To avoid difficulties associated with the computation of optimal singular/bang-bang controls, a common approach is to add a perturbed energy term. The efficacy of this perturbation method is assessed here via a direct search iterative dynamic programming procedure. A potential limitation of the stra
β¦ LIBER β¦
On theoretical and numerical aspects of the bang-bang-principle
β Scribed by K. Glashoff; E. Sachs
- Publisher
- Springer-Verlag
- Year
- 1977
- Tongue
- English
- Weight
- 868 KB
- Volume
- 29
- Category
- Article
- ISSN
- 0029-599X
No coin nor oath required. For personal study only.
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## Abstracts and Reviews and also for the boundaries of the no-transactions region. The economy consists of a single risky asset and a riskless asset. Transactions in the risky asset incur proportional transaction costs. The investor has a power utility function and is assumed to maximize expected