 1 1 since p(t) is continuous at t ∗ . and Peter Hammond 2008 . 2] we guess that x ∗ (t) > u∗ (t). the following conditions are sufﬁcient for (x ∗ (t). From (i) we have q(t) = −u∗ (t) − p(t) = −e−t − p(t).6 1 10. and (iv) gives x ∗ (t) = 2 − t. we get p(t) = t − 2. Since ∗ . and then q(t) = Be−t + 2 et − 1 − et = Be−t − 2 et − 1. so x ∗ (t) = − 2 t 2 + 2t + A. i. From the last ∗ two equalities we get et = 2 − t ∗ .44. ∗ (t) = et = u∗ (t). This linear differential equation has the solution p(t) = Aet −1− 1 e−t .6. Note that the Hamiltonian H = x − 2 x 2 + pu is concave (in fact linear) in (x.e. t ∗ ] we have x ∗ (t) = u∗ (t). p(t) is also continuous at t 2 2 ∗ 1 ∗ since q(t ∗− ) = 0 (see the argument in the previous problem). (iii) p(t) = 1 − q(t).10 CONTROL THEORY WITH MANY VARIABLES 87 10. ˙ 10. This is the case because we ﬁnd that q(t) < 0 and q(t ∗ ) = 0. and so x ∗ (t) = t − 2 and then x ∗ (t) = 1 t 2 − 2t + B. ∗ ∗ 1 1 we should verify that q(t) = ( 2 e2t + et )e−t − 2 et − 1 is nonnegative in [0. we have − 2 (t ∗ )2 + 2t ∗ + A = et . so x ∗ (t) = −u∗ (t) = −x ∗ (t). u) and h(t. The conditions in Theorem 10.6.6. 10. To conﬁrm that all the conditions (i)–(iv) are satisﬁed. The Lagrangian is L = H + q1 (u − c) + q2 (ax − u) = u + p(ax − u) + q1 (u − c) + q2 (ax − u). 1] we have q(t) = 0 and p(t) = 1. we have t ∗ − 2 = Aet − 1 − 2 e−t = 1 − 2 e−t − 1 − 2 e−t = −e−t . The Hamiltonian is concave (in fact linear) in (x. h1 = u − c ≥ 0 and h2 = ax − u ≥ 0. (ii) q(t) ≥ 0 (= 0 if x ∗ (t) > u∗ (t)). the following conditions are sufﬁcient for an admissible pair (x ∗ (t). x. The Lagrangian (10. we get Be−t = 2 et + 1. In particular.6. p(t) = −∂L∗ /∂x = −1 − q(t). so A = et + 2 (t ∗ )2 − 2t ∗ . Then from (i).6. u) and that h = x − u is quasiconcave (in fact linear) in (x. The solution is summed up in the answer in the book. and so (iii) gives p(t) = 1 2 − t.4). with q(t) = 0 if x ∗ (t) > u∗ (t). By using this relationship you will see that the values of A and B are the same as in the answer in the book. p(2) = 0. so (iii) gives p(t) = 1 − q(t) = ˙ −t +p(t).6. and (iii) gives p(t) = −1 − q(t) = ˙ so x t . x ∗ (t ∗ ) = 2 (t ∗ )2 − 2t ∗ + B = e−t . Finally. q(t) ≥ 0. so p(t ∗ ) = −e−t = Aet − 1 − 2 e−t . ˙ ∗ ∗ 1 1 Since x ∗ (t) is continuous at t ∗ . so Be−t ∗ = − 1 et ∗ + 3 − t ∗ .6. ˙ ˙ We guess that u∗ (t) = x ∗ (t) on some interval [0.2 This is a problem of the form (10. u) = x − u is linear and therefore quasiconcave. ∗ so e−t = 2 − t ∗ . From the argument 1+e 2 ∗ ∗ ∗ ∗ 1 in the problem. Atle Seierstad. q(t ∗ − ) = 0. and since p(2) = 0.1. since x ∗ (t) u ˙ 2 ∗ ∗ 1 1 is continuous at t ∗ . According to Theorem 10.6.5) is here L = H +q(x −u) = 1 1 x − 2 u2 + pu + q(x − u). t ∗ ]. This gives B = e−t − 2 (t ∗ )2 + 2t ∗ . u). with p(2) = 0.1)–(10. ∗ . and then (iv) gives x ∗ (t) = x ∗ (t). u).3 Note that there are two constraints. ˙ ˙ (b) In [0. and with x ∗ (0) = 1 we get x ∗ (t) = u∗ (t) = e−t . According to Theorem 10. t ∗ ≈ 0.1 are (i) ∂L∗ /∂u = −u∗ (t) − p(t) − q(t) = 0. Thus q(t ∗ − ) = −e−t − p(t ∗ ) = 0. Then from (i) we have q(t) = p(t) − et . Then from (ii) we have q(t) = 0. x ∗ (0) = 1. u∗ (t)) to be optimal: There exist a continuous function p(t) and a piecewise continuous function q(t) such that (i) (ii) (iii) (iv) ∂L∗ /∂u = −u∗ (t) + p(t) − q(t) = 0.6. ˙ x ∗ (t) = u∗ (t). with x ∗ (0) = 1. u∗ (t)) to be optimal: There exist a continuous function p(t) and piecewise continuous functions q1 (t) and q2 (t) such that © Arne Strøm.1. On (t ∗ . In (t ˙ ∗ (t) = −p(t) = 2 − t. Then from (i) u∗ (t) = p(t) − q(t) = 2 − t. Finally.
or tB ≥ tA . and q1 (t) and q2 (t) by (x). and then keep x ∗ (t) constant. In the interval (t . which inserted into (iv) gives p(t) = −a.) © Arne Strøm. In particular. ˙ c ≤ u∗ (t) ≤ ax ∗ (t) In the similar model in Example 10. we have 1 − p(t + ) = q2 (t + ) ≥ 0. In fact from (i). which solved for t gives t = tB . with q2 (t) = 0 if ax ∗ (t) > u∗ (t). (In line 2 of the answer to Problem 10. p(t) = −∂L∗ /∂x = −ap(t) − aq2 (t). so t = tA . Because p(t) is continuous.2 it was optimal to start out with u∗ (t) = c in an initial interval.6. The ﬁnal conclusion is given in the answer in the book. t ] if t ∈ (t . with q1 (t) = 0 if u∗ (t) > c. Atle Seierstad.6. T ] . where tA = T − 1/a. Then (i) gives q2 (t) = 1 − p(t). (viii) In the interval [0. t ] if t ∈ (t . ˙ p(T ) ≥ 0 with p(T ) = 0 if x ∗ (T ) > xT . T ] and p(t ) = 1 ⇒ p(t) = e−a(t−t ) a(t − t) + 1 if t ∈ [0. with tB deﬁned in (xi) below. Then we get p(t) = ˙ −ap −a if t ∈ [0. Case B: x ∗ (T ) = xT . Then p(T ) = 0 and thus a(t − T ) + 1 = 0. t ] if t ∈ (t . T ] then x ∗ (t) = (x 0 − c/a)eat + c/a (x 0 − c/a)eat + c/a if t ∈ [0. p(t ) = 1. T ] (ix) The corresponding values of q1 (t) and q2 (t) are q1 (t) = e−a(t−t ) − 1 0 if t ∈ [0. q1 (t) ≥ 0. so we have p(t) = −ap(t). q1 (t) = 0. x ∗ (0) = x 0 . since q2 (t −q1 (t − ) ≤ 0 and since q1 (t + ) = 0. where xT − c/a 1 (xi) tB = ln a x 0 − c/a Note that from (v) we need to have p(T ) ≥ 0. T ] q2 (t) = 0 a(t − t ) if t ∈ [0. x ∗ (t) = ax ∗ (t) − u∗ (t). and Peter Hammond 2008 . and then (iii) gives q2 (t) = 0. check that q1 (t) and q2 (t) are both ≥ 0. We see from (viii) that this is equivalent to (x 0 − c/a)ea(T −1/a) + c/a > xT . t ] if t ∈ (t .3. The optimal solution is given by (viii). p(t) by (ix). ˙ − ) = 0. we have 1 − p(t − ) = We claim moreover that p(t ) must be 1. Then from (viii) we get (x 0 − c/a)eat + c/a = xT . The solution with t = tB is valid if the last inequality is satisﬁed. T ] we have u∗ (t) = ax ∗ (t) = (ax 0 − c)eat + c > c. x ∗ (T ) ≥ xT . all with t replaced by T − 1/a. so ˙ according to (ii). q2 (t) ≥ 0. so let us try the same here: u∗ (t) = c ax ∗ (t) if t ∈ [0. It is a useful exercise to check that all the conditions in (i)–(vii) are satisﬁed. (x) Case A: x ∗ (T ) > xT . or tA > tB . The formula for p(t) in (ix) gives a(tb − T ) + 1 ≥ 0. replace x∗ by x ∗ and t ∗ by t .88 10 CONTROL THEORY WITH MANY VARIABLES (i) (ii) (iii) (iv) (v) (vi) (vii) ∂L∗ /∂u = 1 − p(t) + q1 (t) − q2 (t) = 0. t ] if t ∈ (t . Knut Sydsæter. T ] . t ] we have u∗ (t) < ax ∗ (t) because c < (ax 0 − c)eat + c. t ] if t ∈ (t . We must also check that x ∗ (T ) > xT .
7. and it is easy to verify that u∗ (t) = 1 + 2 ln 2 − 2t takes values in (−1. so p(t) = 1 − t.6. u) and h(t. as long as the h1 and h2 constraints are not ˙ violated. ln 2). with q3 (t) = 0 if u∗ (t) + x ∗ (t) < 2. with x ∗ (t) = 2 on [ln 2. p(ln 2) = 1 − ln 2. 10. with q1 (t) = 0 if u∗ (t) < 1. p(t) = −∂L∗ /∂x = −1 − p(t) + q3 (t). 1 + 2 ln 2 − 2t). this is the problem solved in Example 9.1. Solving the linear differential equation on [0. The complete suggestion for an optimal solution is therefore: u∗ (t) t ∈ [0. 1) when t ∈ (ln 2. ln 2] in the present problem too. 1].4. p(t) = −1 with p(1) = 0.e. Now. Then from (i). The Hamiltonian H = x + p(x + u) is concave (in fact linear) in (x. q1 (t) ≥ 0. we get x ∗ (t) = 2t + 1 − 2 ln 2. ln 2] ˙ with p(ln 2) = 1 − ln 2 gives p(t) = (4 − 2 ln 2)e−t − 1. Then from (iii) and (iv). We know that the suggested solution is admissible. Then (v) gives p(t) = −1 − p(t). 1]. (x ∗ (t). 1] et − 1 2t + 1 − 2 ln 2 x ∗ (t) 1 1 + 2 ln 2 − 2t p(t) (4 − 2 ln 2)e−t − 1 1−t q1 (t) (4 − 2 ln 2)e−t − 1 0 q2 (t) 0 0 q3 (t) 0 1−t Having checked that (x ∗ (t). u∗ (t)) to be an optimal pair: there exist a continuous function p(t) and piecewise continuous functions q1 (t). such that (i) (ii) (iii) (iv) (v) (vi) ∂L∗ /∂u = p(t) − q1 (t) + q2 (t) − q3 (t) = 0. and h3 = 2 − x − u are quasiconcave (in fact linear) in (x.1 We maximize 0 (−u − x) dt. 1). According to Theorem 10. u∗ (t) = 1 > −1 and x ∗ (t) + u∗ (t) = et < 2. In fact. 1). looking at the objective function. ln 2]. q3 (t) ≥ 0. putting x ∗ (t) = u∗ (t) + x ∗ (t) = 2. for t > ln 2 it seems optimal to increase x(t) as fast as the constraint x + u ≤ 2 allows. u) and h1 = 1 − u. Then ˙ u∗ (t) = 2 − x ∗ (t) = 1 + 2 ln 2 − 2t. In particular. q1 (t) = q2 (t) = 0. u∗ (t)) = (et − 1. ˙ In the interval [0. p(1) = 0. 1). Then (i) gives p(t) = q3 (t) and from (v). In the interval (ln 2. u∗ (t)) is optimal. u(t)) = (et − 1. and. 1) on [0. u∗ (t) ∈ (−1.6. We guess that this is the optimal solution on the interval [0. It remains to ﬁnd appropriate multipliers satisfying (i)–(v).1. q2 (t).e. we will try to guess the optimal solution and then verify its optimality by checking that all the conditions (i)–(vi) are satisﬁed. i. u∗ (t)) satisﬁes all the conditions (i)–(vi). Knut Sydsæter. so the Lagrangian is L = H + qx = −u − x + p(u − t) + qx. i. in (ln 2. ln 2]. with q2 (t) = 0 if u∗ (t) > −1. and Peter Hammond 2008 5 . whose solution was (x(t). (x ∗ (t).4 The Lagrangian is L = H + q1 (1 − u) + q2 (1 + u) + q3 (2 − x − u) = x + p(x + u) + q1 (1 − u) + q2 (1 + u) + q3 (2 − x − u). q2 (t) ≥ 0.7. The suggestion we have for an optimal solution is therefore: In [0. u∗ ) is admissible. (x ∗ . h2 = 1 + u. x) = x is quasiconcave. and x ∗ (ln 2) = 1. u∗ (t)) = (et − 1. and q3 (t). ˙ x ∗ (t) = x ∗ (t) + u∗ (t). the conditions (i)–(vi) below are sufﬁcient for (x ∗ (t).7 10. 1]. q2 (t) = q3 (t) = 0. so from (ii) and (iii). At t = ln 2 we have x ∗ (ln 2) = eln 2 − 1 = 1.10 CONTROL THEORY WITH MANY VARIABLES 89 10. Here H is concave in (x. u∗ (t)) to be optimal: © Arne Strøm. we conclude that (x ∗ (t). u). q1 (t) = p(t). So we start out with (x ∗ (t). ˙ If we disregard the constraint x + u ≤ 2. u∗ (t)) = (2t + 1 − 2 ln 2. ln 2] t ∈ (ln 2. Note that q1 (t) and q3 (t) have jump discontinuities at t = ln 2. the following conditions are sufﬁcient for (x ∗ (t). so by Theorem 10. Atle Seierstad. x ∗ (0) = 0. 1]. Note that in this case x(t) + u(t) = et ≤ 2 as long as t ≤ ln 2.1.
