Вы находитесь на странице: 1из 59

: . ..

, 1999 .


1.1 .. . . .
1.2 . . . . . . . . . . . . . . . . . . . . . . . . . . .
1.3 -. . . . . . . . . . . . . . . . . . . . . . .
1.4 . . . . . . . . . . . . . . . . . . . . . . . . . .

.
.
.
.

.
.
.
.

.
.
.
.

.
.
.
.

.
.
.
.

.
.
.
.

.
.
.
.

2 .
2.1 . . . . . . . . . . . .
2.2 . . . . . . . . . . . .
2.3 . . . . . . . . . . . . . . . . . . . . . . .
2.4 . . . . . . . . . . . . . . . . . . . . . .
2.5 . . . . . . . . . . . . . . . . . . . . . . . . . . .
2.6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3 .
3.1 . . . . . . . . . . . . . .
3.2 . . . . . . . . .
3.3 . . . . . . .
3.3.1 .
3.3.2 . . . . . . . . . . . . . . . . . . . . .
3.3.3 . . . . . . . . . . . .
3.3.4 .

.
.
.
.
.
.
.

.
.
.
.
.
.
.

.
.
.
.
.
.
.

.
.
.
.
.
.
.

.
.
.
.
.
.
.

.
.
.
.
.
.
.

.
.
.
.
.
.
.

.
.
.
.
.
.
.

.
.
.
.
.
.
.

.
.
.
.
.
.
.

.
.
.
.
.
.
.

.
.
.
.
.
.
.

.
.
.
.
.
.
.

.
.
.
.
.
.
.

.
.
.
.
.
.
.

2
2
3
7
10
18
18
24
28
34
35
38
41
41
42
49
50
52
54
55

1.1 ..
. , ,
. n .
.
xi (t) i- t.
zij (t) i- , j- t.
T
{xi (t), zij (t)}t=0 . , zij (t)
, xi (t) aij aij
( ).
A = kaij k Rnn .
wi (t) i t.
( .. ),
wi (t) = xi (t)

n
X

zij (t) = xi (t)

j=1

n
X

aij xj (t) i = 1, n

j=1

:
x
= (x1 , ..., xn ) ,
w
= (w1 , ..., wn )
x
A
x=w
.
w
> 0 ( .. wi > 0i = 1, n), x
> 0.
, w
> 0 x
w
>0 x
?
. ,
:
x
(t) = A
x(t + 1) + w(t
+ 1) .
s:
, w(t)

x
(t) = st x
= st w
, s (s > 1 , ).
= 1s
= st+1 Ax
+ st+1 w
x
= Ax
+ w
(E A)x
= w

st x
2

1.2 .
. A ,
x
>0: x
A
x > 0 ( A = kaij ki,j=1,n , A > 0 ai,j > 0 i, j = 1, n)
,
( ).
. , D = kdij ki,j=1,n :
dij 6 0

i 6= j

(1.1)

, x
> 0 : D
x>0
. . , D = E A D
A . D = E A.
. D Rnn (1.1),
:
1. x
> 0 : D
x > 0,
2. w
> 0 x
6 0 : D
x = w,

3.

d11
det
dk1

D :

d1k
> 0 k = 1, n
dkk

4. D :

di1 i1 di1 ik
det > 0 1 6 i1 < i2 < < ik 6 n
dik i1 dik ik
. 1 3 ( n)
n = 1 d11 x1 = w1 > 0, x > 0 d11 > 0 3 .
x1 > 0, ..., xn > 0 : w1 > 0, ..., wn > 0

d11 x1 + d12 x2 + ... + d1n xn = w1

d21 x1 + d22 x2 + ... + d2n xn = w2


.....................................

dn1 x1 + dn2 x2 + ... + dnn xn = wn

(1.2)

d11 = w1 d12 x2 ... d1n xn > 0, .. w1 > 0, d12 , ..., d1n 6 0, x2 , ..., xn > 0
x1 , , (1.2):

d22 x2 + ... + d2n xn = w2
.................................

dn2 x2 + ... + dnn xn = wn
(
i1
dij = dij dij dd11
i, j = 2, n
di1

wi = wi w1 d11 i = 2, n
dij 6 0 i 6= j, .. dij 6 0 (i 6= j), d1j , di1 6 0, d11 > 0
wi > 0 .. w1 , wi > 0, d11 > 0, di1 6 0

(1.3)

(1.4)

4
(1.3) n 1 1
(1.3) > 0:

d22 d2k
det > 0 k = 2, n
dk2 dkk

d11
det
dk1


d1k
d22
= d11 det
dkk
dk2

d2k
> 0, .. d11 > 0
dkk

(1.5)

3 2 ( n)
n = 1 d11 x1 = w1 , d11 > 0 x1 = dw111 w1 > 0 x1 > 0 2 .
w1 > 0, ..., wn > 0 x1 > 0, ..., xn > 0: 2.
(1.2) :

d11 x1 + d12 x2 + ... + d1n xn = w1

d22 x2 + ... + d2n xn = w2


dij 6 0 i 6= j, wi > 0
.................................

dn2 x2 + ... + dnn xn = wn


n 1 :
x2 > 0, ..., xn > 0, (1.3) x1 :
d11 > 0 x1 = dw111 d111 (d12 x2 + ... + d1n xn ) > 0, .. w1 > 0, d12 , ..., d1n 6 0
2 1
4 3
(123) 4
1 6 i1 < ... < ik 6 n, ,

di1 i1 di1 ik
det > 0
dik i1 dik ik

(1.6)

, i1 1, ..., ik k :


i1 i2 ik
=
1 2 k

D 1 D 1 : D x
= (D
x) 1 3

k D (1.6)
. 3,4 , .
.
p = (p1 , ..., pn ) ,

= (1 , ..., n ) . i = pi

n
P

pi aij > 0.

j=1

pi : i > 0
. D, (1.1), ,

p > 0: DT p > 0.

= (E AT )
p
. 1. D = kdi,j ki,j=1,n di,j 6 0, i 6= j.
:

5
1. ~x > 0 : D~x > 0 ( );
2. w
~ > 0 ~x > 0 : D~x = w;
~
3. D ;
4. D ;
5. ~
p > 0 : DT p~ > 0 ( D);
6. ~ > 0 ~
p > 0 : DT p~ = ~ ;
7. DT ;
8. DT ;
9. D1 > 0.
. 1 , 1)2)3)4). (1.1)
D (1.1) DT , .. . ,
1 DT , , 5)6)7)8). 3)7), .. ,
. = 1)2)3)4)5)6)7)8).
9)2), .. D1 > 0, ~x = D1 w
~ > 0, w
~ > 0.
, 1),2),3),4),5),6),7),8)=9).
3)= detD > 0 = D1 .
2)3)= w
~ i = (0, . . . , |{z}
1 , . . . , 0).
i

2) = ~x : ~x = D1 w
~ i > 0, .. D1 w
~ i i- D1 , ,
1
i- D . i, D1 > 0 = 9).
. D = E A, A = kai,j ki,j=1,n > 0. :
ri =

n
X

ai,j , i = 1, n

j=1

sj =

n
X

ai,j , = 1, n.

i=1

A :
10 . max ri < 1,
i

20 . max sj < 1.
j

. 10 . = ~x = (1, . . . , 1) > 0
n
P
w
~ = ~x A~x. wi = 1
ai,j = 1 ri > 0 = A .
j=1
0

2 . = p~ = (1, . . . , 1) > 0 ~ = p~ AT p~. j = 1

n
P

ai,j =

i=1

1 sj > 0 = A = 1 A .
. - .
. D , D1 > 0.
D = (E A).

6
. (E A)

: n = 1, a11 < 1 =
2
a11 + . . . .
: n > 1.

1
1a11

= 1 + a11 +

(E A)1 = E + A + A2 + . . . + Ak + . . . ,
(E A)1 =

X
Ak
.
k+1

(1.7)

k=0

w
~ , :
~x = (E A)1 w
~ =w
~ + Aw
~ + A2 w
~ + . . . + Ak w,
~
Aw
~ w,
~ A2 w
~ Aw,
~
..
. (E A)1 , .
(E A)1 E + A + A2 , .. .
. 2. A > 0. :
10 . (E A)1 > 0, > 0,

X
Ak
k+1

(1.8)

k=0

(, .. A
k+1 > 0) (1.7)
.
20 . > 0 (1.8) , (E A)1 > 0 (1.7).
. 1 (E A)1 > 0 =, (E A)
-: a11 > 0 = > 0.
:
m
X
Ak
.
Tm =
k+1
k=0

:
(E A)Tm = Tm (E A) = E

Am+1
m+1

:
(E A)Tm = Tm ATm =

m
P
k=0

Ak
k

: Tm (E A) = E
(1.9) (E A)1 .

m+1
P

Ak
k

=E

k=1
Am+1
m+1 . =(1.9).

