论文标题
多周期责任通过凸的最佳控制清算
Multi-Period Liability Clearing via Convex Optimal Control
论文作者
论文摘要
我们考虑确定一组明确（如果可能的）负债的实体之间的付款顺序的问题。我们将其作为最佳控制问题提出，当目标函数实现并因此很容易解决时，它是凸的。对于这个最佳控制问题，我们提供了许多有用且有趣的凸成本和约束，这些成本和约束可以通过任何方式组合到不同的应用程序中。我们描述了许多扩展名，例如处理现金和负债的未知变化，以允许救助，以找到清除负债的最短时间，或者在完全清除负债的情况下，以最大程度地减少非清算责任的数量。
We consider the problem of determining a sequence of payments among a set of entities that clear (if possible) the liabilities among them. We formulate this as an optimal control problem, which is convex when the objective function is, and therefore readily solved. For this optimal control problem, we give a number of useful and interesting convex costs and constraints that can be combined in any way for different applications. We describe a number of extensions, for example to handle unknown changes in cash and liabilities, to allow bailouts, to find the minimum time to clear the liabilities, or to minimize the number of non-cleared liabilities, when fully clearing the liabilities is impossible.