p(1) = 1 + A = 0. Atle Seierstad. ˙ (1 − t. q(t) ≥ 0. and thus p(t) = t + A. Then x ∗ (t) = 0 and thus x ∗ (t) = √ ∗ ( 2) = 0. so A = −1. with q(t) = 0 if x ∗ (t) > 0. with β = 0 if x ∗ (10) > 0. for some constant A. Let [0. 5]. Then from (ii). since p(5) = 0. ˙ ∗ (t) down put u∗ (t) = 0 in (1. we have 2 + A = 1. Here H is concave in (x. Then x ∗ (t) = −t with √˙ √ 1 x ∗ (0) = 1. Now all the conditions (i)–(vi) are satisﬁed. with q(t) = 0 if x ∗ (t) > 0. ˙ p(10− ) − p(10) = β.3 The Lagrangian is L = H + qx = −u2 − x + pu + qx. x) = x is quasiconcave. p(10) = 0. with q(t) = 0 if x ∗ (t) > 0. x √ √ √ Since p(t) is continuous at t = 2. and Peter Hammond 2008 . 2) we have by (ii). β ≥ 0. p(5) = 0. In [0. 2). Knut Sydsæter. with β = 0 if x ∗ (5) > 0. Then with x ∗ (1) = 0 we get x ∗ (t) = 0. For In order still to keep x u∗ (t) = 0 to be the maximizer in (i) for t ∈ (1. we put u∗ (t) = 0 in some interval [0. ˙ p(5− ) − p(5) = β. p(t)) = with β = 0. p(t) = −∂L∗ /∂x = 1 − q(t). so A = 1 − 2. so u∗ (t) = 2 p(t). t ∗ ]. Then x ∗ (t) = 1 − t is decreasing and is 0 at t ∗ = 1. 2]. 1] if t ∈ (1. ∗ (0) = 1. 1) we have by (ii). u) and h(t.2 The Lagrangian is L = H + qx = 1 − x + pu + qx. q(t) = 0. u∗ (t)) to be optimal: (i) (ii) (iii) (iv) (v) (vi) u = u∗ (t) maximizes 1 − x ∗ (t) + p(t)u for u ∈ [−1. β ≥ 0. t ∗ ] be the maximal interval where x ∗ (t) > 0. ˙ Since we want to keep x ∗ (t) down. x ∗ (t) = u∗ (t). 2] 1 Since H is concave in u and u ∈ . ˙ √ ˙ In order still to keep x ∗ (t) down. t − 1) (0. 0. Finally. we try u∗ (t) = t in ( 2. u∗ (t)) is optimal. p(t) = −∂L∗ /∂x = 1 − q(t). x ∗ (0) = 1. Then (iii) gives p(t) = 1.7. so (x ∗ (t). Now all the conditions (i)–(vi) are satisﬁed. ˙ We start by putting u∗ (t) = −1.90 10 CONTROL THEORY WITH MANY VARIABLES (i) (ii) (iii) (iv) (v) (vi) u = u∗ (t) maximizes −u − x ∗ (t) + p(t)(u − t) = −x ∗ (t) − tp(t) + u(p(t) − 1) for u ≥ 0. u∗ (t)) to be optimal: (i) (ii) (iii) (iv) (v) (vi) u = u∗ (t) maximizes −x ∗ (t) + p(t)u − u2 for u ∈ . x ∗ (0) = 1. x ∗ (0) = 1. From (iii) we get q(t) = 1. with β = 0 if x ∗ (2) > 0. We see that x ∗ (t) is decreasing and is 0 at t ∗ = 2. 0) if t ∈ [0. q(t) = 0. q(t) = 0 1 if t ∈ [0. In [0. 10. Here H is concave in (x. Since p(t) is continuous at t = 1. 1]. 1] if t ∈ (1. u∗ (t). x) = x is quasiconcave. x ∗ (t) = u∗ (t). so x ∗ (t) = − 2 t 2 + 1. one has to have p(t) = 0. q(t) = 0. in particular p(2− ) = 0. (iv) gives β = 1. Then (iii) gives p(t) = 1. q(t) ≥ 0.7. u) and h(t. β ≥ 0. (i) is equivalent to (Hu )∗ = p(t) − 2u∗ (t) = 0. we get from (iv) that β = 0. and thus p(t) = t + A. p(t) = −∂L∗ /∂x = 1 − q(t). For u∗ (t) = t to be the maximizer in (i) one has to have p(t) = 1. −1. 10. p(2) = 0. so the conditions (i)–(vi) below are therefore sufﬁcient for (x ∗ (t). and the conditions (i)–(vi) below are therefore sufﬁcient for (x ∗ (t). ˙ p(2− ) − p(2) = β. x ∗ (t) = u∗ (t) − t. for some constant A. 2] . Finally. so the optimal solution is: (x ∗ (t). We have x © Arne Strøm. from (iii) we get q(t) = 1. q(t) ≥ 0. Then since p(2) = 0. in particular p(5− ) = 1.
3]. x ∗ (t)) > 0 for t in (2. with q(t) = 0 if t + 1 > x ∗ (t). p(t) = t − 2 we have u 2 4 Looking at the objective function. x ∗ (0) = 1. So u∗ (t) = x ∗ (t) = 0. q(t) = 0 1 if t ∈ [0. and so A = −t ∗ < 0. contradicting x ∗ (3) = 3. q(t) = 1 and (iv) gives β = p(10− ) = 0 since p(10) = 0. u∗ (t). Since ¯ ¯ x ∗ (3) = 2t ∗ + 1 = 3. (b) The Lagrangian is L = H + q(t + 1 − x) = (4 − t)u + pu + q(t + 1 − x). But having u∗ (t) larger than 1 will cause x ∗ (t) to violate the constraint x ≤ t + 1. (ii) p(t) = −∂H ∗ /∂x = 0. t ∗ ] and u∗ (t) = 0 in (t ∗ . t ∗ ]. so A = −2. x q(t) = 0 in (2. ¯ ¯ − ) = 2 − 4 = −2 = p. and then p(t) = 0. 3]. Since p(t) is continuous at t = 2.4 (a) The Hamiltonian H = (4 − t)u + pu is concave in (x. and then p(t) = p = t ∗ − 4 = −3. Now from (iii) we have x ∗ (t) = 2t + 1 in [0. u) and h(t. so the optimal solution is 1 1 ( 4 (t − 2)2 . and since x ∗ (3) = 3 and x ∗ (t) ≥ 0. x ∗ (3)) = 3 + 1 − 3 = 1 > 0. 2]. and so x ∗ (t ∗ ) = 1 (t ∗ + A)2 − 1 A2 + 1 = 0. t ∗ ]. B = − 4 A2 + 1. u). The objective function indicates that we should keep u∗ (t) as large as possible. 10] 10. contradicting u∗ (t) ≥ 0. 10].7. p(t)) = with β = 0. Knut Sydsæter. 0) . and thus p(t) = t + A. so ˙ 1 1 x ∗ (t) = 4 (t + A)2 + B. Thus t ∗ < 10 and ∗ (t ∗ ) = 0. 3] ¯ is impossible. We see that h(3. and Peter Hammond 2008 . Then from (iii). we must have t ∗ ≤ 2. it is obvious that we need to keep u∗ (t) = 0 on (2. 10] (0. If t ∗ = 10. ˙ p(3− ) − p(3) = −β. when x ∗ (t) has become 0. u∗ (t)) to be optimal. are sufﬁcient for (x ∗ (t). It is clear that we have found the optimal solution. 2] if t ∈ (2. 3]. It remains to determine β. t ∗ ]. since all the conditions (i)–(iii) are satisﬁed. and from (iii) ¯ we have x ∗ (t) ≡ 1. The function x ∗ (t) must have a minimum at x 4 4 1 1 t ∗ so x ∗ (t ∗ ) = 2 (t ∗ + A) = 0. From x ∗ (t) ≥ 0. Then u∗ (t) = 2 (t + A) and x ∗ (t) = 2 (t + A). 0. Then (iii) yields p(t) = p for some constant p. then p(t) = t − 10 since 1 p(10) = 0. β ≥ 0. 2]. u∗ (t)) to be optimal: (i) u = u∗ (t) maximizes p(t) − (t − 4) u for u ∈ [0. we get x ∗ (t) ≤ x ∗ (3) = 3 and In fact. and x ∗ (t) = 2t ∗ + 1 in (t ∗ . With x ∗ (t) = t + 1 we get x ∗ (2) = 3. ˙ (iii) x ∗ (t) = u∗ (t). Hence x ∗ (t ∗ ) = 1 − 4 A2 = 0. t ∗ ] provided p(t) = t − 4. so ¯ p(2 from (v) we get β = 0. If p < t − 4 for all t in [0. From (iii) we further get q(t) = 1 ˙ in [0. 3]. 2] if t ∈ (2. ∗ = 2 and then u∗ (t) = 0 in (2. u∗ (t) = 1 can only maximize the Hamiltonian in [0. 3]. and u∗ (t) = 2 (t − 10) < 0 for t < 10. ˙ From (ii) we get p(t) = p for some constant p. In the same way we see that p > t − 4 for all t in [0. But by (ii) we have then h(t. p(t) = −∂L∗ /∂x = q(t). and x ∗ (t) = 1 (t − 2)2 in [0. Now all the conditions (i)–(vi) are satisﬁed. and (iv) gives p(3− ) = p(3) = −2. Atle Seierstad. Since x ∗ (0) = 1. x) = t + 1 − x is quasiconcave. Hence we have to choose u∗ (t) = 2 in some interval [0.10 CONTROL THEORY WITH MANY VARIABLES 91 1 1 ˙ and (iii) gives p(t) = 1. With ˙ ∗ (t) = 1 (t − 2). Condition (i) implies that we must have u∗ (t) = 2 if ¯ ¯ ¯ ¯ p > t − 4 and u∗ (t) = 0 if p < t − 4. 3]. so we suggest u∗ (t) = 1. t − 2) (x ∗ (t). with t ∗ − 4 = p. we suggest t ˙ ∗ (t)) = t +1−x ∗ (t) ≥ t −2. It follows that h(t. especially at the beginning. Here H is concave in (x. and then x ∗ (t) = t + 1 in some interval [0. x ∗ (3) = 3. Note that according to (i). we see that t ∗ = 1. if t ∈ [0. 2 (t − 2). so the conditions (i) and (iii) in (a) in addition to (ii) (iii) (iv) (v) q(t) ≥ 0. then u∗ (t) ≡ 0. so the following conditions are sufﬁcient for (x ∗ (t). © Arne Strøm. with β = 0 if 4 − x ∗ (3) > 0.