Am+1
m+1 .

>0

Tm

>0

z
}|
{ z }| {
(E A)1 Am+1
Am+1
1
1
= (E A) (E m+1 ) = (E A)
6 (E A)1 .
m+1
| {z }
>0

.. Tm 6 (E A)1 .
(1.8) = :
T1 6 T2 6 . . . 6 Tm 6 Tm+1 6 . . .

(1.9)

7
, Tm
.= (1.8) T .
Tm :
Am+1
= (Tm+1 Tm )
m+1
, :
Am+1
= 0.
m m+1
lim

(1.9):
(E A)T = T (E A)
= T = (E A)1 > 0. = (1.7).
20 . (1.8) > 0. =
T = lim Tm .
m

Tm :
Am+1
= (Tm+1 Tm )
m+1
, :
Am+1
= 0.
m m+1
lim

(1.9):
(E A)T = T (E A)
= T = (E A)1 > 0. = (1.7).

1.3 -.
A~x = ~x, ~x 6= 0, A > 0.
.
 1 1 
A=
.
1 1
(1 )2 + 1 = 0,
1,2 = 1 i = .
. 1. A > 0, A .
M (A) = ( | (E A)1 > 0) = ((A), +),
(A) > 0 .
. 1). M (A) 6= .
~x > 0 . > 0 : ~x > A~x,
[A~
x]
> max xi i .
i

= (E A) . = 1 (E A)1 > 0 = M (A).


2). M (A) = > 0. > , M (A).
M (A) = 1 (E A) -
= a11 > 0 = > 0.

8
> . 1 (E A) , ..
~c > 0 : ~x A~x > 0 ~x > A~x = ~x > ~x > A~x = (E A) =
1 M (A).
3). (A), (A) = inf > 0.
M (A)

= M (A) = [(A), +), M (A) = ((A), +). , .


: (A) M (A). = ((A)EA) .=
1 ((A)E A) , .. ~x > 0 : (A)~x > A~x. ..
, > 0 : (A)~x ~x > A~x.
((A) )~x > A~x = ((A) )E A 1. = (A)
M (A) = (A) = inf .
M (A)

. 2. A > 0 (A) =

inf



= inf | (E A)1 .

M (A)

~xA > 0, ~xA 6= 0 : A~xA = A~xA .


. w
~ > 0. :
~y () = (E A)1 w,
~ M (A).
~y () > 0, M (A).
~y () .
1). ~y () > ~y (), > > (A).

y () A
y () =
,
y () A
y () =
.


y ()
y () A(
y ()
y ()) = 0,


y ()

(E A)(
y ()
y ()) ( )
y () = 0.

(
y ()
y ()) = ( )(E A)1
y (),

( ) > 0,
y () > 0, (E A)1 > 0

(
y ()
y ()) > 0.
Pn

2).
y () = (y1 (), . . . , yn ()), () =
i=1 yi (). ,
() > 0 > (A). ,
lim () = +.
(A)

lim () =
. {t }
t=1 & (A),

lim (t ) =
. y (t ) 0 6 yi (t ) 6 (t ) 6
,
, ..

(A)

t+

lim yi (t ) = yi .
y = (
y1 , . . . , yn ). t
y (t )

t+

A
y (t ) =
t +, (A)
y A
y =
> 0. (A)E A . 1 ((A)E A)1 > 0,
(A) M (A). , ,
/ M (A).
Pn .. 1 (A)

3). S = {
x = (x1 , . . . , xn ) 6 0| i=1 xi = 1}. S .
1
1

()
y () > 0, ()
y () 6= 0. {t }
t=1 & (A), 1

{ (t ) y (t )}t=1 , -,

y (t( ) ) =
x A S.
lim
to (t( ) )


y (t( ) ) A
y (t( ) ) =
(t( ) )
.

(A)
x A A
x A = 0.

( , ). A > 0 ,
1) A
(A)

x A.
2) (E A) , , > (A).

3)
y > 0,
y 6= 0 A
y >
y , 6 (A).
4) A, || 6 (A).
. (A) = inf{| M (A)}, > (A), (E A)1
det(E A) 6= 0 > (A) A. 1 2
1), 2).
3). :

y > 0,
y =
6 0, A
y >
y

> (A).

2) (E A)1 > 0. 0 > (E A)


y 1

(E A) . 0 > y .

4).
z = (z1 , . . . , zn ) 6= 0, zk C,
I
A
z =
z .
zi =

n
X

aij zj

|||zi | =

j=1

n
X

aij |zj |,

(i = 1, . . . , n).

j=1


y = (|z1 |, . . . , |zn |),
y > 0,
y 6= 0.
y

|| y 6 A y , 3) || 6 (A).
. A > 0, 3 (A)

- A,
x A - A.

.
x (t) =
1
t

s x > 0, ( E A) (.. s

), , 1s > (A)
1
(A) .

1
(A)

> s. ,

-. A > 0, :
1) (A) = (A> ).
2) (A) = (A).
3) (Ak ) = ((A))k .
4) A > B B > 0, (A) > (B).
5) C A, (A) > (C).
6) (A) = 0

k :

Ak = 0.

10
2) .
4) A > B A , B,
.
5) , .. , .
. 1) .
2) ( ).

3)
x 6= 0 : (A)
x = A
x

A2
x =
...

Ak
x =

(A)A
x
...

((A))2
x
k

((A))k Ak .

= ((A)) x

(Ak ) > ((A))k , = ((Ak )) k > (A).


(E A) , ( 1) (E A) ,
..

> 0 :
> A

> A2
, . . . , k
> Ak
.

x
x
x
2
x
x
x
x
(k E Ak ) , ( 1) (k E Ak )
. .-. k > (Ak ) , (Ak ) = ((A))k .
4) (A) = inf{| M (A)}, (B) = inf{| M (B)}. , A > B,
M (A) M (B) (A) > (B).
M (A) = {|(E A)1 > 0} = {|(E A) }
M (B) = {|(E B)1 > 0} = {|(E B) }

> 0 :
> A
> B

M (A)
x
x
x
x
(E B)
M (B)
5) ,
, , A


C A12
C (n1 n1 )
A=
,
A21 A22
A22 (n2 n2 )


C 0
B =
, A > B > 0, 4) (A) > (B).
0 0
det(B E) = ()n2 det(C En1 ), B = 0
n2 . (C) > 0 B (C), (A) >
(B) = (C).

1.4 .
. A > 0 n n. ,
A ,
J {1, . . . , n} = N :

J 6= , J 6= N :

aij = 0, i
/ J, j J.

. , , .
. A , T ,


A11 A12
1
T AT =
.
0
A22

11
. A > 0 . , A ,
1 1.
:
. 1. A = kai,j ki,j=1,n > 0, A ,
AT .
. , J ,
J N , J 6= , J 6= N ai,j = 0, i
/ J, j J.
J C = N \ J. : J C 6= , J C 6= N . ai,j = 0 i J C , j
/ JC
AT = k
ai,j kni,j=1,n .
a
i,j = 0, j
/ J C , i J C , AT .
:
. ~x , : ~x > 0, ~x 6= 0, ~x 6> 0 (
).
. 2. A = kai,j ki,j=1,n > 0. , A , ,
~x, , :
A~x 6 ~x

(1.10)

. : , ~x > 0, ~x 6= 0, ~x 6> 0
, A~x 6 ~x.
J i, xj > 0. J 6= (
xj ) J 6= N (
xj ).
n
P
,
ai,j xj 6 0 ai,j > 0, xj > 0, : ai,j xj = 0, i
/ J j N , ,
j=1

, xj > 0 j J ai,j = 0 i
/ J, j J. , A
.
: A - . C
, . ,  A

11 A12
, A . A =
>0
0
A22
A11 -. ~xA11 > 0,
~xA11 6= 0, A11 ~xA11 = (A11 )~xA11 - = (A11 ).


~xA11
~x =
> 0, ~xA11 > 0, ~x 6= 0, ~xA11 6= 0, ~x 6> 0,
0
(A - ).
:
 A
11
0

 ~x

A12  ~xA11   A11 ~xA11 
A11
=
= (A11 )
A22
0
0
0

A~x = (A11 )~x 6 (A11 )~x = ~x , - -.


