Using ddp solve for optimization over two variables

2 ビュー (過去 30 日間)
Prerna Mishra
Prerna Mishra 2022 年 7 月 1 日
コメント済み: Torsten 2022 年 7 月 1 日
I have a dynamic programming model, in which the Value of firm today depends on the productivity shock today, capital today, capital tomorrow and debt level. I have to maximize the firm value and therefore find the optimal levels of capital and debt that maximize this value. The shock follows a log normal process. Is it possible to use ddpsolve to solve this problem? I am confused because I have to optimize over two variables and I haven't found any example does does so.
  2 件のコメント
Matt J
Matt J 2022 年 7 月 1 日
編集済み: Matt J 2022 年 7 月 1 日
Is it possible to use ddpsolve to solve this problem?
Maybe, but ddpsolve is not a native Matlab function, so no one here is likely to be familiar with it. Some 3rd party function, I'm assuming.
Torsten
Torsten 2022 年 7 月 1 日
This sounds like a stochastic optimization problem. I don't know about ddpsolve, but are you sure that the code is able to solve such problems ?

サインインしてコメントする。

サインインしてこの質問に回答する。

回答 (0 件)

カテゴリ

Help Center および File Exchange で Financial Toolbox についてさらに検索

タグ

製品

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by