Thus we get explosive oscillations about x ∗ . 1 The solution is Ln = (1 − 2 r)n L.4 Let rt be the interest rate in period t. We get damped oscillations around the limit x ∗ .1. Then bt+1 = (1 + rt )bt − at+1 . 3] the expression (p(t) − (t − 4))u = (−2 − (t − 4))u = (2 − t)u is maximized by u = u∗ (t) = 0.2 In parts (a)–(f) the solution is given by xt = a t (x0 − x ∗ ) + x ∗ . where b0 = K.2 11. we have Ln−1 − Ln = 2 rLn−1 .2. . formula (11. and it can be shown by induction that bt = s=0 (1 + rs )K − s=1 k=s (1 + rk )as − at © Arne Strøm. xt = x ∗ for all t. . since 2 − t is negative in (2. while a t  tends to ∞ as t → ∞. Because x0 − x ∗ < 0 it follows that xt will increase monotonically towards the limit x ∗ .92 11 DIFFERENCE EQUATIONS The optimal solution is spelled out the answer in the book. the power a t decreases monotonically towards 0 as a limit as t → ∞. (d) Since a < −1. at the repayment. n = 1. (c) xt increases monotonically and faster and faster towards ∞.5). (h) The solution is monotonically (linearly) decreasing towards −∞. We get b1 = (1 + r0 )b0 − a1 = (1 + r0 )K − a1 b2 = (1 + r1 )b1 − a2 = (1 + r1 )(1 + r0 )K − (1 + r1 )a1 − a2 b3 = (1 + r2 )b2 − a3 = (1 + r2 )(1 + r1 )(1 + r0 )K − (1 + r2 )(1 + r1 )a1 − (1 + r2 )a2 − a3 ··· ··· ··· t−1 t−1 t−1 The pattern is clear.1 11. Then L0 = L. Atle Seierstad.1. 11. (iv). Note in particular that for t in (2. and Peter Hammond 2008 . 11. (g) xt = x0 + tb increases (linearly) towards ∞. (e) The solution is constant. 2. In (g)–(i) the solution is xt = x0 + tb. (i) xt = x0 for all t. cf. 1 1 (b) (1 − 2 r)10 L = 2 L implies that r = 2 − 2 · 2−1/10 ≈ 0. It is a useful exercise to check carefully that all the conditions (i). 11 Difference Equations 11. (b) a t alternates between negative and positive values and tends to 0.2. Knut Sydsæter. Since the payment on the 1 principal in year n is Ln−1 − Ln and the interest is rLn−1 . (f) Oscillations around x ∗ with constant amplitude. 3].3 (a) Let the remaining debt on 1 January in year n be Ln . The loan will never be completely paid since Ln > 0 for all n (but it does tend to 0 in the limit as n → ∞). (a) Since 0 < a < 1. .133934 3 3 1 (c) The payment in year n will be Ln−1 − Ln + rLn−1 = 2 rLn−1 = 2 r(1 − 2 r)n−1 L. (iii) . (ii) . and bt the outstanding balance. . and (v) are now satisﬁed. the powers a t alternate between negative and positive values.
Now suppose that (∗) holds for t = 0. at+1 > rt bt . not t t both equal to 0. .11 DIFFERENCE EQUATIONS 93 It is reasonable to suppose that if the interest rate changes. then the repayments also change to ensure that bt+1 < bt . then the outstanding debt will increase. T − 1. not both 0. Then Dt = u(1) u(2) − u(1) u(2) = (t + 1) − t = 1 for t t+1 t+1 t all t.3 11. This holds. (Section 11. and Peter Hammond 2008 .) (b) With xt = A3t + B4t we get xt+1 = 3A3t + 4B4t .6 (a) From Problem 2 we can ﬁnd the linearly independent solution u(1) = 1 and u(2) = t of the t t homogeneous equation xt+2 − 2xt+2 + xt = 0. and if this situation continues. Then c1 u(1) + c2 u(2) = −at c1 u(1) + c2 u(2) − bt c1 u(1) + c2 u(2) = 0 T T T −1 T −1 T −2 T −2 so (∗) holds for t = T also. and the determinant must be 0. Hence. so there exist constants c1 and c2 . . 11. if at+1 < rt bt . i. for t = 0 and t = 1.4 shows how to ﬁnd this solution. 1. in particular. in the form xt = A1t + B 2t . the columns are linearly dependent. easily proved by induction. The general solution is then xt = A + Bt + u∗ . the loan will never be paid off. Atle Seierstad.3. such that c1 u(1) + c2 u(2) = 0 for all t. and we get t t t t u∗ t = −u(1) t k=1 ck−1 u(2) k + u(2) t k=1 ck−1 u(1) k =− k=1 kck−1 + t k=1 ck−1 as a particular solution of xt+2 − 2xt+1 + xt = ct . Knut Sydsæter. such that (∗) c1 u(1) + c2 u(1) = 0 t t for t = 0 and for t = 1. so xt+2 − 3xt+1 + 2xt = A + 4B 2t − 3A − 6B 2t + 2A + 2B 2t = 0 for all t.1 (a) xt+1 = A + B 2t+1 = A + 2B 2t and xt+2 = A + B 2t+2 = A + 4B 2t . 11.3. .5 We shall prove that u(1) t and u(2) t are linearly dependent ⇐⇒ u(1) 0 u(1) 1 u(2) 0 u(2) 1 =0 Proof of ⇒: If the solutions u(1) and u(2) are linearly dependent. where T is some integer greater than 1.e. and xt+2 − 7xt+1 + 12xt = 9A3t + 16B4t − 21A3t − 28B4t + 12A3t + 12B4t = 0. . u(1) and u(2) are t t linearly dependent. If the repayment in period t + 1 is less than the interest accrued during period t. 11. the particular solution u∗ in part (a) becomes t t t u∗ = − t k=1 k(k − 1) + t k=1 1 1 (k − 1) = − 1 (t − 1)t (t + 1) + 2 t 2 (t − 1) = 6 t (t − 1)(t − 2) 3 1 The necessary summation formulas t k(k − 1) = 1 (t − 1)t (t + 1) and t (k − 1) = 2 t (t − 1) are k=1 k=1 3 ∗ really is a solution of the difference equation.e. xt+2 = 9A3t + 16B4t . Proof of ⇐: If the determinant is zero. i. t (b) With ct = t.3. then there exist constants c1 and c2 . It follows by induction that (∗) holds for all t ≥ 0. It is also easy to check that ut © Arne Strøm. and t t so the columns of the determinant above are linearly dependent.
Proof: Both roots belong to (−1.4.94 11 DIFFERENCE EQUATIONS 11. so that will not work (unless c = 0).11 Claim: If 4 a 2 ≥ b. (1 + g)2 − (b + k)(1 + g) + k (b) The equation m2 − (b + k)m + k = 0 has two complex roots if and only if (b + k)2 − 4k < 0. √ (c) Part (III) of Theorem 11. and R = 10 . then b ≤ 4 a 2 < 1. Atle Seierstad. © Arne Strøm. (Draw a picture!) These four inequalities are equivalent to 1 − a + b > 0.4.1) becomes 1 1 xt+2 + axt+1 + 4 a 2 xt = ut+2 (−a/2)t+2 + aut+1 (−a/2)t+1 + 4 a 2 ut (−a/2)t 1 = 4 a 2 (−a/2)t (ut+2 − 2ut+1 + ut ) which is 0 if ut+2 − 2ut+1 + ut = 0. then the lefthand side of equation (11.9 (a) It seems natural to try a function of the form Yt∗ = C(1 + g)t .4 Since 1 + a + b = 0. D = c/(a+2) can be used unless a = −2. 1 11.4 11. which is the result claimed for case II in Theorem 11.4. and we look for a particular solution of the form u∗ = Dt 2 . and R in the 1 3 1 particular solution u∗ = P 5t + Q cos π t + R sin π t. f (1) > 0. so xt = ut (−a/2)t = (A + B t)(−a/2)t . So the t 2 2 1 3 1 general solution to the given equation is xt = A + B2t + 4 5t + 10 cos π t + 10 sin π t. which in turn are equivalent to a < 1 + b and a < 2.e. Let us try a function of the form u∗ = Dt. then a < 2. The oscillations are damped if and only if r < 1. if and only if k < 1. i. so we are looking for a particular solution of the equation xt+2 + axt+1 − (a + 1)xt = c. A constant function will be a solution of the corresponding homogeneous function. if a < 1 + b and b < 1. then both roots of the equation f (m) = m2 + am + b = 0 lie in the interval (−1. On the other hand.4.1 shows that the growth factor of the oscillations is r = k. f (−1) < 0. 1) if and only if a < 1 + b and b < 1.6 1 If b = 4 a 2 and xt = ut (−a/2)t . This yields P = 1. 11. Q = 10 . Q. (b) By using the method of undetermined coefﬁcients to determine the constants P .4. Knut Sydsæter. We ﬁnd a particular solution of the nonhomogeneous equation by inserting u∗ = P 2t . 1) if and only if f (−1) > 0. 1 + a + b > 0. In this case we get t u∗ − 2u∗ + u∗ = D(t + 2)2 − 2D(t + 1)2 + Dt 2 = 2D t+2 t+2 t and the desired value of D is D = c/2. 2 2 11. 11. We get ∗ Yt+2 −(b+k)Yt+1 +kYt∗ = C(1+g)t [(1+g)2 −(b+k)(1+g)+k] = C(1+g)t [(1+g)2 −b(1+g)−kg] This shows that Yt∗ = a(1 + g)t (if the denominator of this fraction is nonzero). −2 + a < 0. so the general solution of the associated homogeneous equation is xtH = (A + Bt)(−1)t . The general solution of this equation is ut = A + B t.4. we obtain P = 4 .4. the difference equation is xt+2 −2xt+1 +xt = c. 1 If a < 2. we have b = −1 − a. We get t u∗ + au∗ − (a + 1)u∗ = D(t + 2) + aD(t + 1) − (a + 1)Dt = D(a + 2) t+2 t+1 t Thus.2 (a) The characteristic equation m2 + 2m + 1 = (m + 1)2 = 0 has the double root m = −1. and Peter Hammond 2008 . and a + 2 > 0. If a = −2.1. and so the general t solution of the given equation is xt = (A + Bt)(−1)t + 2t .4. and f (1) > 0.
which has the roots m1 = 1. A necessary and sufﬁcient condition for the roots of this equation to be complex (more precisely: not real) is σβ −2 α 2 < 4(1 − σβ) ⇐⇒ σ 2β 2 4σβ − + 4 < 4 − 4σβ ⇐⇒ σ 2 β 2 < 4ασβ − 4α 2 σβ 2 α α ⇐⇒ σβ < 4α − 4α 2 = 4α(1 − α) The difference equation is globally asymptotically stable if and only if the inequalities (∗∗) in Section 11. −1).5.e. and the initial conditions give x0 = 1. We get u∗ = 2 t − 2 t 2 . 1). The general solution of xt+2 −xt = 0 is xt = A+B(−1)t . (b) We ﬁrst eliminate z. The characteristic equation of xt+2 − xt = 0 is m2 − 1 = 0. and (2. β.3 The points (a1 . so A = 2 and B = − 2 . m2 = −1. so the general solution of (iv) is xt = xtH + u∗ = t t 3 1 A + B(−2)t + 2 t − 2 t 2 . 3 1 1 3 1 3 1 A−B = 2. i. Knut Sydsæter. and the initial conditions imply A+B = 1. These points are precisely the points lying in the interior of the triangle formed by those three lines. The ﬁrst equation yields zt = −xt+1 − yt + 1. and Peter Hammond 2008 . and σ are all positive. Using this in the second and third equations. The characteristic equation of (iv) is m2 + m − 2 with the roots m1 = 1 and m2 = −2. in turn. For a particular solution u∗ of (iv) itself we try with a quadratic t 3 1 polynomial u∗ = Dt + Et 2 . Atle Seierstad. and so (iv) xt+2 + xt+1 − 2xt = 2 − 3t By a stroke of good luck y does not appear in (iv). (0.) 11.6 11.6.5 The characteristic equation is m2 + (σβ/α − 2)m + (1 − σβ) = 0. a2 ) that satisfy the three inequalities in (∗∗) are the points that lie above each of the lines given by a2 = −1 − a1 and a2 = −1 + a1 and below the line a2 = 1.5 11. gives yt = 2 xt+1 = 4 + 4 (−1)t .5. xt = 2 − 2 (−1)t . This.5 are satisﬁed when a1 = σβ/α − 2 and a2 = 1 − σβ. 11. x1 = 2y0 = 2. Thus. and so the homogeneous equation corresponding to (iv) has the general solution xtH = A + B(−2)t . 1). we get (i) yt+1 = −xt + xt+1 + yt − 1 + t and (ii) − xt+2 − yt+1 + 1 = −xt − yt + 2t Equation (ii) implies (iii) yt+1 = −xt+2 + 1 + xt + yt − 2t. and then (i) and (iii) imply −xt + xt+1 + yt − 1 + t = −xt+2 + 1 + xt + yt − 2t. the triangle with corners at (−2.11 DIFFERENCE EQUATIONS 95 11. © Arne Strøm.1 (a) From the given equations we get xt+2 = 2yt+1 = xt . This gives the conditions 1+ σβ σβ − 2 + 1 − σβ > 0 and 1 − − 2 + 1 − σβ > 0 α α σβ σβ ⇐⇒ − σβ > 0 and 4 > + σβ α α ⇐⇒ α < 1 and (1 + α)σβ < 4α and σβ > 0 (Remember that α.