. 4. A > 0 - . :
1. (A) - (~xA > 0).

12
2. ~y - , (A), ,
~xA = ~y .
. 1). : ~xA 6> 0, , ~xA . , 2: A~xA = (A)~xA 6 (A)~xA = ~xA ,
- -. , A - ,
. ~xA > 0.
A 6= 0, A > 0, ~xA > 0, A~xA 6= 0, , -,
: A~xA = (A)~xA - . 3 (A) > 0.
2). ~y - A. A~y = (A)~y , ~y 6= 0.
I = {i|yi > 0} 6= 0 ( (1)). O : = min [~x[~yA]i]i > 0.
iI

~z = ~xA ~y . > 0, :
i
/ I [~z]i > [~xA ]i > 0
i I 6 [~x[~yA]i]i [~z]i = [~xA ]i [~y ]i > 0. I: [~z] = 0.
, A~xA = (A)~xA A~y = (A)~y , , :
A~z = A(~xA ~y ) = (A)(~xA ~y ) = (A)~z . , 1
~z = 0 ~xA = ~y .
. A > 0 . :
1. ~x > 0: ~x A~x > 0, ~x A~x 6= 0, (E A)
, .
2. (E A) , (E A)1 > 0.
:
. = 1: (E A)1 - .
, .
. 1). A , 1 AT . 4: - p~A > 0 , AT p~A =
(AT )~
pA .
0 < (~
pA , ~x A~x) = (~
pA , ~x) (A~
pA , ~x) = ( (A))(~
pA , ~x).
, > (A). , 3, (E A) - .
2). ~ei = (0, ..., 0, 1, 0, ..., 0) - i- . ~x = (E A)1~ei > 0 ~x A~x =
~ei > 0 ~x 6= 0 ( ~ei 6= 0) ~x > A~x.
: ~x 6> 0. , 2, A - . ~x > 0
-
~x - i- (E A)1 (E A)1 > 0
. lim ( 1 A)t ?
t

, (E A)1 > 0, 3 ,
> (A).
 0 1 
1,2 = 1 (A) = 1 - - .
. A =
1 0
 1 0 
A2 =
. : A = A3 = ... = A2n+1 = ...; A2 = A4 = ... = A2n = ...
0 1
- , .
. , A > 0 , k
, Ak > 0

13
. 5.( )1
A > 0 - . :
A
1. : lim ( (A)
)t = B , B
t

- A, B AT .
A
2. lim ( (A)
)t , A
t
.
A
= (A) = 1.
. 1) A = (A)
, (A)
(A)
(A) = 1. At+1 , t .
:
). At+1 = AAt t AB = B. ,
B, A, . , , , B . ,
B -, .
). At+1 = At A t BA = B AT B T = B T . , -,
B - AT , .
A - . , 1, AT - . 4 :
I) .
II) B = 0.
. - A ( 4). ~xA > 0 A~xA = ~xA At ~xA = ~xA
B~xA = ~xA > 0 B 6= 0 , .
2) t , At = B > 0, k , Ak > 0.
, A - .

~y (t + 1) = A~y (t)
(1.11)
~y (t) > 0
~y (0) 6= 0,

~y (t) - .
: At ?
lim ~y (t).
t

~y (t) = At ~y (0), , ,
A.
~xA > 0, A~xA = ~xA . : i = ~y~xi (t)
. ~y (t) ~xA t ,
A
:
(t) = min i (t), l(t) (t) = (t) (t) = max i (t), s(t) (t) = (t)
16i6n

16i6n

:
[~
x A ]i
= min [~
xA ]j > 0, = min ai,j > 0
16i,j6n

16i,j6n

(1.11):
n
P
P
P
yi (t+1) =
ai,j yj (t) = ai,l(t) [~xA ]l(t) (t) +
ai,j [~xA ]j j (t) 6 ai,l(t) [~xA ]l(t) (t)+(t)
ai,j
j=1

j6=l(t)

[~xA ]j = ai,l(t) [~xA ]l(t) ((t) (t))+ (t)

n
P

j6=l(t)

ai,j [~xA ]j = ai,l(t) [~xA ]l(t) ((t) (t)) + (t)[~xA ]i

j=1
[~
x ]

i (t + 1) = yi[~x(t+1)
6 ai,l(t) [~xAAl(t)
]i ((t) (t)) + (t) 6 ((t) (t)) + (t)
A ]i
(t + 1) 6 ((t) (t)) + (t) ( )
1 .

14
(t + 1) > ((t) (t)) + (t) ( )
{(t)} - , {(t)} - . (t + 1) > (t),
(t + 1) 6 (t). , , ,

:
.
:
0 6 ((t) (t)) 6 (t + 1) (t), , (t) 6 (t)
( ).
. , ,

, , :
= .
A > 0 . 5). , k > 0 , Ak > 0.

t = (t)k + r(t)
(?)

0 6 r(t) 6 k 1

lim (t) =

(A) = 1 ( Ak > 0).


lim (Ak ) (t) = B ,

B - Ak . ,
B - A.
Ak ( Ak > 0), 4 -
.
~xA - A, ~xA > 0,
A ~xA
A2 ~xA
Ak ~xA

=
~xA
= A~xA = ~xA

=
~xA

~xA - Ak , , ,
B - Ak , ,
AB
A2 B

Ak1 B

=
=

B
B

, lim (Ak ) (t) = B


t

k (t)

= B + R(t) ,

lim R(t) = 0

lim R(t) = 0.

lim As R(t) = 0 ,

s = 1...k 1

, t (?),
At = Ar(t) Ak (t) = Ar(t) (B + R(t)) = B + Ar(t) R(t)
, Ar(t) :
E
, r(t) = 0,
A
, r(t) = 1,
Ak1 , r(t) = k 1,
, ,
lim As R(t) = 0 , s = 1 . . . k 1 ,
t

:
lim At = B

15
. 1.
.
. . A . :
1. k > 0 : Ak > 0 ( A);
2. w A ( , )
|w| = (A), w = (A).
3. At = kaij (t)ki,j=1...n , ...{t : a11 > 0} = 1, ...
.
4. A .
. , At = kaij (t)ki,j=1...n > 0 , G1 , . . . ,Gs (s > 0) ,
Ss
1) k=1 Gk = {1, . . . ,n};
2) Gk Gl = , k 6= l, k,l = 1 . . . s;
3) aij > 0 j Gk , i Gk+1 ( , Gs+1 = G1 ).
, ,
:

G1

}|

Gs

G2

G1

{ z

}|

A21

A32

}|
A1S

G2

G3

..

..
.
..
.

GS

AS ,S1

. 2.( )
: {1, . . . ,n} (
). X(t) {1, . . . ,n}
Bep{X(t) = i} = Pi (t).

16
i j:
Bep{X(t + 1) = j | X(t) = i} = aij > 0
( t, ). aij
A = kaij k, .
t+1,
t?
Pi (t + 1) =

n
X

aij Pj (t),

j=1

,
p~ (t + 1) = A p~ (t)
(, A , A , 1 ( aij ), (A) = 1).
: p t ? 5 ,

lim p~ (t) = p~

p~

,
p~

p~

= A p~

- A.

. 3. ,
{1, . . . ,n}.
. i-
j- aij j,
i. aij A = kaij k > 0, kross. , , i- j-, j- i-,
, aij aji 6= 1
(, , aij aji 6 1, )
. , kross- A ,
(i1 ,i2 , . . . ,ik ) , ai1 i2 ai2 i3 aik i1 >
1
: ,
a
, i1 i2 .
. , kross- A - , (i1 ,i2 , . . . ,ik ) , ai1 i2 ai2 i3 aik i1 >
k .
: ,
? ,
2!Cn2 + + n!Cnn .
(-). , . (x1 , . . . ,xn ) > 0 ,
max aij xj = xi
j

i = 1 . . . n .

17
(-). A = kaij ki,j=1...n > 0.
:
1) (i1 , . . . ,ik ) {1, . . . ,n},
ai1 i2 ai2 i3 aik i1 > k ;
2) (x1 , . . . ,xn ) > 0 ,
max aij xj 6 xi
j

i = 1 . . . n .

= 1 , :
. xi . , i- ,
i- j- ,
. - n3 .

