Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: May, 1970, Volume 38, Issue 3

An Approximate Method for Solving a Continuous Time Allocation Problem<473:AAMFSA>2.0.CO;2-X
p. 473-481

Jaromir Abrham

The problem consists in maximizing a concave functional--given as an integral--on a class of functions. A method based on approximating optimal solutions by step functions is suggested; approximations are found by solving concave programming problems of a special type. Some convergence theorems are proved and an estimate of the error in terms of values of the objective functional is given.

Log In To View Full Content

Journal News