the negative solution is a stable equilibrium of the difference equation xt+1 = f (xt ).63212.94753. We continue with 1 3 J0 (x) = max(1 − (x 2 + 2u2 ) + J1 (x − u)) u 11 8 10 = · · · = max(3 − x 2 + xu − u2 ) u 3 3 3 h(u) © Arne Strøm. 0) and one in (0. x5 = −2. B = 3 .96 12 DISCRETE TIME OPTIMIZATION The initial conditions yield x0 = 0 and x1 = −y0 − z0 + 1 = 0.1 (a) To solve the problem by dynamical programming we ﬁrst ﬁnd J2 (x) = max(1 − (x 2 + 2u2 )) = 1 − x 2 . Atle Seierstad. .94748. x2 = −2. ∞). x4 = −2. A − 2B + 2 − 2 = 0.1 12. . so 3 yt = − 1 + 1 (−2)t 3 3 Finally.1. zt = −xt+1 − yt + 1 = 2 3 1 1 + 1 (−2)t − 2 t + 2 t 2 3 11. and it is easy to see from the intermediate value theorem that the equation f (x) = x has two solutions. Since f (x) = ex < 1 for all x < 0. Knut Sydsæter. Hence.1. which implies. 3 3 1 xt = − 1 + 1 (−2)t + 2 t − 2 t 2 3 3 From equation (i) we get yt+1 −yt = xt+1 −xt +t−1 = −(−2)t with the general solution yt = A+ 1 (−2)t . The solution of the difference equation starting at x0 = −1 gives the values (rounded to 5 decimal places) x1 = −2. . one in (−∞.94753.7 11.1) then gives J1 (x) = max(1 − (x 2 + 2u2 ) + J2 (x − u)) u u u = max(1 − x 2 − 2u2 + 1 − (x − u)2 ) = max(2 − 2x 2 + 2xu − 3u2 ) g(u) Let g(u) be the expression in the last parenthesis. . and Peter Hammond 2008 . 12 Discrete Time Optimization 12. x6 = −2.92807. so g attains its maximum for u = u∗ (x) = x/3. A = − 1 .94650. x3 = −2. u u∗ (x) = 0 2 The fundamental equation (Theorem 12.94753. so we must have A + B = 3 1 1 0. Then g (u) = 2x − 6u. 3 The initial condition y0 = 0 yields A = − 1 .2 (a) Let f (x) = ex − 3.7. (b) See the answer in the book. That gives J1 (x) = g(x/3) = 2 − 5 x 2 . Then f (x) − x is convex. converging to the equilibrium value x ∗ ≈ −2.
The result in part (b) shows immediately that √ √ JT −1 (x) = −2 αe−γ x and JT −2 (x) = −2 2 αe−γ x = −23/2 α 1/4 e−γ x .1] [3 − u + (2k + 3)u2 ]. .1] [(3 − u)x 2 + JT −k (ux)] = maxu∈[0. . we get u∗ (x) = 2T −t − 1 t T for t = 0. this is a global maximum point for S. . and T k then JT −(k+1) (x) = x − (2k+1 − 1)2 + 2(2k+1 − 1)x + 2(2k+1 − 1)2 + j =0 (2j − 1)2 = (1 + 2k+2 − k k+1 2)x + (2k+1 − 1)2 + j =0 (2j − 1)2 = (2(k+1)+1 − 1)x + j =0 (2j − 1)2 .4 (a) JT (x) = 3x 2 with u∗ (x) = 0. and V = J0 (x0 ) = J0 (0) = T j j =0 (2 − 1)2 . . . Suppose it is valid for n = k. 0) Since S is concave. JT −2 (x) = 7x 2 with T T u∗ −2 (x) = 1.6 (a) JT (x) = maxu∈ (x − u2 ) = x for u∗ (x) = 0. Knut Sydsæter. JT −1 (x) = 5x 2 with u∗ −1 (x) = 1. JT −1 (x) = maxu∈ [x − u2 + JT (2(x + u))] = maxu∈ [x − u2 + 2(x + u)] = 3x + 1 for u∗ −1 (x) = 1.1] [(3 − u)x 2 + (2k + 3)(ux)2 ] = x 2 maxu∈[0. u1 .1.1. . and therefore J0 (x) = h(5x/11) = 0 3 − 21x 2 /11. u∗ = u0 (5) = 25/11. 1. T . so the formula follows by induction. In particular. T . and Peter Hammond 2008 . which fortunately agrees with the result from part (a). Thus the desired maximum value is J0 (x0 ) = J0 (5) = −492/11 and. T (b) The formula is valid for n = 1. This is the given formula for n = k + 1. We see that the maximizer is u = u∗ −(k+1) (x) = 2k+1 − 1. T − 1. 12. which implies that u∗ (x) = 5x/11. Then JT −(k+1) (x) = maxu∈[0. . so the formula follows by induction. Atle Seierstad. T (b) We claim that JT −n (x) = (2n + 3)x 2 with u∗ (x) = 0 and u∗ −n (x) = 1 for n = 1. Js (x) = maxu∈ [x − u2 + Js+1 (2(x + u))] for T s = 0. The ﬁrstorder partial derivatives of S are ∂S/∂u0 = 20 − 8u0 − 2u1 ∂S/∂u1 = 10 − 2u0 − 6u1 ∂S/∂u0 = −4u2 and it is easily seen that the only stationary point is (u0 . u1 . . The T T formula is valid for n = 1. 0 ∗ ∗ u∗ = u∗ (x1 ) = x1 /3 = 10/11. further. The maximum value is Smax = −492/11. © Arne Strøm. which is the proposed formula for n = k + 1. Since u∗ −(k+1) (x) = 2k+1 − 1. . This gives 2 2 2 S(u0 . u2 ) = 1 − (x0 + 2u2 ) + 1 − (x1 + 2u2 ) + 1 − (x2 + 2u2 ) 0 1 2 = 3 − 52 − 2u2 − (5 − u0 )2 − 2u2 − (5 − u0 − u1 )2 − 2u2 0 1 2 = · · · = −72 + 20u0 + 10u1 − 4u2 − 2u0 u1 − 3u2 − 2u2 0 1 2 It is clear from the second expression for S that S is a concave function. u2 ) = (25/11. 12. 1. and then JT −(k+1) (x) = x 2 (5+2k). . . 10/11.12 DISCRETE TIME OPTIMIZATION 97 Here h (u) = 10x/3 − 22u/3. 1 1 ∗ x1 = x0 − u∗ = 30/11 0 ∗ ∗ x2 = x1 − u∗ = 20/11 1 (b) We have x1 = x0 − u0 = 5 − u0 and x2 = x1 − u1 = 5 − u0 − u1 .7 (a) It is immediately clear that JT (x) = −αe−γ xT . . Then JT −(k+1) (x) = maxu∈ [x − u2 + k (2k+1 − 1)(2x + 2u) + j =0 (2j − 1)2 ]. Suppose it is valid for n = k. 12. The function g(u) = 3−u+(2k+3)u2 is convex in u and has its maximum at u = 1.1.
. . with αt determined by the difference equation above and αT = α.7. Hence. . α = ( β + β + 1/2 )2 . . x0 given 1 With the optimal value function J (t. x.1 The equation α = 2 αβ + 2 can be written as ( α )2 − 2 β α − 2 = 0. . 12. J (0. T ) → −αe 12. .98 12 DISCRETE TIME OPTIMIZATION (b) We know from part (a) that the formula Jt (x) = −αt = −αt e−γ x holds for t = T with αt = α. The fundamental equation then gives Jt−1 (x) = maxu∈ ϕ(u). where ϕ(u) = −e−γ u + Jt (2x − u) = −e−γ u − αt e−γ (2x−u) The function ϕ is concave and ϕ (u) = 0 ⇐⇒ γ e−γ u − αt γ e−γ (2x−u) = 0 ⇐⇒ −γ u = ln αt − 2γ x + γ u √ ⇐⇒ γ u = γ x − ln αt This shows that ϕ has a unique stationary point u∗ = x − (ln It follows that Jt−1 (x) = ϕ(u∗ ) = −e−γ u − αt e−2γ x+γ u = −eln ∗ ∗ √ αt )/γ .3. This is a quadratic √ √ √ √ √ √ √ equation for α with the solution α = β + β + 1/2. x. and has a unique maximum 3 point given by ϕ (u) = −2u − 2βα(x + u) = 0. T − 1.3. x. with αT = 2 and αt = 2 βαt + 2 for t < T . and Peter Hammond 2008 . u∗ (x) = −βαx/(1 + βα) and x + u∗ (x) = x/(1 + βα). xt+1 = 2xt − ut . t = 0. 1. 0. . To show optimality. T − 1. . We ﬁrst solve the corresponding ﬁnite horizon problem T sup ut t=0 1 β t (−e−ut − 2 e−xt ). T ) = sup T β s−t (−e−us − 2 e−xs ) we get J (t. which is a maximum point for ϕ. we can use Case B in Note 12. − αt e−γ x−ln √ αt √ αt −γ x = −αt−1 e−γ x √ √ √ where αt−1 = αt + (αt / αt ) = 2 αt .) Hence. αt → α as t → −∞. Equation (∗) now gives 2 β 2 α2 βα 2 β 2 α 2 + βα 2 −αx 2 = ϕ(u∗ (x)) = − x 2 − x2 − x2 = − x2 − x 3 (1 + βα)2 (1 + βα)2 3 (1 + βα)2 βα 2 βα(βα + 1) 2 ⇐⇒ α = + = + 2 3 (1 + βα) 3 1 + βα ⇐⇒ 3α(1 + βα) = 2(1 + βα) + 3βα ⇐⇒ 3βα 2 + (3 − 5β)α − 2 = 0 © Arne Strøm. If J (x) = −αx 2 is a 3 solution. −x as T → ∞. then −αx 2 = max − 2 x 2 − u2 + βJ (x + u) = max ϕ(u) (∗) 3 u∈ u∈ where ϕ(u) = − 2 x 2 − u2 − βα(x + u)2 . (We cannot have α = β − β + 1/2. Suppose that it holds for a positive integer t ≤ T . Knut Sydsæter.2 (a) The Bellman equation is J (x) = maxu∈ − 2 x 2 − u2 + βJ (x + u) . It follows by induction that the formula Jt (x) = −αt e−γ x holds for t = T . The function ϕ is strictly concave.3.3 √ √ √ √ 1 1 12. T ) = s=t √ 1 1 −αt e−x . For a ﬁxed T . √ √ √ because α cannot be negative. Atle Seierstad. Hence. 1.
