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Finding a continuous function that minimizes an integral expression

Posted 5 years ago

I am trying to find a continuous function $x(t)$ defined over non-negative real numbers that minimizes the expression below:

$$\frac{\nu y_1 + (1-\nu)y_2}{y_0}$$

where

  • $\displaystyle \nu = \int_{0}^{\infty} (1-x(t)) f'(t) dt$,
  • $\displaystyle y_0 = \int_{0}^{\infty} (1-f(t))(1-x(t)) dt$,
  • $\displaystyle y_1 = \int_{0}^{\infty} (1 - \frac{x(t)}{C_1 x(t) + 1}) dt$,
  • $\displaystyle y_2 = C_2$,

$C_1$ and $C_2$ are positive real constants, $f(t)$ is a probability density function. $f(t)$ is differentiable everywhere. And I need to find a function $x(t):\mathbb{R^+}\cup \{0\}\to\mathbb{R^+}$.

I tried to see whether the Euler equation from the calculus of variations can help. However I could not find a way to progress.

POSTED BY: omer subasi

If you are using Mathematica, show details of what you have tried. If you are not, post this elsewhere.

POSTED BY: Moderation Team
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