( a b = max(a,b) a b = a b,
, a a = a), 1) ,
E 1 A 12 A2 ( n- ).
n , ! -
.

2.1 .
. (). ,
~c ~x max
A ~x 6 ~b

(2.1)
(2.2)

( ~c IR n , ~x IR n , ~b IR m , A (m n) ) ,
,
~b ~u min
AT ~u = ~c
~u > ~0

(2.3)
(2.4)
(2.5)

(2.1) (2.2) (2.3)(2.5) , .


. , (2.2) (2.4) (2.5),
. , , . (2.3) (2.5)
.
:
~c1 ~x1 + ~c2 ~x2
A11~x1 + A12~x2
A21~x + A22~x
1

~x
1
~c1 IRn1 , ~c2 IRn2 ,
A11 (m1 n1 ),
A21 (m2 n1 ),
, (2.1) (2.2) (2.3) (2.5)

max
6 ~b1
= ~b

(2.6)
(2.7)

~0

(2.9)

>

~x1 IRn1 , ~x2 IRn2 , ~b1 IRm1 ,


A12 (m1 n2 ),
A22 (m2 n2 ).
(2.6)(2.9).

18

(2.8)

~b2 IRm2 ,

19
. 1(). , (2.6)
(2.9) , ,
:
~b ~u + ~b ~u
1 1
2 2
T ~
T ~
A11 u1 + A21 u2
AT ~u + AT ~u

22 2

~u
2

>

12 1

>

min
~c

(2.10)

~c
2
~0

(2.12)

(2.11)

(2.13)

~u1 IRm1 , ~u2 IRm2 .


(2.6) (2.9) (2.10) (2.13) ,
.
. (2.10) (2.13) .
(2.10) (2.13) :
~b1 ~u1 ~b2 ~u2
AT11~u1 AT21~u2
AT ~u AT ~u

22 2

~u
2

>

12 1

max
~c
1

~c2
~0

(2.10) (2.13)
, (2.6) (2.9),
:
~c1 ~x1 ~c2 ~x2
A11~x1 A12~x2
A21~x A22~x
1

~x
1

>
=

min
~
b1
~b

>

~0

, , (2.6) (2.9) (2.10) (2.13)


.
.
~c ~x max
A ~x 6 ~b

(2.14)
(2.15)

(2.6) (2.9), (2.8) (2.9) :


c~1 x~1 + c~2 x~2
A11~x + A12~x

A21~x1 + A22~x2
A21~x A22~x

~x1

max
~b
1
~b
2

~b2
~0

, (2.14) (2.15), :

A11
A12
A21
A22

A=
, ~b = (~b1 , ~b2 , ~b2 , ~0) T
, ~c = (~c1 , ~c2 ) T
,
A21 A22
E

20
(2.14) (2.15) :
~b ~u min
AT ~u = ~c
~u > ~0

(2.16)
(2.17)
(2.18)

~u = (~y1 , ~y2 , ~y3 , ~y4 ) T ,


~y1 IRm1 ,

~y2 IRm2 ,

~y3 IRm2 ,

~y4 IRn1 ,

A=

AT11

AT21

AT21

AT12

AT22

AT22

(2.16) (2.18):
~b ~y + ~b ~y ~b ~y
1 1
2 2
2 3

min

AT11 ~y 1 + AT21 ~y 2 AT21 ~y 3 ~y 4

~c
1

AT12 ~y 1 + AT22 ~y 2 AT22 ~y 3

~c
2

~y > ~0 ,
1

~y > ~0
4

~y > ~0 ,
2

~y > ~0 ,
3

y4 :
AT11 ~y 1 + AT21 ~y 2 AT21 ~y 3 ~y 4 = ~c1

~y = AT ~y + AT ~y AT ~y ~c
11 1
21 2
21 3
4
1

, ~y 4 > ~0,
~b ~y + ~b ~y ~b ~y
1 1
2 2
2 3

min

AT11 ~y 1 + AT21 ~y 2 AT21 ~y 3 ~c1

>

~0

AT12 ~y 1 + AT22 ~y 2 AT22 ~y 3

~c
2

~y > ~0 ,
1

~y > ~0 ,
2

~y > ~0
3

~b ~y + ~b (~y ~y )
1 1
2
2
3

min

AT11 ~y 1 + AT21 (~y 2 ~y 3 )

>

~c
1

AT12 ~y 1 + AT22 (~y 2 ~y 3 )

~c
2

~y > ~0 ,
1

~y > ~0 ,
2

~y > ~0
3

~u1 = ~y1 > ~0 ~u2 = ~y2 ~y3 , (2.10)


(2.13), , .
, .
:
~c1 ~x1 + ~c2 ~x2 max

(2.19)

21
A11 x~1 + A12 x~2 6 b~1

(2.20)

A21 x~1 + A22 x~2 = b~2

(2.21)

~x1 > 0

(2.22)

b~1 u~1 + b~2 u~2 min

(2.23)

AT11 ~u1

AT12 ~u1

AT21 ~u2

> ~c1

(2.24)

AT22 ~u2

= ~c2

(2.25)
(2.26)

~u1 > 0

(~x1 , ~x2 ) , (2.20) (2.22), , (2.19) (2.22).


.
.
. 1. (~x1 , ~x2 ) (~u1 ,
~u2 ) ,
b~1 u~1 + b~2 u~2 > c~1 x~1 + c~2 x~2 .
.
b~1 u~1 + b~2 u~2

(2.20),(2.21),(2.26)

(~u1 , A11 ~x1 + A12 ~x2 ) + (~u2 , A21 ~x1 + A22 ~x2 ) =

>

= { } = (~x1 , AT11 ~u1 + AT21 ~u2 ) + (~x2 , AT12 ~u1 +


+AT22 ~u2 )

(2.24),(2.25),(2.22)

>

~c1 ~x1 + ~c2 ~x2

. (~x1 , ~x2 ) (~u1 , ~u2 ) , :


c~1 x~1 + c~2 x~2 = b~1 u~1 + b~2 u~2 ,
(~x1 , ~x2 ) ( (2.19) (2.22)), (~u1 , ~u2 )
( (2.23) (2.26)).
c1 , ~x
c2 ) .
. (~x

c1 + c~2 ~x
c2 6 b~1 u~1 + b~2 u~2 = { } = c~1 x~1 + c~2 x~2 .
c~1 ~x
c1 , ~x
c2 )
, (~x
(~x1 , ~x2 ), .
, , (~x1 , ~x2 )
. , (~u1 , ~u2 ) .
. 2. (~x1 , ~x2 ) (2.20) (2.22), (~u1 , ~u2 ) (2.24) (2.26). (~x1 , ~x2 ) (2.19) (2.22) (~u1 , ~u2 ) (2.23) (2.26)
, :
(u~1 , b~1 A11 x~1 A12 x~2 ) = 0

(2.27)

(x~1 , c~1 AT11 u~1 AT21 u~2 ) = 0

(2.28)

22
. , (2.27) (2.28). (2.27) (2.28)
:
(u~1 , b~1 ) = (u~1 , A11 x~1 + A12 x~2 )
(x~1 , c~1 ) = (x~1 , AT11 u~1 + AT21 u~2 ).

b~1 u~1 + b~2 u~2

(2.21),(2.27)

(~u1 , A11 ~x1 + A12 ~x2 ) + (~u2 , A21 ~x1 + A22 ~x2 ) =

= { } = (~x1 , AT11 ~u1 + AT21 ~u2 ) + (~x2 , AT12 ~u1 +


+AT22 ~u2 )

(2.25),(2.28)

~c1 ~x1 + ~c2 ~x2 .

, b~1 u~1 + b~2 u~2 = c~1 x~1 + c~2 x~2 . .


. (~x1 , ~x2 ) (~u1 , ~u2 ) .
,
b~1 u~1 + b~2 u~2 = c~1 x~1 + c~2 x~2 .
1.
( ),
:
~c1 = AT11 ~u1 + AT21 ~u2

b~1 = A11 x~1 + A12 x~2 .

