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Use NMaximize output as parameter?

Posted 6 years ago

Hello, I'm running two maximization problem and I want to use the output for additional condition in "If" function. How can I use the output as parameter? (e.g. X+z in this code)

Here is the Code:

ClearAll[Y ,X,z,w]
T0=1 
Hmu=0.2
SA=10+Hmu  
SB=10-Hmu
Sigma=1.5
K=10
r=1.02
gamma=0.1
Vi=2
Eye=2

ZC=(K-SA)/Sigma
ZB=(K-SB)/Sigma 
S0=(SA-gamma(Sigma^2)(Vi /Eye ))/r
C0=((SA-gamma(Sigma^2)(Vi /Eye ) -K)(1-CDF[NormalDistribution[0, 1], ZC+gamma*Sigma*(Vi /Eye ) ])+(PDF[NormalDistribution[0, 1], ZC+gamma*Sigma*(Vi /Eye ) ])Sigma)/r
A=(((Vi /Eye ) -X)S0-Y*C0)r+X*SA-(gamma/2)(X^2)(Sigma^2)
B=(((Vi /Eye ) -X)S0-Y*C0)r +(X +Y)SA -(gamma/2)(X +Y) ^2(Sigma^2) -Y *K
Q=(((Vi /Eye ) -z)S0-w*C0)r+z*SB-(gamma/2)(z^2)(Sigma^2)
P=(((Vi /Eye ) -z)S0-w*C0)r +(z +w)SB -(gamma/2)(z +w) ^2(Sigma^2) -w *K 
UA=-Exp[-gamma*A]*(CDF[NormalDistribution[0, 1], ZC+gamma*X  *Sigma ]) -Exp[-gamma*B]*(1-CDF[NormalDistribution[0, 1], ZC+gamma*(X  +Y )*Sigma ]) 
UB=-Exp[-gamma*Q ]*(CDF[NormalDistribution[0, 1], ZB+gamma*z  *Sigma ]) -Exp[-gamma*P ]*(1-CDF[NormalDistribution[0, 1], ZB+gamma*(z  +w )*Sigma ])  
NMaximize[UA  ,{X >=0,X<=2,Y>=-1,Y<=1},{X ,Y}] 
NMaximize[UB  ,{z >=0,z<=2,w>=-1,w<=1},{z ,w}]  
If[X+z<=2,1,0]
POSTED BY: yossi sh
Posted 6 years ago

I managed to solve it:

AMAX=Maximize[UA  ,{X >=0,X<=2,Y>=-1,Y<=1},{X ,Y}] 
BMAX=Maximize[UB  ,{z >=0,z<=2,w>=-1,w<=1},{z ,w}]  
xx=Replace[X,AMAX [[2,1]]]
yy=Replace[Y,AMAX [[2,2]]]
zz=Replace[z,BMAX [[2,1]]]
ww=Replace[w,BMAX [[2,2]]] 
POSTED BY: yossi sh
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