T (b) (The reference in the problem should be to Theorem 12. let u0 = −x0 and ut = 0 for all t > 0. p) = −4x for all t 2u for t = T ∗ ∗ ∗ Since x0 = x1 = · · · = xT = 0 and u∗ = u∗ = · · · = u∗ −1 = 0.4. J = J0 is homogeneous of degree 2.2 (a) I = T (u2 − 2xt2 ) = T −1 u2 + u2 − 2x0 − 2 T xt2 = u2 + T −1 u2 − 2 T −1 u2 = t=0 t t=0 t t=1 t=0 t t=0 t T T u2 − T −1 u2 .3. such a u cannot be optimal. u. Also. 1. T − 1. and the optimal 6β β −3+ (5β − 3)2 + 24β x 6β (5β − 3)2 + 24β (5β − 3)2 + 24β x = ··· = − (b) It is clear that the value function J0 (x) is ﬁnite: for any x0 . the difference equation (4) in 0 1 T Theorem 12. u. x0 = 0. Hence.1. p) = 1 + x − y − 2u2 − v 2 + p 1 (x − u) + p 2 (y + v) for t = 0. and from the arguments above it follows that α < 5 . x. Atle Seierstad. x. © Arne Strøm. xt∗ . H (t. then J (x + u) < J (x) and ϕ(u) = − 2 x 2 − u2 + βJ (x + u) < − 2 x 2 − u2 + βJ (x) < − 2 x 2 + βJ (x) = ϕ(0) 3 3 3 Hence. 2 Then ∞ β t (− 2 xt2 − u2 ) = − 5 x0 is ﬁnite. u. x. if u > x. π) be the sum that results from x = x0 and the control sequence π = (u0 . u1 . Hu (t. . x. the value function exists.2. but actually a minimum point. ). 12. 1: −4ut − pt1 = 0 and −2vt + pt2 = 0. . the sum is t t=0 3 3 bounded above by 0. Knut Sydsæter. Condition (3) yields for t = 0. Also. π). if not in the “max sense”. . u. u. p) = 12. . x. p) = and u2 − 2x 2 + pu u2 − 2x 2 for t < T for t = T 2u + p for t < T . p) = 1 + x − y − 2u2 − v 2 for t = 2. I is maximized when u∗ = u∗ = · · · = u∗ −1 = 0 and t=0 t 0 1 T T u∗ = ±1. then at least in the “sup sense”. then J (x + u) < 0 and ϕ(u) = − 2 x 2 − u2 + βJ (x + u) < − 2 x 2 − u2 < − 5 x 2 = ϕ(−x) 3 3 3 so this u cannot be optimal either. and it follows that J0 (λx) = λ2 J0 (x)—that is. 1. It follows that an optimal u must be such that x + u ≤ x and u ≤ x.1 (c) H (t. u = u∗ = 0 is not a maximum point of t H (t.5 12. . It follows that H (t. not 12.2 applies with X(x0 ) = [−x0 . It is also clear that α = 0. u.4 2 12. let V0 (x. for t < T . (Remember. Hence. 1]. and we already know that pT = 0. and consider the problem of ﬁnding a u that maximizes ϕ(u) = − 2 x 2 − u2 + J (x + u) 3 If x + u > x. u1 . α = control is u∗ (x) = − 5β − 3 + βα x=− 1 + βα 5β + 3 + 5β − 3 + (5β − 3)2 + 24β . .4. . Then Note 12.4.) Hence. pt ) = u2 − 2(xt∗ )2 = u2 . pt ) for u in [−1. u. λπ) = λ2 V0 (x. .) The Hamiltonian is H (t.1 implies pt = 0 for t = 0. It is also clear that J0 (x) ≤ 0 for all x. x0 ]. . Then for any number λ we get V0 (λx.5. Hx (t. .12 DISCRETE TIME OPTIMIZATION 99 The last equation has a exactly one positive solution. . Further. 3 Now let x be ﬁxed. so we really do have J (x) = −αx 2 for a suitable α ≥ 0.4. and Peter Hammond 2008 . for any sequence of controls u0 . xt∗ .
6. Formula (12. 1/2 The optimality equation (12. p2 = 0. xt . v2 = 0. and Peter Hammond 2008 t = 0.6.8 The ﬁrst printing of the book contains a couple of embarrassing misprints in connection with this problem and with the stochastic Euler equation. x2 . 12.9) becomes F3 (2. y1 = y0 + v0 . Atle Seierstad. xt . Vt ) − xt )  vt−1 − 2(vt−1 + xt − xt−1 ) = 0 i. u0 = − 4 p0 . and so at = 2 (1 + at+1 )1/2 . u2 = 0. vt−1 ) = 0 and the objective function in the current problem should be 2 (∗) max E t=0 1 − (Vt + Xt+1 − Xt )2 + (1 + V2 + X3 ) Now deﬁne F by F (2. Vt )  vt−1 + F3 (t − 1.100 12 DISCRETE TIME OPTIMIZATION 1 1 1 1 1 2 For t = 2 it yields −4u2 = 0 and −2v2 = 0.e.6. From (4) and (6)(c ).6 There are two misprints in the objective function: the expression inside the square brackets should T −1 be t=0 ut 1/2 + aXT . u1 = − 4 p1 .6. vt ) = 1 − (vt + xt+1 − xt )2 . 1 (∗∗) . x2 . x1 = x0 − u0 = 5 − u0 . From these equations we ﬁnd the same solution as before. y2 = y1 + v1 . p0 = 1 + p1 . There is also a misprint in the answer in the book. p1 = −1 + p2 . and therefore ut (x) = x/4at2 . The function ϕ is concave and ϕ (u) = 0 ⇐⇒ x 1 at+1 ⇐⇒ u = ut (x) = = 2 1/2 1/2 2(x − u) 2u 1 + at+1 1 2 2 2 Hence.6 12. x3 . u where ϕ(u) = u1/2 + at+1 (x − u)1/2 for t < T .5) boils down to JT (x) = ax 1/2 and 1 1 Jt (x) = max u1/2 + 2 Jt+1 (0) + 2 Jt+1 (x − u) u for t <T With Jt (x) = 2at x 1/2 this gives aT = a/2 and 2at x 1/2 = max ϕ(u). x2 = x1 − u1 . Knut Sydsæter. xt . Vt )] − 2xt = 2vt−1 + 2xt − 2xt−1 Equation (12. 1 + 2E[xt+1 (xt . xt+1 (xt . 2. Moreover. p1 = 1 + p2 . x3 . 1 2 1 1 1 2 2 2 v1 = 2 p1 . equation (∗) becomes E 2(Vt + xt+1 (xt . This 2 implies 1 + at+1 = 4at2 . 12. For t = 1. Finally. xt+1 . Hence. Vt ). v2 ) = −2(v2 + x3 − x2 ) + 1 = 0 © Arne Strøm. v0 = 2 p0 .6. 1 1 2 2 from (5). p0 = −1 + p1 .10) on page 454 should be E F2 (t. p2 = 0. xt−1 . maxu ϕ(u) = ϕ x/(1 + at+1 ) = · · · = (1 + at+1 )1/2 x 1/2 . v2 ) = 1 − (v2 + x3 − x2 )2 + 1 + v2 + x3 F (t.
Knut Sydsæter.7 12. where a is chosen so large that ln x/x b ≤ 1 when x ≥ a (by l’Hôpital’s rule limx→∞ ln x/x b = 0). Atle Seierstad. at and bt depend on T ). T ) = a0 x 2 + b0 → ax 2 + b = J (x) as T → ∞. bT = 0. and. x) = β t (at x 2 + bt ). The function ϕ(x) = −1 + βx/(1 − βx) is increasing (calculate its derivative). Thus. b0 = b0 . δ] for some (perhaps large) δ. a = −[1 − 2β − the Bellman equation is u 1 + 4β 2 ]/2β. (With J (x) = ax 2 + b. Finding these limits is the same as ﬁnding the limits limt→−∞ at .12 DISCRETE TIME OPTIMIZATION 101 which gives x3 as a function of x2 and v2 : x3 = x3 (x2 . and the value function is J (x) = a ln x + b. 12. ln a + x b ]. i. To ﬁnd limT →∞ J (0. 2 ln x] ⊆ [ln ε + ln x0 . x3 = 3 2 − v0 − v1 − v2 12. For x ≥ x0 . J (0.7. In a similar way. because J (x) = ax 2 +b = a[x 2 +βd/(1−β)] must be negative. T ) we need to ﬁnd limT →∞ a0 T T and limT →∞ b0 (for any t. x0 . b = [αd + αa ln(αa) − (1 + αa) ln(1 + αa)](1 − α)−1 . v2 ) = x2 − v2 + Now use (∗∗) for t = 2: 1 2 1 1 + 2E[x2 − V2 + 2 ] − 2x2 = 2v1 + 2x2 − 2x1 ⇐⇒ 1 + 2(x2 − 1 2 1 + 2 ) − 2x2 = 2v1 + 2x2 − 2x1 1 2 ⇐⇒ x2 = x2 (x1 . b is also as in part (a). Now apply Note 12. Then f  = (x − u)V  ≤ δx. and taking limits in the equation for bt−1 . Note that Xt ≥ x0 . Hence. Choose b > 0 so small that αδ b < 1.) (b) J (t. © Arne Strøm. we get at−1 < at for all t. We can show optimality at least in a restricted problem: Assume V ∈ [0. we ﬁnd that a = limt→−∞ at satisﬁes a = −1 + βa/(1 − βa) = (2βa − 1)/(1 − βa) (so a > −∞).7. x. We have to choose the negative solution for a. xt ] for some small positive ε. x2 = 1 − v0 − v1 . where a = 2/(1 − α).2. g = ln u + ln X ∈ [ln ε + ln x0 .1 (a) J (x) = ax 2 + b. T T Then. evidently.2 The optimal control is ut (x) = x/(1 + αa). v1 ) = x1 − v1 + Then for t = 1: 1 1 + 2E[x1 − V1 + 2 ] − 2x1 = 2v0 + 2x1 − 2x0 ⇐⇒ 1 + 2(x1 − 1 2 1 + 2 ) − 2x1 = 2v0 + 2x1 − 2x0 1 2 ⇐⇒ x1 = x0 − v0 + Since x0 = 0 is given. bt decreases when t decreases. bt−1 = βbt + βat d.7. a = (2βa−1)/(1−βa) and b = βad + βb. and restrict u to belong to [ε. and d = E[ln V ]. ax 2 + b = max −u2 − x 2 + βE[a(x + u + V )2 + b] = max −u2 − x 2 + βa(x + u)2 + βad + βb u Maximizing this concave function yields u = βax/(1−βa). aT = −1. ax 2 +b = −β 2 a 2 x 2 /(1 − βa)2 −x 2 + βax 2 /(1 − βa)2 +βad+βb = x 2 (2βa−1)/(1−βa)+βad+βb for all x. and then b = aβd/(1−β). we ﬁnd that b = limt→−∞ bt satisﬁes b = βb + βad. at−1 = −1 − β 2 at2 /(1 − βat )2 + βat /(1 − βat )2 = −1 + βat /(1 − βat ). b = aβd/(1 − β). This quadratic equation gives a = [1 − 2β − 1 + 4β 2 ]/2β. in fact a has the same value as in part (a). limt→−∞ bt when T is ﬁxed. write in particular a0 = a0 . and Peter Hammond 2008 . Letting t → −∞ in the difference equation for at . the ﬁnal answer is x1 = 1 2 − v0 .e. since aT −1 < aT and this continues backwards.
13. and they all belong to the set A = X \ B = X ∩ ( n \ B). for example. Atle Seierstad. S ⊆ S ∪ T . and so B ∩ S = ∅. we have ∂T ⊆ T if and only if T is closed. Let U be an arbitrary open ball centred at x. Then W = U ∩ V is also an open ball centred at x and W ⊆ S. cl(S) is closed. there exists an open ball V centred at x such that V ⊆ S. If y ∈ cl(S). . as we can see from the following example: Let S = {x ∈ n : 0 < x < 1}. Thus. It is enough to show that U intersects S ∩T . S ⊆ S ∪ T . . there is at least one point w in B ∩ S. This contradiction shows that {xk } must converge to x0 after all.1 13.5 Suppose for a contradiction that the sequence {xk } does not converge to x0 . yn )) in m × n correspond to the point (x1 . Now let A and B be compact subsets of m and n . Since each of the sets S ∪ T and S ∪ T is a subset of the other. also contains the centre of the ball. for any set T . In order to show this. so int(S) = int(S). . Consider.9 (a) If x ∈ int(S). On the other hand. the punctured open ball S in part (a). Since X is closed and B is open. Then there exists an open ball B = Br (x0 ) around x0 such that xk ∈ Br (x0 ) for inﬁnitely many k. W is the smaller of the two balls U and V . . In fact. xm . But that is impossible because y = x0 . W ∩ T = ∅ since x ∈ T . Let x ∈ S ∩ T . . S ∪ T ⊆ S ∪ T (cf. (c) False. let B be an open ball around y. S ∪ T ⊆ S ∪ T . . A is also bounded.2 13. of that set consists of the origin and all the points on the sphere x = 1. it is sufﬁcient to show that every open ball around y intersects S. And since z ∈ cl(S). the set S ∪ T is closed. Hence A is compact.) Now. These xk form a subsequence / {xkj } of the original sequence. Therefore. and so y belongs to the closure of T .15 (a) False. (Draw a picture for the case n = 2!) (b) True. Problem 10(b)). Similarly. . int(S ) = { x ∈ n : x < 1}. so S ⊆ S and T ⊆ T . (y1 . But we do not always have equality. Because A is contained in the bounded set X. . xm ). so ∂S is not a subset of S. Therefore. y) = ((x1 . 13. This set (a “punctured” open ball) is obviously open. and so S ∪ T ⊆ S ∪ T . Obviously any such ball also meets T .6 There is an obvious way to identify m × n with m+n : we let the point (x. We shall use the Bolzano–Weierstrass theorem (Theorem 13. and so it should converge to x0 . Since y is in the closure of cl(S). then every open ball around y has a nonempty intersection with S.1.2. (b) Let y be a point in the closure of cl(S). We want to show that y ∈ cl(S). ∂S. . A is closed. 13. so x is an interior point of T . (In fact.5) to show that A × B is compact. so int(S) = S. Therefore {xkj } has a convergent subsequence. Every set is contained in its closure. then there is an open ball B around x such that B ⊆ S. .2. . But its closure is S = {x ∈ n : x ≤ 1} whose interior. . y1 .2(c). Let z be any point in this intersection. But then B ⊆ T as well. The boundary. . Hence.2. they must be equal.1. Since z ∈ B and B is open. W ∩ T = U ∩ V ∩ T ⊆ U ∩ S ∩ T . Then w ∈ B ∩ S. Since S ⊆ S. it is clear that int(S) ⊆ int(S ). Since x ∈ S and S is open. converging to a point y in A. there is an open ball B around z such that B ⊆ B. so it follows that U ∩ (S ∩ T ) is indeed nonempty. yn ) in m+n . T ⊆ S ∪ T .1. . By Theorem 13. respectively. We shall show that x ∈ S ∩ T . so by Problem 9(a). and Peter Hammond 2008 . the intersection B ∩ cl(S) is nonempty. (d) True.102 13 TOPOLOGY AND SEPARATION 13 Topology and Separation 13. . © Arne Strøm. Moreover. Knut Sydsæter. . But this convergent subsequence is also a subsequence of the original sequence.
