最优控制理论第七章.pptVIP

Chapter 7 Applications to marketing State Equation: Sale expressed in terms of advertising (which is a control variable) Objective: Profit maximization Constraints: Advertising levels to be nonnegative The Nerlove-Arrow Advertising Model: Let G(t) ? 0 denote the stock of goodwill at time t . where is the advertising effort at time t measured in dollars per unit time. Sale S is given by Assuming the rate of total production costs is c(S), we can write the total revenue net of production costs as the revenue net of advertising expenditure is therefore . The firm wants to maximize the present value of net revenue streams discounted at a fixed rate ? , i.e., subject to (7.1). Since the only place that p occurs is in the integrand, we can maximize J by first maximizing R with to price p holding G fixed, and then maximize the result with respect to u. Thus, which implicitly gives the optimal price Defining as the elasticity of demand with respect to price, we can rewrite condition (7.5) as which is the usual price formula for a monopolist, known sometimes as the Amoroso-Robinson relation. In words, the formula means that the marginal revenue must equal the marginal cost . See, e.g., Cohen and Cyert (1965, p.189). Defining , the objective function in (7.4) can be rewritten as For convenience, we assume Z to be a given constant and restate the optimal problem which we have just formulated: Solution by the Maximum Principle The adjoint variable ?(t) is the shadow price associated with the goodwill at time t . Thus, the Hamiltonian in (7.8) can be interpreted as the dynamic profit rate which consist of two terms: (i) the current net profit rate and (ii) the value of the new goodwill created by advertising at rate u. Equation (7.9) corresponding to the usual equilibrium relation for investment in capital goods: s