基于凸最优控制的多期负债清算
Multi-Period Liability Clearing via Convex Optimal Control
摘要：
我们考虑的问题，确定一组实体之间的支付顺序，清除（如果可能的话）他们之间的负债。我们将其表述为最优控制问题，当目标函数为时，该问题是凸的，因此很容易解决。对于这个最优控制问题，我们给出了一些有用的和有趣的凸成本和约束，可以以任何方式结合起来，用于不同的应用。我们描述了一些扩展，例如，处理现金和负债的未知变化，允许救助，找到最短的时间来清除负债，或最小化未清除的负债数量，当完全清除负债是不可能的。
英文摘要：
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.
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