It is clear that A ⊆ S ∩ A. if a point x0 in S is the limit of a sequence {xk }k in f −1 (F ) then x0 ∈ f −1 (F ). they also belong to F . The set F is closed in m . and {xj } is a sequence in f −1 (F ). {bkj }j has a convergent subsequence {bkji }i .7 Let A ⊆ S ⊆ n.1). Let {xk } be a sequence in A that converges to x0 ∈ S. so ¯ ¯ ¯ what we need to show is that S ∩ A ⊆ A. Since x0 ∈ A there exists a sequence {xk } of ¯ points in A converging to x0 . Since x0 ∈ S. (b) Whever a sequence {xk } in A converges to a limit x0 ∈ S. Claim: (a) ⇐⇒ (b). ¯ ¯ ¯ In fact. Proof of ⇐ : Suppose that f −1 (F ) is relatively closed in S for every closed F in m . we want to show that f(xk ) → f(x0 ) for every sequence {xk } in S that converges to x0 . Then there is an ε > 0 such that f(xk ) − f(x0 ) ≥ ε for inﬁnitely many k. and Peter Hammond 2008 . and by the deﬁnition of F we must have f(x0 ) − f(x0 ) ≥ ε > 0. Atle Seierstad. bi )}i is convergent. f(x0 ) the limit of a sequence in F . and so f is indeed continuous.8 Assume ﬁrst that f is continuous at x0 . then x0 ∈ A.3 tells us that x0 ∈ F . By assumption. Since a sequence in p converges if and only if it converges componentwise (Theorem 13. x0 ∈ S ∩ F = A. Therefore x0 ∈ f −1 (F ). Thus the defender wins. © Arne Strøm. This shows that the assumption (∗) must be false. Proof of ⇒: Since A is relatively closed in S we have A = S ∩ F . where F is closed in n . where A is the closure of A in n . Since all xk belong to A. If we have such a point x0 and such a sequence {xk }.3 13. A × B is compact.13 TOPOLOGY AND SEPARATION 103 Let {(ak . f −1 (F ) is relatively closed in S. and consider the following two statements: (a) A is relatively closed in S. Suppose (∗) xk → x0 but xk → f(x0 ).3. and since F is closed. Theorem 3. with limj →∞ xj = x0 ∈ S. bi )}i is a subsequence of {(ak .2.3. f(x0 ) ∈ F . it follows that {(ai . bk }k . Let x0 ∈ S ∩ A. Now that we have proved the equivalence of (a) and (b) above.3. We want to show that A = S ∩ F for some closed set F in n . 13. Hence. Proof of ⇐ : Suppose that (b) is satisﬁed. 13. and let {xj } = {xkj } be the subsequence of {xk } where k1 < k2 · · · run through all those k for which f(xk ) − f(x0 ) ≥ ε. By the equivalence (a) ⇐⇒ (b) above it sufﬁces to show that. and because f is continuous. Then f :S⊆ n → m is continuous ⇐⇒ f −1 (F ) is relatively closed in S for each closed set F in m Proof of ⇒: Suppose that f is continuous and let F be a closed set in m . we have x0 ∈ A by assumption. Let F = {y ∈ m : y − f(x0 ) ≥ ε} be the complement in m of the open εball around f(x0 ). But then f(x0 ) ∈ F . Since A is compact. bk )}k be a sequence in A × B. the sequence {ak }k has a convergent subsequence {akj }j . then all f(xk ) ∈ F . In other words.2.5: Let S ⊆ n and let f be a function from S to m . We want to prove that f −1 (F ) is relatively closed in S. Thus. and by the equivalence (a) ⇐⇒ (b) above we must have x0 ∈ f −1 (F ). It follows that S ∩ A ⊆ A. (x0 ) = limk (xk ). the inverse image of F . and let x0 be a point in S. We want to show that f is continuous at x0 . let us use it to prove part (b) of Theorem 13. which is absurd. and because F is closed. Let the challenger choose ε > 0. Then {(ai . Knut Sydsæter. and the sequences {ai }i and {bi }i are both convergent. We shall prove that the defender can always win in this case. and then the challenger will be unable to ﬁnd an x that lets him win. Hence. Let ai = akji and bi = bkji . and since B is compact. we shall show that A = S ∩ A. Since f is continuous at x0 the defender is able to choose a δ > 0 such that f(x) − x0 ) < ε whenever x − x0 < δ.
5. because the onesided limits of V (x) at x = 1/3 are equal. the challenger will be able to ﬁnd an x with x − x0 < δ and f(x) − f(x0 ) ≥ ε.4. y) = −12xy 3 −12(x−1)y 2 +12y = −12xy(y−1/x)(y+1). Hence the only possible maximum points are y = −1 and y = 1/x if x > 1/3 and y = −1 and y = 3 if 0 < x ≤ 1/3. 3] must be attained at a point where f2 (x. the maximum of f (x. 1/x) − f (x. 3) = 162 − 351x.4.3 (c) z = f (2. Simple calculations give f (x.5 13. y) 13.7 Let S be a compact set in n . y) for three different values of x. Thus. Finally. 0]. and Peter Hammond 2008 . Since f2 (x. if x = λ1 x1 + · · · λm xm with m < n + 1. −1]. we just add n + 1 − m terms that are all equal to 0x1 . if 0 < x ≤ 1/3. 1/x]. © Arne Strøm. We claim that every point in co(S) can be written as a linear combination of exactly n + 1 points in S.4. and strictly decreasing in [1/x. Figures M13. M13. It follows that f (x. strictly decreasing in [−1. so for x > 1 the maximum occurs for y = −1. Then no matter what δ > 0 the defender chooses.4 13.104 13 TOPOLOGY AND SEPARATION Now assume that f is discontinuous at x0 . −1) = (x − 1)(x + 1)3 /x 3 . Then there will exist at least one ε > 0 that cannot be matched by any δ. the graph is the graph of a continuous function. y) M13.3(d) shows the set M(x) of maximizers as a function of x. The value function V is given by ⎧ ⎨ 162 − 351x V (x) = (2x + 1)/x 3 ⎩ x+2 if 0 < x ≤ 1/3 if 1/3 < x ≤ 1 if x > 1 It is clear that V is continuous. So let the challenger choose such an ε. Fig.4. as it should be because the maximizer is unique for each x = 1. in this case. y) is strictly increasing with respect to y when y ∈ (−∞.5. strictly increasing again in [0. if x = 1 the maximum occurs for y = ±1. 13. Atle Seierstad. f (x. the maximum occurs for y = 3. Knut Sydsæter. y) with respect to y for y in [−3. Except at x = 1. y) = 0 or y = ±3. 1/x) = (2x + 1)/x 3 . and f (x. and so are the onesided limits at x = 1.1) tells us that every point in co(S) can be written as a convex combination of at most n + 1 points in S. y) (b) z = f (1. and if 1/3 < x ≤ 1 the maximum occurs for y = 1/x. z 15 10 5 y −2 −1 1 2 −2 −1 1 2 15 10 5 y −2 −1 1 2 z 15 10 5 y −1 (d) x → M(x) z 3 2 1 y x 1 2 (a) z = f (1/2.3(a)–(c) shows the graph of the function y → f (x. Indeed. Carathéodory’s theorem (Theorem 13. f (x. the challenger wins. −1) = x + 2.3 For a ﬁxed x. ∞).
(Draw a picture!) 13. It follows that H is l. 14 Correspondences and Fixed Points Proof of Theorem 14. y ∈ F (x). What we have shown here is that. Consider. x1 .6 that.3. Let U be an open neighbourhood of a point (y0 . 0)}. Then U ∩ G(y) = ∅.14 CORRESPONDENCES AND FIXED POINTS 105 Now let T = n × S n+1 .h. λn+1 ) ∈ n+1 : λi ≥ 0 for i = 1. Similarly. and if z ∈ U ∩ G(y).2 there exists a nonzero vector a in n such that a · z ≤ a · x for every z in S. y) ∈ 2 : x > 0. there is a neighbourhood N of x0 such that V ∩ F (x) = ∅ for all x ∈ N. . xn+1 ) = λ1 x1 + · · · + λn+1 xn+1 . The set n is obviously a compact (i. Because F (x0 ) is bounded there exists a bounded and open set U in l that contains F (x0 ). On the other hand.. .1. . y) : x > 0. Then H (x) ∩ U ⊇ H (x) ∩ (U1 × U2 ) = (F (x) ∩ U1 ) × (G(x) ∩ U2 ) = ∅ for all x in N ∩ X. where n = {(λ1 . Deﬁne a function f : T → n by f (λ1 . for instance points of the form x + ta for small positive numbers t. λn+1 . since y0 ∈ F (x0 ). and so S is not an interior point of S. . so if S is also compact. then z ∈ G(y). The convex hull of S is co(S) = {(x.c. 14. n + 1. and Note 14. then so is co(S). Since F (x0 ) is compact. if A and B are compact subsets of m and p . Then z0 ∈ G(y0 ) for some y0 in F (x0 ). Then S ⊆ H− = {z : a · z ≤ a · x}. . Atle Seierstad. Suppose that F and G are u. i. we also have S ⊆ H− . Since G is l. Theorem 13. closed and bounded) subset of n+1 . If S is closed but unbounded. .4 We shall use the characterization of lower hemicontinuity in (14.8) to prove that H = G F is lower hemicontinuous. For the result about upper hemicontinuity we need to assume that F (x0 ) and G(x0 ) are compact. the open ﬁrst quadrant together with the origin.2. then co(S) need not even be closed. there exists a neighbourhood V of y0 such that U ∩ G(y) = ∅ for all y in V . so z ∈ H (x).1. then by Theorem 13. z0 ) in H (x0 ). respectively. Since F is l. at x0 . . . such that U1 ×U2 ⊆ U . and Peter Hammond 2008 .3 If x is not an interior point of the convex set S (⊆ n ).h. Knut Sydsæter. then A × B is a compact subset of m+p . Let z0 ∈ H (x0 ) and let U be a neighbourhood of z0 . it is closed. y > 0. . there are neighbourhoods N1 and N2 of x0 such that F (x) ∩ U1 = ∅ for all x in N1 ∩ X and G(x) ∩ U2 = ∅ for all x in N2 ∩ X.h. . Since the half ¯ space H− is closed. (It follows from Problem 13.h. . the argument above shows that every point in co(S) belongs to the image f (T ) of T under f . Then H (x0 ) = F (x0 ) × G(x0 ) is also compact. This immediately extends to the Cartesian product of a ﬁnite number of sets.c. for example.8) on page 506 to show that if F and G are l. the closed set S = {(x.1. if S is closed and bounded. Then there are open neighbourhoods U1 and U2 of y0 and z0 in l and m . then so is T . . Moreover. at x0 .e. . © Arne Strøm. .h. Then f maps every point in T to a point in co(S).6. . Hence.6.c. at y0 . xy ≥ 1} ∪ {(0.3 shows that co(S) = f (T ) is compact. so in fact co(S) = f (T ). 0)}.1. . Let N = N1 ∩ N2 . respectively.5(c): We will use the result in (14. This set is not closed. Every open ball around x contains points that do not belong to H− .c.6 13. λ1 + · · · + λn+1 = 1} and S n+1 = S × · · · × S is the Cartesian product of n + 1 copies of S.c.1 then says that F has the closed graph property at x0 . no open ball around x ¯ ¯ is contained in S. y > 0} ∪ {(0. G has the closed graph property at x0 and there exists a bounded and open set V in m and a neighbourhood NG of x0 such that G(x) ⊆ V for all x in NG . and since F is upper hemicontinuous at x0 there is a neighbourhood NF of x0 such that F (x) ⊆ U for all x in NF .1 14.) Since f is continuous. then so is H . Let x ∈ N and y ∈ V ∩ F (x).e.1.
