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Prinsip Maksimum Pontryagin Dalam Masalah Kontrol Optimum Stokastik

Author

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  • Garnadi, Agah D.
  • SYAHRIL,

Abstract

Kontrol Optimum Stokastik merupakan cabang matematika yang relatif baru perkembangannya. Terdapat dua pendekatan untuk menentukan solusi masalah kontrol optimum stokastik, yaitu prinsip maksimum Pontryagin dan program dinamis Bellman. Tulisan ini menyajikan prinsip maksimum untuk masalah kontrol optimum stokastik dan aplikasinya dalam masalah portofolio dan konsumsi. Merton(1971) menyelesaikan masalah konsumsi dan portofolio dengan menggunakan pendekatan program dinamis. Dengan hasil yang diperoleh oleh Merton sebagai patokan, masalah konsumsi dan portofolio diselesaikan dengan pendekatan prinsip maksimum.

Suggested Citation

  • Garnadi, Agah D. & SYAHRIL,, 2017. "Prinsip Maksimum Pontryagin Dalam Masalah Kontrol Optimum Stokastik," INA-Rxiv s6tw4, Center for Open Science.
    • Handle: RePEc:osf:inarxi:s6tw4
    DOI: 10.31219/osf.io/s6tw4
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