Elements of Numerical Mathematical Economics with Excel

10.10. Constraints on the state variable: a linear case with an inventory application with VBA

As in CoV also the OC problems may be constrained. In this section we will see a state-space constrained problem, where both the integrand function and the constraints are linear. Next, we will show how VBA can be used in a bang-bang inventory problem.

In the OC theory a state space constrained problem is expressed as follows ⁹ :

max { u } ∫ t 0 T F ( t , y , u ) d t

 

Table 10.9-1

Example 1: current-value Hamiltonian Excel computed solution.

s . t . y ˙ = f ( t , y , u )