h. Hence G is l.h.h. The other three are usually not u.c. so has H . Since F is u. everywhere.) Every correspondence F that satisﬁes the conditions in the problem is l. Let N = N1 ∩ · · · ∩ Nk be the intersection of these neighbourhoods. 0 0 d(y.10 Every constant correspondence is both l. there exists an α > 0 such that G(x0 ) ⊆ U ⊆ U . so let us concentrate on the four possibilities F (x) = [a(x). since the open set U = (−1. α) = y ∈ m : there is a y in G(x0 ) with y − y <α This follows from the technical result below. there is a neighbourhood Ni of x such that F (x) ∩ B(yi .c.h. then F (x) = ∅ for all x sufﬁciently close to x0 .1.h. y0 ) = y − y0 = i (λi yi − λi yi ) ≤ i λi yi − yi < i λi ε = ε.2 implies that F is u.1. at any other point either. 1) if x > 0. It follows that G(x) ∩ U = ∅. This is an easy consequence of the deﬁnition (14.1.c.8) to prove that G 0 0 is l. and F (x0 ) ⊆ G(x0 ) ⊆ U . 14. H (x) = (a(x). F is not u. provided only that its effective domain is open—i.h. The desired conclusion follows.h. at x = 0.c at x0 .h. . so y ∈ B(y0 .c. no matter how close to 0 it may be. Atle Seierstad. N is a neighbourhood of x0 . Consider for example the correspondences C1 and C2 given by C1 (x) = [0.1. and Peter Hammond 2008 . everywhere. b(x)]. (But both of them are l. b(x)) (for all x). . there exists a δ > 0 such that F (x) ⊆ U for every x in N = B(x0 . 14.1.h.h.c.e.c. while C2 is not u. In fact. then y ∈ co(F (x)) = G(x). G(x) = co(F (x)) is also compact for each x.1. . Let W = U × V ⊆ l+m and let N = NF ∩ NG .4). For example. b(x)]. If i=1 U is a neighbourhood of y0 . A detailed study would take us too far aﬁeld.. ε) ⊆ U .h. K(x) = (a(x).7.1. [0.h. if x ≥ 0. 1) contains F (x) for x = 0 but not for any other value of x. b(x)) sometimes. 14. Moreover. . ε) = ∅ for all x in Ni ∩ X. ε) for some ε > 0. If G(x0 ) is contained in an open set U . but not always. C2 (x) = [0. 1] if x ≤ 0.c. Then y0 is a convex combination y0 = k λi yi of points yi in F (x0 ). belong to F (x). But even if a(x) and b(x) are constant functions. if F (x0 ) = ∅.11 The set F (x) is compact for each x in X.c. k. so H is locally bounded near x0 . If we let y = i λi yi . and therefore G(x) = co(F (x)) is also contained in U (and so in U ) for all x in N. 1 + x 2 ) is not u. Knut Sydsæter. Then for any x in N and every i there is 0 at least one point yi in F (x) ∩ B(yi . complications may arise if one or both of the endpoints of the interval (a((x). so Theorem 14.c.2 to prove that H is u. With nonconstant a(x) and b(x) many complications arise in connection with upper hemicontinuity. with S = U = m \ U and K = F (x0 ). For each 0 i = 1. G(x) = [a(x)..c. the correspondence F (x) = (−1 − x 2 .c. except in the constant case.c. and H (x) = F (x) × G(x) ⊆ W for all x in N. and u.5. 1) if x < 0. ε). C1 is u.h.6 We shall use the characterization of lower hemicontinuity that is given in (14.h..c. By Problem 13.106 14 CORRESPONDENCES AND FIXED POINTS Since F and G have the closed graph property at x0 . Then W is bounded in l+m . δ). 1] [0. F has a closed graph and is locally bounded. b(x)). Let y0 ∈ G(x0 ). at x = 0. where U is the open “αneighbourhood” of G(x0 ) deﬁned as U = B(G(x0 ). It is not hard to see that U is convex. We are now all set to use Theorem 14. then U contains an open ball B = B(y0 . © Arne Strøm.
B(p. m) is continuous at every point (p.3. is a case where f (S1 ∩ S2 ) is a proper subset of f (S1 ) ∩ f (S2 ). The intersection of S1 and S2 is S1 ∩ S2 = [−1. m) close to (p0 . The images of S1 and S2 under f are f (S1 ) = [0. x0 ) = d(y . m) is upper hemicontinuous and the indirect utility function V (p. S) is a continuous function of y.2. Lower hemicontinuity at that point follows easily from the result in (14. Suppose that U is quasiconcave. Here. consider the following: Let f (x) = x 2 for all x in . y) + d(y.1).3 By Example 14. S) − d(y . It follows that g(y) = d(y. m0 ). Atle Seierstad. and denote it by d(y. COMPLETENESS. 1]. 0). m0 ) = B(p0 . y).3. B is also upper hemicontinuous at (p0 . By Problem 13. In other words. namely the origin 0 in n .1 implies that λx1 + (1 − λ)x2 also belongs to ξ(p. S). and deﬁne two intervals S1 = [−4.1 A. the distance between a point in S and a point in K is never less than α. m) is continuous.1 corresponds to (p. (In the deﬁnition of continuity in (13.2. 3]. y).3 The answer in the book has been pared down to the bone.) The demand correspondence will not always be lower hemicontinuous.5. S) ≤ d(y .e. y) + d(y. ξ(p. What if m0 = 0? In that case B(p0 . The maximum theorem (Theorem 14. then d(y . h(x) = d(x. 0) consists of a single point.6. m0 ) where m0 > 0. and Convergence A.1. m) in this problem. y). so by Theorem 14. then there exists a positive number α such that d(x. m)). y) attains a minimum at some point x0 in S. For an example with a little more ﬂesh on it. m) B(p. If y is another point in n . Let us call h(x0 ) the distance between the point y and the set S. m0 ). with a function deﬁned on a set with only two elements in it. In other words. (Note that x F (x) in Theorem 14. 2] and S2 = [−1.2. y) ≥ α for all x in S and all y in K. the budget correspondence B(p. S) − d(y. © Arne Strøm. A Sets. It is also locally bounded near (p0 . Then α = g(y∗ ) = d(y∗ . then it will obviously contain B(p. S) − d(y. Hence. d(y . x0 ) ≤ d(y . if x1 and x2 are distinct points in ξ(p.1.1. Theorem 2.1. and the image of S1 ∩ S2 is f (S1 ∩ S2 ) = [0. AND CONVERGENCE 107 A little technical result: If S and K are disjoint closed subsets of m and K is compact. and Peter Hammond 2008 . 0).A SETS. If U is an open set in n that contains 0. m) is lower hemicontinuous and has the closed graph property at any point (p0 . 9]. S) ≤ d(y. S) ≤ d(y . 2]. m) is a convex set. 14. m) (i. Completeness.1) then implies that the demand correspondence ξ(p.2. and it follows that B is upper hemicontinuous at (p0 . y) in the theorem correspond to x and U (x) in the problem.) Since K is compact. Proof: Let y be a ﬁxed point in n and let x be a point in S. maximum points for U over B(p.8). m) for every λ in [0. m) for any (p. By symmetry. 16] and f (S2 ) = [0. x∗ ) for a point y∗ in K and a point x∗ in S. S) ≤ d(y . so α > 0. y ) = d(y . Then. then. n Thus.5. Knut Sydsæter. m) in X = ++ × + .2 14. while y and f (x. 4]. every ε > 0 can be matched by δ = ε. d(y. S) so d(y . g attains a minimum value α over K.
3. so any subsequence of {xk } must have an inﬁnite number of terms in common with at least one of {wk } and {zk }. Given one approximate solution. for instance. sin(3π/3) = 0.) Consider the particular subsequences {wk } = {x2k−1 } and {zk } = {x2k } of {xk }. sin(4π/3) = − 2 3. will usually converge to a root of f (x) = 0. Figures MA.) Now apply this procedure to the equation f (x) = x 2 − 2 = 0. √ Thus the rational number s is closer to 2 than r is. sin(2π/3) = 2 3. any convergent subsequence of {xk } must converge to either 0 or 2. where f is a differentiable function. √ √ √ √ 1 1 1 1 sin(π/3) = 2 3. Knut Sydsæter. and {y6k+5 } converge to sin 0 = 0. we also have s > 2.4 For the solution of this problem we need the fact that. A. . We want to show that xR −1 z. A.2 It is shown in the answer in the book that s < r. {y6k+4 }. Hence.3.4(a) and MA3. respectively.3.2. 2 3. which is a famous procedure for ﬁnding and improving approximate solutions to an equation f (x) = 0. They converge to 0 and 2. and so on. Let us just see how to handle (ii): We are assuming that R is transitive relation in a set S. then x1 = r − f (r)/f (r) = r − (r 2 − 2)/2r = (r 2 + 2)/2r is precisely the number s.3. we have xk ≤ Mn and yk ≤ Nn . COMPLETENESS. and z be elements in S such that −1 y and yR −1 z. (iii) antisymmetric. Let x. x 2 √ 3 k 10 √ 1 −2 3 MA. respectively. and since R is transitive. Atle Seierstad.3. they must have the same limit. then so has R −1 . and Peter Hammond 2008 . We have yR x and zR y. it follows k }. let Mn = sup{xk : k ≥ n} and Nn = sup{yk : k ≥ n}. (ii) transitive. (This is an easy consequence of Theorem A. {y6k+3 }. . If the initial approximation x0 is good enough.4(b) illustrate the behaviour of {xk } and {yk }.4 A relation is a linear ordering if and only if it is (i) reﬂexive. as promised. and they contain all but the ﬁrst ﬁve elements of {y√ In the same way as for {xk }. and so xk +yk ≤ Mn +Nn .5 (b) (i): For each natural number n.3. Together.3 A. x0 . xR zR x. But how did anyone come up with the expression s = (2 + r 2 )/2r in the ﬁrst place? The answer is Newton’s method. and then we construct x2 from x1 in the same fashion.4(b) y 1 1 2 k 10 −1 MA. we let x1 = x0 − f (x0 )/f (x0 ). For each of these four properties it is easy to see that if a relation R has that property. these two subsequences contain all the terms of the original sequence.2 A. If x0 = r is a positive number. √ 1 1 that any convergent subsequence of {yk } must converge to 0. Thus sup{xk +yk : k ≥ n} ≤ Mn +Nn ≤ © Arne Strøm. if two convergent sequences have inﬁnitely many terms in common.3. The six subsequences {y6k }. AND CONVERGENCE A.108 A SETS. and sin(5π/3) = − 2 3. and (iv) complete. {y6k+2 }.4(a) 20 20 A. and since s is positive and s 2 > 2. y. the sequence x1 . or − 2 3. Then for all k ≥ n. .1. (A brief discussion of this method can be found in EMEA. Therefore xR −1 z. {y6k+1 }. x2 .