(2.27) (2.28).
. (2.27) (2.28) .
. (2.19) (2.22)

L(x~1 , x~2 , u~1 , u~2 ) = c~1 x~1 + c~2 x~2 + (b~1 A11 x~1 A12 x~2 , u~1 )+
+(b~2 A21 x~1 A22 x~2 , u~2 ),

1
u2 Rm2 .
~x1 Rn+1 , ~x2 Rn2 , ~u1 Rm
+ ,~

(, ~x1 ~x2 , ~u1 , ~u2


, .)
. , .
.
1
~x1 Rn+1 , ~x2 Rn2 , ~u1 Rm
u2 Rm2
+ ,~

L(~x1 , ~x2 , ~u1 , ~u2 ), :


L(~x1 , ~x2 , ~u1 , ~u2 ) 6 L(~x1 , ~x2 , ~u1 , ~u2 )
(2.29)
L(~x1 , ~x2 , ~u1 , ~u2 ) 6 L(~x1 , ~x2 , ~u1 , ~u2 )
~x1

Rn+1 , ~x2

n2

R , ~u1

1
Rm
u2
+ ,~

(2.30)
m2

23
(2.29) , (~x1 , ~x2 ) (~x1 , ~x2 ),
(2.30): (~u1 , ~u2 ) (~u1 , ~u2 ).
L(x~1 , x~2 , u~1 , u~2 ) = {} = b~1 u~1 + b~2 u~2 + (x~1 , c~1 AT11 u~1 AT21 u~2 )+
+(x~2 , c~2 AT12 u~1 AT22 u~2 )
.
:
, . .
, .
:
0. ,
, .
1. (~x2 , ~c2 AT12 ~u1 AT22 ~u2 ) ,
( (2.25)).
2. (~x1 , ~c1 AT11 ~u1 AT21 ~u2 ) e,
( (2.24)). ( (2.22)), (2.24) ,
, , ,
. ,
.
. :
0. ,
, .
1. (b~2 A21 x~1 A22 x~2 , u~2 ) ,
( (2.21)).
2. (b~1 A11 x~1 A12 x~2 , u~1 ) e,
( (2.20)).
(
(2.26)), (2.20) , ,
, ,
. ,
, .
(-). ~x1 Rn+1 , ~x2 Rn2 . (~x1 ,~x2 )
(2.19) (2.22) 1
, ~u1 Rm
u2 Rm2 , (~x1 , ~x2 , ~u1 , ~u2 )
+ ,~
(2.20) (2.22).
. 2.
(2.29):
L(x~1 , x~2 , u~1 , u~2 ) = b~1 u~1 + b~2 u~2 + (x~1 , c~1 AT11 u~1 AT21 u~2 )+

24
+(x~2 , c~2 AT12 u~1 AT22 u~2 ) 6 b~1 u~1 + b~2 u~2 + (x~1 , c~1 AT11 u~1 AT21 u~2 )+
+(x~2 , c~2 AT12 u~1 AT22 u~2 )
~x1 > 0, ~x2 .
, :
(~x1 , ~c1 AT11 ~u1 AT21 ~u2 ) + (~x2 , ~c2 AT12 ~u1 AT22 ~u2 ) 6
6 (~x1 , ~c1 AT11 ~u1 AT21 ~u2 ) + (~x2 , ~c2 AT12 ~u1 AT22 ~u2 )
, (2.29) (~u1 , ~u2 ) (2.24), (2.25), (2.26), (2.28).
(2.24), (2.25), (2.26), (2.28) (2.29) ~x1 > 0, ~x2 (
0 6 0 ).
, (2.29) ~x1 > 0, ~x2 . ~x1 > 0,
~x2 (2.24), (2.25), (2.26), (2.28).
(2.25). ~x1 = ~x1 . (2.29)
:
(~x2 , ~c2 AT12 ~u1 AT22 ~u2 ) 6 (~x2 , ~c2 AT12 ~u1 AT22 ~u2 ).
(2.25) - . (~x2 , ~c2 AT12 ~u1 AT22 ~u2 ) x2 + , (2.25),
~x2 = ~x2 . (2.29) . , (2.25) .
(2.24) . ~x2 = ~x2 . (2.29)
:
(~x1 , ~c1 AT11 ~u1 AT21 ~u2 ) 6 (~x1 , ~c1 AT11 ~u1 AT21 ~u2 ).
, , (2.24), x1 +, ~x1 = ~x1 . (2.29) . , (2.24)
.
1
(2.26) , , ~u1 Rm
+ .
T
T

(2.28). , ~x1 > 0 ~c1 A11 ~u1 A21 ~u2 6 0 ( (2.24)


). ~x2 = ~x2 , ~x1 = 0. , ~c1 AT11 ~u1 AT21 ~u2 < 0.
(2.29) : . , ~c1
AT11 ~u1 AT21 ~u2 = 0 (2.28).
, (2.30) (~x1 , ~x2 ) (2.20), (2.21), (2.22),
(2.27). .

2.2 .
.
t = 0,. . .,n.
, , ,
.
s( + 1) = s( ),
s( ) ,

d down
=
u
up.
, , ,
, (
) , = 1. :
b( + 1) = b( ),

25

. 2.1:

b( ) .
, > u, , ;
< d, , , , .
d < < u. .
d
u
d = < 1 < = u
,

d

u, d : u,
= 1.
.
. ,
, 2n+1 1.
: 0, down 1, up.
t = n , . t = n
f (j), j > 2n .
(call option).
. , , ,
k, , .
. s(j) < k, , , ; , ,
s(j) > k, :
f (j) = (s(j) k)+ .
(option put).

26
.
k
. , ,
. s(j) > k,
. s(j) < k, , ,
:
f (j) = (k s(j))+ .
, t = 0, (
, ) ,
f (j). (j) , ; (j)
, . j
((j), (j)), , :
x(j) = (j) + (j)s(j).
:
x(2j) = (j) + (j)s(2j)
x(2j + 1) = (j) + (j)s(2j + 1),
((j), (j)):
(2j) + (2j)s(2j) = (j) + (j)s(2j)
(2j + 1) + (2j + 1)s(2j + 1) = (j) + (j)s(2j + 1)
:
 
 
i
i
(i) + (i)s(i) =
+
s(i)
2
2

i = 2, . . . ,2n+1

:
(j) + (j)s(j) > f (j)

j = 2n , . . . ,2n+1

: , .
:

(1) + (1)s(1) min


(i) + (i)s(i) = ([ 2i ]) + ([ 2i ])s(i), i = 2, . . ., 2n+1

(j) + (j)s(j) > f (j), j = 2n , . . ., 2n+1


,
s(2j + 1)
=u
,
s(j)

s(2j)

= d.
s(j)

: {(i), (i)}i=1,2n+1
f (j),(j) j- , (j)
j- , x(j) = (j)b(j) + (j)s(j) "".

(1)b

1 + (1)s1

 
min,

2j bj + 2j sj =
= (j) bj + (j) sj ,
j = 2, . . . 2n+1 ,

(j) bj + (j) sj > f (j),


j > 2n+1 .

27
, . p(j),
q(j) p(1) = 1.
, :
P2n+1

j=2n +1 q(j)f (j) max,

p(j)b(j) = p(2j)b(2j) + p(2j + 1)b(2j + 1),


p(j)s(j) = p(2j)s(2j) + p(2j + 1)s(2j + 1), j = 1, . . . 2n+1 ,

n
n+1

p(j) = q(j) > 0, j = 2 + 1, . . . 2


p(1) = 1.
, b j

p(j) = p(2j) + p(2j + 1),
p(j) = p(2j)d + p(2j + 1)
u, j = 1, . . . 2n+1 .
p(2j) p(2j + 1).
p(2j) =

u
1
p(j),
u
d

p(2j + 1) =
p =

1 d
p(j).
u
d

u
1
.
u
d

u
= u , d = d .

u
.
ud
p , . b(j) , b(j) = 1.
p =

x(j) = (j) + (j)s(j), x(2j) = (2j) + (2j)s(2j) =


= (j) + (j)s(j) + (j)(s(2j) s(j)) =
= x(j) + (j)(s(2j) s(j)),

x(2j + 1) = x(j) + (j)(s(2j + 1) s(j)), s(2j) = ds(j),


s(2j + 1) = u
s(j)
x(2j) = x(j) + (j)(d 1)s(j), x(2j + 1) = x(j) + (j)(
u 1)s(j)

(
u 1)x(2j) + (1 d)x(2j
+ 1) = (
u d)x(j)
x(j) = p x(2j) + (1 p )x(2j + 1).


, M (x(t) x(1) , . . . x(t1) ) =
x(t1) . , x(j)
x(2j) p , x(2j + 1) 1 p .

n+1
2X

p(j)b(j) = (1)b(1) + (1)s(1)

j=2n +1

--.
f (j) = g(s(j)), P
"".
n
k (n k) , x0 = k=0 Cnk (p )k (1 p )nk g(sk )
.