3.1.B TRIGONOMETRIC FUNCTIONS 109 limn→∞ (Mn + Nn ) = limn→∞ Mn + limn→∞ Nn .6 It is clear from the deﬁnitions of sin x and cos x that sin(x + π) = − sin x and cos(x + π) = − cos x for all x.1 B.1.8) and the result of Problem 3 again.6 Let n and m be natural numbers with n > m. The proof of (ii) is similar and is left to the reader. (a) sin(π − π/6) = sin(π/6) = 1/2. These results come in handy in this problem. The formula for sin(x − y) in Problem 4 also shows that sin(π − x) = sin x for all x. √ 1 (b) (cos(π + π/6) = − cos(π/6) = − 2 3. from the hints in the question. Knut Sydsæter. or limk→∞ (xk + yk ) ≤ limk→∞ xk + limk→∞ yk . √ √ B. B Trigonometric Functions B. √ √ 1 (f) sin(π/12) = sin(π/3 − π/4) = sin(π/3) cos(π/4) − cos(π/3) sin(π/4) = 4 ( 6 − 2). and let p = n − m. and Peter Hammond 2008 √ 1 (c) By Problem 2(a). we have sin[π − (α + β)] sin(α + β) = = tan(α + β) cos[2π − (α + β)] cos(α + β) © Arne Strøm.1. Atle Seierstad. Then xn − xm  = xm+p − xm  = (xm+p − xm+p−1 ) + (xm+p−1 − xm+p−2 ) + · · · + (xm+2 − xm+1 ) + (xm+1 − xm ) ≤ xm+p − xm+p−1  + xm+p−1 − xm+p−2  + · · · + xm+2 − xm+1  + xm+1 − xm  1 1 1 1 < m+p−1 + m+p−2 + · · · + m+1 + m 2 2 2 2 1 1 1 1 1 − ( 2 )p 1 1 1 1 = m 1 + + · · · + p−1 = m < m = m−1 1 1 2 2 2 2 1− 2 2 1− 2 2 which obviously becomes arbitrarily small for m sufﬁciently large.8) together with the fact that sin π = 0 and cos π = −1. as well as (B. √ 1 (d) cos(5π/4) = cos(π/4 + π) = − cos(π4) = − 2 2.1. tan(7π/6) = tan(π/6) = 1 3. √ (e) By formula (6).1. A. sin(−3π/4) = − sin(3π/4) = − 2 2. This also follows from Problem 4 and formula (B. Then. B.7 (a) The formula for sin(x + y) in Problem 4 gives √2 sin(x + π/4) − cos x = 2(sin x cos(π/4) + √ √ 1 1 cos x sin(π/4)) − cos x = 2(sin x · 2 2 + cos x · 2 2) − cos x = sin x (b) Since sin(π − x) = sin x and cos(2π − x) = cos(−x) = cos x. 3 .4 cos(y − π/2) = sin y follows directly from Problem 3. it follows that sin(x + y) = cos(x + y − π/2) = cos x cos(y − π/2) − sin x sin(y − π/2) = cos x sin y + sin x cos y = sin x cos y + cos x sin y Substituting −y for y then yields sin(x − y) = sin x cos(−y) + cos x sin(−y) = sin x cos y − cos x sin y.
(arcsin 2x) = (arcsin u) =√ dx du dx 1 − u2 1 − 4x 2 (b) (d/dx)(arctan v) with v = 1 + x 2 . and Peter Hammond 2008 .9 (a) Let u = 2x. Moreover. we have (cos x − cos y)2 + (sin x + sin y)2 = (cos(x + y) − 1)2 + sin2 (x + y).6 The derivative of f (x) is f (x) = 3(sin x − x − 1)2 (cos x − 1). Atle Seierstad.1.) (c) y = 2e−x/π cos x.2 B.1.2. because sin x ≤ 1 < x + 1. B. © Arne Strøm.8 You can read all these values off from Table B.1. f is strictly decreasing in the closed interval I = [0. i.2.4 (c) All you need is the chain rule and a steady hand. (An exponentially damped cosine curve with amplitude 2e−x/π . It follows that f (x) < 0 for all x in J . B. (A cosine curve with amplitude 1 and period 2π shifted 2 units upwards. 1 1 1 − cos t sin t sin t “0” = lim = lim = by (B. The chain rule yields =√ . B.) B. 3π/2].2. and attains its maximum value −1 at x = 0 and its minimum value −(2 + 3π/2)3 ≈ −302. d 2 d du 2 B.5 (c) lim again).43 at x = 3π/2. The equation LHS = RHS implies that cos(x + y) = cos x cos y − sin x sin y.1. Then 2u dx du dx cos cos2 (x 2 ) (d) (e2x cos x) = (e2x ) cos x + e2x (cos x) = 2e2x cos x − e2x sin x = e2x (2 cos x − sin x).1. cos x < 1 for all x in the open interval J = (0.12 (a) This is a sine curve y = A sin(ax) with A = 2 and a(8π) = 2π . Knut Sydsæter.10) (or just use l’Hôpital’s rule = t→0 2t t2 0 2 t→0 t 2 B. t→0 B. (c) Let u = x 2 .13 Since the lengths of the line segments AC and BD are equal.e. a = 1/4.2. 2 2 B.8 With x = 1 2 (A 1 2 (A + B) and y = (b) y = 2 + cos x.8) and the formulas in Problems 3 and 4 give sin(a + x) − sin(a − x) sin a cos x + cos a sin x − sin a cos x + cos a sin x = cos(a + x) − cos(a − x) cos a cos x − sin a sin x − cos a cos x − sin a sin x cos a 2 cos a sin x =− = − cot a = −2 sin a sin x sin a − B) we get sin A − sin B = sin(x + y) − sin(x − y) = sin x cos y + cos x sin y − sin x cos y + cos x sin y = 2 cos x sin y = 2 cos A + B sin A − B . Thus.110 B TRIGONOMETRIC FUNCTIONS (c) Formula (B.1 (b) (x cos x) = x cos x + x(cos x) = cos x − x sin x.2.2. B. 3π/2). The lefthand side is LHS = cos2 x − 2 cos x cos y + cos2 y + sin2 x + 2 sin x sin y + sin2 y = 2 − 2 cos x cos y + 2 sin x sin y and the righthand side is RHS = cos2 (x + y) − 2 cos(x + y) + 1 + sin2 (x + y) = 2 − 2 cos(x + y) where we have repeatedly used that sin2 u + cos2 u = 1. It is easy to see that sin x < x + 1 for all x > 0.2.2. du 1 2x d d (tan(x 2 )) = (tan u) = 2x = .
11 (a) Let u = cos x. Thus. (d) Integration by parts here too. 6 6 B. (b) = (a) 2 2 2 i(−i) 1 (1 − i)(1 + i) 1−i 2 (3 − 2i)(2 − i) (c) Simplify the numerator and denominator before making the denominator real: = (−1 − i)(3 + 2i) (4 − 7i)(−1 + 5i) 4 − 7i −4 + 27i − 35i 2 31 27 6 − 7i + 2i 2 = + i. B. Note: When integrating trigonometric functions it is very easy to get wrong signs here and there. we get dv = cos x dx and (c) As in part (a). I = − sin x cos x + x − I + C.3 To simplify a complex fraction (a + bi)/(c + di).3 B. Knut Sydsæter. (b) With v = sin x. = = + i. b. where C1 = 2 C.2. d are real.10 √ √ dw 1 1 d d 1 (arccos x ) = (arccos w) = −√ x. so = = 2 1−i 2 2 1+i 1−i 1+i 3 = (−i)3 = −i 3 = −i 2 i = i. cos5 x sin x dx = −u5 dx = − 1 u6 + C = − 1 cos6 x + C. Atle Seierstad. © Arne Strøm. c. so it is a good rule to check the results by ﬁnding the derivatives when that is possible. √ =− √ 2 2 x dx dw dx 2 1−x x 1−w (c) Integration by parts yields I= sin2 x dx = sin x(− cos x) dx = sin x(− cos x) − cos2 x dx = − sin x cos x + (sin x) (− cos x) dx = − sin x cos x + (1 − sin2 x) dx 1 1 Hence. it is usually a good idea to multiply both the numerator and the denominator by c − di. where a. and we get I = 2 (x − sin x cos x) + C1 .2. the conjugate of the original denominator. Then √ .3. (4 − 3i)(−i) −3 − 4i 3 + 5i + 2i 2 1 5 1 + 5i (3 + 2i)(1 + i) = = −3 − 4i. Then du = − sin x dx and − ln  cos x + C. and Peter Hammond 2008 . This has the effect of making the denominator real (and positive) because (c −di)(c +di) = c2 −(di)2 = c2 − d 2 i 2 = c2 + d 2 . and integration by parts also often leads to such mistakes. let u = cos x. Then cos xesin x dx = tan x dx = − du = − ln u + C = u ev dv = ev + C = esin x + C. = = = 2 − (5i)2 2 2 −1 − 5i (−1) 1 − 25i 26 26 −3 − 5i − 2i (d) −2i 1 − 2i + i 2 (1 − i)2 1−i = = −i.B TRIGONOMETRIC FUNCTIONS 111 (c) Let w = B.
(See Example B. u(t))e dt < ∞ for all . s) = 4 r 2 . 3 3 Page 457. . . Problem 6. . y) ≈ x + 2y − 2 x 2 − 2xy − 2y 2 3 1 Page 566. line 3: .1(b): Add the assumption that S is convex. 1 Page 566.) Page 26. . Page 225. line 5: The function f must also be continuous.2. Theorem 9.3.2. Vt ). . .11. . xt . Problem 6: The differential equation has no solution deﬁned over the entire real line.6: The summation goes from t = 0.1: See SM. . line 2: . . . Page 571: New Problem 3. that ∞ −t t0 f (t. xt−1 . Next. . line 2: f ∗ (r. . formula (10): E F2 (t. Page 164.3. with K(t) > 0 for Page 382: The entries in the ﬁrst column of the table should be “t ∈ [0. ﬁrst printing (Spelling and grammatical mistakes are not included. xt+1 (xt .1(c): f (x. .6.6. . Page 192. Problem 2. Problem 10. wx = 1/2. Problem 9. . Page 124. Problem 3. all t > 0. xt . gm are deﬁned in a set S and that x∗ is an interior point of S.3. Problem 12. Problem 2. x(t). line 2: Replace (c) by (b). Problem 3. t ∗ ]” and “t ∈ (t ∗ . line 12 from the bottom.6. .2. . line 1: Drop the labels (a) and (b).5. Problem 6. line 5: .8.11. Theorem 2. . Problem 12. Page 576. Page 444. .2(b): . 2) is only the semicircle above the taxis.112 B TRIGONOMETRIC FUNCTIONS Corrections to FMEA 2nd edn (2008).6. . and the scrap value is XT . .10: Replace the inequality in (∗) with equality. We must be satisﬁed with a function x that satisﬁes the conditions in the problem in an open interval around 0.5. Theorem 3.1. (We require x > 0. .3. Vt )  vt−1 + F3 (t − 1.12.5: In parts (b) and (c) the conclusion should be that U (x) = F (f (x)) is convex! Page 117. Page 570.3.1.4. Page 357. 1 Page 570. vt−1 ) = 0 Page 455.5(c). Page 132.3.2: The integral curve through (0. Problem 5. Problem 3.7.3(c). .8.7. in Theorem 12. . Page 454. Page 455. we have ˙ Page 352. . provided x = 0. for t = T . . T ]”. . line 2: . Problem 3. line 1–2: Assume that f and g1 . line 2: . .) Page 59. .3.1: Delete “and x ≡ 0”. Atle Seierstad.) © Arne Strøm. . and Peter Hammond 2008 . line 8: 2 vT −1 should be 2 VT −1 . Page 199. Figure A5. line 2: . . to ﬁnd the squares of the largest Page 570.4. Theorem 3. Problem 2. Knut Sydsæter. Page 508: See SM (not Problem 11) for the proof of Theorem 14. Page 574.1 are .4: z ≈ 1 − x + y + 2 x 2 − 2xy + 2 y 2 1/2 Page 566.
Page 583.6. ˙ ˙ Page 589. but it need not be lower hemicontinuous. A5. When u = 2. Knut Sydsæter. Problem 9. Problem 9. and Peter Hammond 2008 .4: (x ∗ (t). Problem 7. . . . Page 588. x3 = 3 2 − v0 − v 1 − v 2 Page 599. Problem 11. (e − 1.6.12. Problem 9. .9. line 2: . . ˙ Page 591.3: The demand correspondence ξ is upper hemicontinuous. Page 582. See Fig.3: (a) . e(α−2β)T − 1 e −1 e(α−2β)T − 1 (e − e−t . Page 590. .11. Atle Seierstad.4. . . Page 595.2: . . line 3: .. Problem 6. where A = 2e/(e2 − 1). aT = a/2. at = 2 (1 + at+1 )1/2 for t < T . 0] . x ∗ (t) = Page 589. Page 593.6.3.7. 0) if t ∈ (0.3: Remove (b) from line 2. Problem 12. line 2: Replace x∗ by x ∗ and t ∗ by t . Problem 10. .3. u∗ (t)) = e(α−2β)T − e(α−2β)t eαt e(α−2β)T +αt e2(α−β)t − (α−2β)T = . Problem 9.3(b).7.8: x1 = 1 2 − v0 .6: ut (x) = xt /4at2 = xt /(1 + at+1 ).. Problem 12. 1) if t ∈ [−1. 1 2 2 Page 595.7. . and so C ∗ /C ∗ + λ/λ = 0. ∞) p(t) = e−t . x = −3 and .7. Problem 10. . Problem 14.3.2. . line 1: (a) x ∗ ≈ −2.2. .4. Page 586. © Arne Strøm.B TRIGONOMETRIC FUNCTIONS 113 Page 577.94753. Problem 5. .3. x2 = 1 − v0 − v1 .2. .6: Drop the references to (a) and (b). . line 1: . . . .
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