28

2.3
. ~x ,
w
~
,
A > 0 ().

~x = A~x + w,
~ w
~ > 0.
cj j- ,
j = 1, . . . n, R . ~c~x ,
~x, ~c~x 6 R.

~
~x = A~x + w,
~c~x 6 R,

w
~ > 0.
(~x, w),
~ - .
~ = (1 , . . . n ) .

~ w
~ max,

~x = A~x + w,
~
~
c
~
x
6
R,

w
~ > 0.
p~ = (p1 , . . . pn ) , s
. . :
L(~x, w,
~ p~, s) = ~ w
~ + h~
p, ~x A~x wi
~ + s(R ~c~x).

L(~x, w,
~ p~, s) = sR + h~x, p~ AT p~ s~ci + hw,
~ ~ p~i.
:

sR min,

p~ = AT p~ + s~c,
p~ > ~ ,

s > 0.
s(R ~c~x) = 0,
hw,
~ ~ p~i = 0.
p~ = s(E AT )1~c = ~c + AT ~c + . . . + (AT )k~c + . . . .
, s~c~x = p~w.
~ p~w
~ = ~ w,
~
~ w
~ = sR, ,
.

wi > 0, i = pi = sci , s~c = p~ > ~ s > cj , j. ,


j

s = max
j

j
cj

!
,

,
. 2.2 ,
.

29

. 2.2:

. ~k = (k1 , . . . kn ) ,
.

~ max,

~
~x = A~x + w,
~c~x 6 R,

w
~ > ~k,

> 0.
.
L(~x, w,
~ , p~, s) = + h~
p, ~x A~x wi
~ + h~q, w
~ ~ki + s(R ~c~x) =
= sR + h~x, p~ AT p~ s~ci + hw,
~ ~q p~i + ( ~q~k).
,

sR min,

p~ = AT p~ + s~c,
p~~k 6 ,

s
> 0,

p~ > 0.

s(R ~c~x) = 0, h~
p, w
~ ~ki.

( p~~k) = 0.
= sR.
~
p~k = = sR = s~c~x,
.
, 2.3, .
.

30

. 2.3:

max

= A
x+w

p ( )

w
> k
q > 0
c

6
R
s > 0 ( )

x
6

> 0 ( )

> 0
b . , p = q,
q .
,
 : 
+ s (R cx
L (
x, w,
, p, q, s, ) =  + (
p, x
A
x w)
+ q, w

k
) + b
x = sR +

T
+ x
, p A p s
c b + (w,
q p) + qk . ,
:

sR + min

p = AT p + s
c + b p > 0

pk >

> 0

s > 0
, :
p = s
c + b
1
c = E AT
c

b = E AT 1 b ,

b = b + AT b + AT 2 b + . . .
, , , .
:


p, w
k = 0
sR = s
cx

= b
x

= pk
= sR + .
pk = b
x + s
cx
?

31

. 2.4:

, pk = = sR + = s
cx
+ b
x. ,
, .
. , R .

max

= A
x+w

p
x

q > 0
w

k
+
R

cx
6 R
s>0

x
6

>0

>
0

R > 0
R ,
R = const, .
:


L (
x, w,
, R, p, q, s, ) = + (
p, x
A
x w)
+ q, w
k R
+ s (R cx
) + b
x =
+ x
, p AT p s
c b + (w,
q p) + qk + R (s q ) .
:

min

p = AT p + s
c + b p > 0


pk >
p > s

> 0

s > 0.
:

p w
k R
=0
sR = s
cx

= b
x = pkRs
= R
p .
: = . : pk = b
x
R
p = s
cx
. , .

32

. 2.5:

.
. .
.
N . :
x
k k- ;
w
k k- ;
k k- ;
Ak k- ;
bk k- ;
ck k- ;
k k- ;
k k- ;
(, ,
).
k- ,
:
N
P

k k max

k=1

x
k = Ak x
k + w
k

w
k > k k
(2.31)
bk x
k 6 k

N
P

ck x
k 6 R

k=1
k > 0 w
k > 0, x
k > 0 Ak
k () .
( , , pk > 0, qk > 0,
k > 0,
s > 0):

33



N
N
L {
xk , w
k , k }k=1 , {
pk , qk , k }k=1 , s =
=



N 
N

P
P
k k + (
pk , x
k Ak x
k w
k ) + (
qk , w
k k k ) + k k bk x
k + s R
ck x
k =
k=1

= sR +

k=1
N
P

k k +

k=1

N 
P

x
k , pk

k=1

ATk pk



k , qk pk ) + k (k qk k ) .
s
ck k bk + (w

N
P

sR
+
k k min

k=1

pk = ATk pk + sk ck + k bk

pk k > k

k > 0, k = 1, . . . , N

s > 0.

(2.32)

. {
xk , w
k , k }k=1 N
2.31, {
pk , qk , k }k=1
(2.32). x
k , w
k ,k (2.33):

k k s ck x
k max

x
k = Ak x
k + w
k

w
k > k k
(2.33)

bk x

k
k

k > 0,
pk ,
k , (2.33).
:
, k- ,
k- . s (..
s , ).
.
. (2.33):

k k

pk =
p

k >

k >

min
ATk pk + k bk + s ck
k
0

:
(2.31), (2.32)
k k k ) = 0,
(
pk , w

k, k bk x
k =
 0,
N
P

s R
ck x
k = 0,
k=1

k (
pk k k ) = 0,
k = 1, . . . , N.
(2.33), (2.34)

k k k ) = 0,
(
pk , w

k , k bk x
k = 0,

pk k k ) = 0,
k (
k = 1, . . . , N.

(2.34)

34
N

{
xk , w
k , k , pk , k }k=1 , s .
(2.33) (2.31) , ,
. k, .
, s . - s, , , :
, R, s , , s .

2.4
. n m
. G Rnm , A Rnm , x
Rm
m
m
, b R , c R .
:

max

G
x = A
x+w

>

w
cx
6 R
(2.35)

x
6

> 0

x
> 0
:
p ( )
q > 0
s > 0 ( )
> 0 ( )
(g- , a- , b- , c- ) , x0 .
, :

max

x
+
G
x = a
- x0 + A
x+w

>

c- x0 + cx
6 R
(2.36)
b
b
x
+
x
6

> 0

x
> 0

x0 > 0
. , (g- , a- , b- , c- ) , (2.35) (2.36) .
. ,
.
(2.35).

x, w,
, p, q, , s) = +(
p, G
x A
x w)+(

q, w

)+s (R cx
)+
 : L (
b
x = sR + + x
, GT p AT p s
c b + (w,
q p) + ( q ) .
:

sR + min

GT p AT p s
c b 6 0

p >
(2.37)
> 0

s > 0

p > 0

35
, (2.35) (2.37) (2.36),
, (g- , a- , b- , c- )?
. 2.6:

p. , ,
, (2.37) (~
p , , s ) ,
~g- p~ ~a- p~ b- s c- 6 0.
. , (2.36):

sR + min,

T
T

G p~ A p~ ~b s~c 6 0,
~g- p~ ~a- p~ b- sc- 6 0,

p~~ > ,

> 0, s > 0, p~ > 0.

(2.38)

(2.39)

(2.35) (2.37), (2.36) (2.39) . , ,


(2.37) (2.39). (2.37) (2.39) (2.38), (2.39) (2.37),
(2.38).
. (2.38) ,
, .
.
(. . 2.6).

2.5
. 2.7:

A~x(t + 1) 6 ~x(t),

t = 0, . . . , T 1,
~x(0) = ~x0 ,
~x(t) > 0, t = 1, . . . , T.

(~x, ~y ) :


~x
~y

.
(~x, ~y ) =

k~xk
k~y k
, ~x
~y . , (~x, ~y ) :

36
1. :
(~x, ~y ) = (~x, ~y ),

~x 6= 0, y 6= 0, > 0, > 0.

2. :

(~x, ~y ) = 0

> 0 : ~x = ~y .

3. :

6= 0,
~x( ) ~x

~y ( ) ~y 6= 0

, ~y).
lim (~x( ) , ~y ( ) ) = (~x

4.
) =
C (~x


o

) < .
~x 6= 0 (~x, ~x

10 C , < 1 .
. , ~x , > 0 T0 (, A) > 0, T1 (, A) > 0
, (~x(t), ~x ) <
T0 (, A) 6 t 6 T T1 (, A).
(). A , ~c > 0, ~x0 > 0.
A

~c~x max,

A~x(t + 1) 6 ~x(t), t = 0, . . . , T 1,
(2.40)
~x(0) = ~x0 ,

~x(t) > 0, t = 1, . . . , T.
. (1) A ,
At
= B.
t (A)t
lim

, > 0 () > 0 , ~x0 Rn \ {0}, t > ()


(At ~x0 , ~xA ) < . ~xA > 0 A:
A~xA = (A)~xA .
~ei i- :
~ei = (0, . . . , 0, 1, 0, . . . , 0),

At~ei
~xA ,
(A)t t
( 1):
lim (At~ei , ~xA ) = 0.

:
> 0

i () > 0 :

t > i ()

(At~ei , ~xA ) < .

37

() = max i ().
i

~x0 ;
~x0 =

n
X

(i)

(i)

x0 ~ei ,

~x0 6= 0.

x0 > 0,

i=1

At ~x0 =

n
X

(i)

x0 At~ei .

i=1

t > () > i () , At~ei C (~xA ), , < 1,


At ~x0 C (~xA ), C ( 4).
(2) ~x(T ) , . , ~x(T ) 6= 0.
> 0,
(t) = (A)t ~xA ,
~x

(t + 1) = (A)t1 A~xA = (A)t ~xA = ~x


(t),
A~x

t = 1, . . . , T 1.

t = 0
(1) = (A)1 A~xA = ~xA 6 ~x0 .
A~x
(t) (2.40),
, ~xA 6 ~x0 , , ~x
(T ) = (A)T
~c~x
| {z }
>0

~c~xA
|{z}

> 0.

>0 .. ~
c>0, ~
xA >0


(T ) > 0,
~c~x(T ) > ~c~x
~x(T ) 6= 0.
(3) , AT t ~x(T ) 6 ~x(t), t = 0, . . . , T 1. 0 > 0 ,
C0 (~xA ) int Rn+ . T t > (0 ), AT t ~x(T ) C0 (~xA )
int Rn+ , ,
0 < AT t ~x(T ) 6 ~x(t),
t 6 T (0 ) ~x(t) > 0.
(4)

(2.40). :
T
1


X
T
L {~x(t), p~(t)}t=1 = ~c~x(T ) +
h~
p(t + 1), ~x(t) A~x(t + 1)i =
t=0

= p~(1)~x(0) +

T
1
X

h~x(t), p~(t + 1) A p~(t)i + h~x(T ), ~c A p~(T )i,

t=1

A p~(t) > p~(t + 1),

p~(1)~x0 min,
t = 1, . . . , T 1,
A p~(T ) > ~c.

(2.41)

:
h~
p(t + 1), ~x(t) A~x(t + 1)i = 0,

h~x(t), A p~(t) p~(t + 1)i = 0,

t = 0, . . . , T 1,
t = 1, . . . , T 1.

(2.42)
(2.43)

(2.43) 3 ,
p~(t + 1) = A p~(t),

1 6 t 6 T (0 ).

(2.44)

38
(5) A ( A), p~(1)~x0 = ~c~x(T ) > 0, , p~(1) 6= 0, 3
(2.44). , T0 > 0 , (A )t p~(1) > 0
t > T0 .
, T0 6 t 6 T (0 ) p(t + 1) = (A )t p~(1) > 0.
(2.42) , t
~x(t) = A~x(t + 1).

(2.45)


~x(t) = AT (0 )t ~x (T (0 )) ,
~x (T (0 )) > 0, 1


AT (0 )t ~x (T (0 )) , ~xA < ,

T0 6 t 6 T (0 ) ().

T0 () = T0 , T1 () = () + (0 ), .

2.6 .

(t) t.

(t) = (1 (t), . . . , n (t))


i (t) t.

(t) t.
B , i-
, i- .

,
.
, (A):

x (t) = A
x (t) + B (t) +
(t)
p (t).
t.

(t) > w(t)



q (t) > 0.
q (t)

p (t), .

x (t) 6 (t)
(t) > 0 .

(t + 1) = (t) + (t)
(t + 1) .

c x (t) 6 R(t) .
s(t) > 0 .
t = 0, . . . , T 1 .
:

(0) = 0 > 0
(0).
:
w(t) > 0

(t) > 0

,
(t),
x (t) , ..
.
, , :
TP
1
(t)w(t) max.
t=0

, (t) = (1 + )t . .. ,
, .

39
, , ..
.
:

(T ) > T
T > 0.
.
:

n
oT 1

L
x (t),
(t), w(t), (t), (t)
,...
t=0

n
oT 1


. . . (T ),
p (t),
q (t),
(t),
(t), s(t)
,
(T ),
T =
t=0


TP
1 n

(t) +
(t)w(t) + p (t), x (t) A x (t) B (t)
t=0

 


+
q (t),
(t) w(t)
+
(t), (t)
x (t) +


o

+
(t + 1), (t) + (t) (t + 1) + s(t) (R(t)
c
x (t)) +

 


+
(0), 0 (0) +
T , (T ) T =
TP
1

s(t)R(t) +
(0) (0)
T T+
t=0
 

TP
1n

x (t),
p (t) A
p (t)
(t) s(t)
c +
(t),
q (t)
p (t) +
t=0 
 


w(t) (t)
q (t)
+ (t),
(t + 1) B
p (t) +

o 


(t),
(t) +
(t + 1)
(t) + (T ),
T
(T )
A A.

,
q (t) =
p (t). ,
(B):
TP
1

s(t)R(t) +
(0) 0
(T ) T min
t=0

p (t) = A
p (t) + s(t)
c +
(t)

p (t) > (t)


t = 0, . . . , T 1

B
p (t) >
(t + 1)

(t) = (t + 1) +
(t)
:

(T ) =
T
:

T > 0
s(t) > 0

(t) > 0
, + , .
:

:

p (t),
(t)
=0



(t), (t)
x (t) = 0



T , (T ) T = 0



s(t), R(t)
c
x (t) = 0

:


w(t),
p (t)
(t) = 0



(t), B
p (t)
(t + 1) = 0

40
.

oT 1

x (t), (t), w (t), (t), (t)


, (T )
t=0

(A),
n

oT 1

p (t), s (t), (t), (t)


, (T ), T
t=0

(B), x ( ), ( ), w ( ), ( )
(C):

( )w( ) + ( + 1) ( ) max
:

x ( ) = A
x ( ) + B ( ) +
( )
p ( )

( ) > w( )

q ( ) > 0

c
x ( ) 6 R( ) s( ) > 0

x ( ) 6 ( )
( ) > 0
w( ) > 0

( ) > 0,

( + 1), ( ) , .

.. ( + 1), ( ).
.
. (D):

s( )R( ) + ( )
( ) min

p ( ) = A
p ( ) + s( )
c +
( )

p ( ) > ( )

B
p ( ) > ( + 1) , ,
.

s( ) > 0,
( ) > 0
(C) (D) (A) (B).
.

p ( ), s( ), ( ) (B), . (A), (B),


(C), (D).
, :

, ( + 1), ( ).
: .

3.1 .
.


n
o

N, {Xi }iN , {ui ( x )}iN = , N = {1, . . . , n} (), xi

i- , Xi i- .
x = (x1 , . . . , xn )

X1 . . .Xn = X.
x , , ui (
x )
i- .


x i = (x1 , . . . , xi1 , xi+1 , . . . , xn ) X1 . . . Xi1 , Xi+1 , . . . Xn = Xi

.
x = (x1 , . . . , xn ) X ,

i N ui (xi ,
x i ) 6 ui (xi ,
x i ), xi Xi
..
.

. ,
x = (x1 , . . . , xn ) X
, ,
. :

x = (x1 , . . . , xn ) X :

i N ui (
x ) > ui (
x )

j N uj ( x ) > uj (
x )
. . N = {1, 2}, X1 = {C; H}, X2 = {C; H},
, . :
C
H

C
(5, 5)
(10, 0)

H
(0, 10)
(1, 1)

: ,
. ,
1 . , 5 . ,
, , ,
10 .
(5, 5) .
: (0, 10), (10, 0), (1, 1)

41

42
( ).


(2, 1)
(0, 0)

(0, 0)
(1, 2)

. : ?.
: . ,
. , (
), ( ). , , ,
.
: (2, 1), (1, 2).
: (2, 1), (1, 2), , .
.
. :
, ,
.
() . :
( ) .

, x1 =
x2 (x1 ) =
,
x1 =
, , :

u1 (x1 , x2 (x1 )) =

2,
1,

x1 =
(2, 1) 1 - .
x1 =

, , ,
, .. .
(1, 2) 2 - .
( ( )).


(
1, 1 ) ( 1,
1 )
( 1,
1 ) (
1, 1 )
.
: ?
( , ).

3.2 .
. X Rn f : X X .

x X , f (x ) =x ( x ).
, :
1. X : X = {(x, y)|x2 + y 2 = 1}. f
(0, 0) .
2. X : X = [0, ). f (x) = x + 1 ,
, .

43
3. f . ,
X , .

. A > 0 x A > 0, x A 6= 0 , A x A = x A . ,
.

. X = { x = (x1 ...xn ) > 0 |

n
P

xi = 1}

i=1

1. x A X , A x A = 0 = 0 (...)

2. x X A x 6= 0 A x > 0, A x 6= 0. f ( x )

: [f ( x )]i =

[A x ]i
n
P

[A x ]j

X. -

j=1

, f ( x ) > 0 (f ( x ) 6= 0).
n
P

[f ( x )]i = 1 f : X X :
i=1
!
n
P

x A X : f ( x A) = x A A x A=
[A x ]j x A = x A
j=1

f : X 2Y .
2Y Y .

B ( x ) = { y |k y x k < } .
( ). f : X Y .

, f ( x ) x 0 , > 0 () > 0 , ,

k x x 0 k < (), kf ( x ) f ( x 0 )k < .

( ). , f ( x ) x 0 ,

{ x t } , lim x t = x 0 , lim f ( x t ) = f ( x 0 )
t

f ( x ) f ( x 0 ) + B (0)

f ( x 0 ) f ( x ) + B (0)

. , f ( x ) x 0 , >

0 () > 0 , , k x x 0 k < (), f ( x ) f ( x 0 ) + B (0)

B (0) = { y Y |k y k < }

. f : X 2Y . , f ( x )

x 0 , > 0 () > 0 , , k x x 0 k < (), f ( x 0 ) f ( x )+B (0)


.
1. X = [1, 1], Y = [1, 1].

f(x) =

0,
[1, 1],

x 6= 0

x = 0

, ( 0 ).

44

. 3.1: ,

2. X = [1, 1], Y = [1, 1].

[1, 1],
0,

f(x) =

x 6= 0

x = 0

, ( 0 ).

. f : X 2Y . , f ( x ) ,

y
{ x t }
t=1 , { t }t=1 , :

1. x t X, lim x t = x X
t

2. y t f ( x t ) lim y t = y , y t f ( x )
t

. Gf = {( x , y ) X Y | y f ( x )}
.
, .
. X = (, ), Y = (, ).
 1
x , x 6= 0
f (x) =
0, x = 0

, , .
. f : X 2Y

1. x X , f ( x )

2. f x X

f ( x ) .

y
. { x t , y t }
t=1 , t f ( x t ):

lim x t = x X ?

y f(x)

lim y t = y X

t
t

45

. 3.2: ,

: y 6 f ( x ) f ( x ) > 0 : { y |k y

y k < 2} f ( x ) = . A Y \ A ,

f ( x ) x () > 0 , ,

k x y k < (), f ( x ) Y \ A, T : t > T k x t x k < () f ( x t ) Y \ A,

y t f ( x t ) Y \ A k y t y k > t > T , lim y t = y


t

. .
. f : X 2Y Y .

f ( x ) , :

1. x X , f ( x )

2. f ( x ) x X
.

1. Gf = {( x , y )| y f ( x )} . { x } Y ,

.. Y . { x } f ( x ) = Gf ({ x } Y ) .

i : X Y Y f ( x )
( )
(...)

2. x X. f ( x ). U f ( x ) Y .

V = { x |f ( x ) U } 6= , .. x V .

: V ?.

U1 = Y \ U . V = { x |f ( x ) U1 = }.

V1 = X \ V = { x |f ( x ) U1 6= } ?.

?
x t V1 , lim x t = x X x V1 .

x t

y t f ( x t)

U1 . Y

y Y . f ( x ) y f ( x
).

U1 y U1 f ( x ) U1 6= .
V1

y t( )

46

. f : X 2Y
1. X ;
2. ~x X

f (~x) ;

3. f () .
S
M =
f (~x) .
~
xX

. {uS
} M,
u Y M
u .

f (~x) ~x X ,
O (~x) =

n
[

ui

f (~x) O(~x) Y.

i=1

f () , V (~x) ~x
,
V (~x) f (~x
) O(~x).
~x
S
X
V (~x), X. X ,
~
xX

,
V (~x(1) ), . . . , V (~x(t) )

t
[

V (~x( ) ).

=1

, ~z X

f (~z)

t
S

O(~x( ) ).

=1

: f : X 2Y g : Y 2Z
[
g (f (~x)) =
g(~y ).
y f (~
~
x)

g f : X 2Z .
Y
Z
.
S f : X 2 g : Y 2 , M =
f (~x) .
~
xX

g f .
X ~z(t)
.
~x(t) ~x

g f (~x(t)) , ~z(t) ~z Z. , ~z
) .
g f (~x
~y (t) f (~x(t) ) ~z(t) g(~y (t) ).
~y (t) M , M Y ,
. ~y (t( )) ~y (t( )) ~y Y .
,
t ~x(t( )) ~x


~y (t( )) f ~x(t( ))

47
).
f ~y f (~x

(t( ))
(t( ))
(t( ))

~z
~z, ~z
g ~y
, g , ~z g(~y).


) .
, ~z g f (~x
(). X Rn f : X X
. ,
~x X : f (~x ) = ~x .
(). X Rn f : X 2X . :
1. ~x X

f (~x)

2. f () .
~x X : ~x f (~x ).
.
1. X , > 0 ,
>0

~x(1) (), . . . , ~x(n) () X : ~x1 X

: k~x1 ~x( ) ()k < .

X,
B (~x( ) ) ~x(1) (), . . . , ~x(t()) () X,
t()



B ~x( ) () .

=1


2. (~x) = max 0, k~x ~x(t()) ()k . , (~x)
:
(a) (~x) X
(b) (~x) > 0
(c)

(~x)

>0

~x X

k~x ~x( ) ()k < .

w (~x) :
w (~x) =

(~x)
.
t()
P i
(~x)
i=1

:
(a) w (~x) X
(b) ~x X :
w (~x) > 0
t()
P

w (~x) = 1

( 1)

=1

(c) w (~x) > 0

k~x ~x( ) ()k < .

48

3. > 0 ~b( ) f ~x( ) () , = 1, . . . , t()
g (~x) :
t()
X
~b( ) w (~x) .
g (~x) =

=1

, :
(a) g (~x)

~b( ) f ~x( ) () X.
(b) g : X X,
X , ~x X g (~x) X.
g (~x) :
~x () X : g (~x ()) = ~x () .

4. { }=1 ,

> 0

(a) lim = 0

(b) g (~x ) = ~x X
(c) lim ~x = ~x

( X)

, ~x f (~x )
~x f (~x ) + B (0)
~x f (~x ) + B2 (0)

>0

~x f (~x ) = f (~x )

( f ()).

5. f (~x ) + B (0)
( ),
S
f (~x ) + B (0) =
B (~x) .
~
xf (~
x )

2 : f () . , :
() > 0 : k~x ~x k < ()
N > 0 : > N, <

()
2

f (~x) f (~x ) + B (0)

k~x ~x k <

()
2

~x g (),

t(
P )
=1

~x .
w (~x ) > 0

( )

k~x ~x k < ,

)
)
k~x(
x k 6 k~x(
x k + k~x ~x k < { > N } <
~
~

w (~x ) > 0

() ()
+
= ()
2
2



~b( ) f ~x( ) f (~x ) + B (0)

[f (~x ) + B (0)] ,


~x f (~x ) + B (0)
~x ~b( ) .
~x f (~x ) + B (0)

> 0.

~b( ) w (~x ) =

49

3.3 .


(). = N, {Xi }iN , {ui (xi , ~xi )}iN .

1. i N

Xi

2. i N

ui (xi , ~xi ) X = X1 X2 . . . Xn

3. i N, ~xi Xi ui (xi , ~xi ) xi Xi .


,
x1 X1 , . . . , xn Xn :

i N,

xi Xi

ui (xi , ~xi ) 6 ui (xi , ~xi ).

. Xi , X = X1 . . . Xn
.





(~xi ) = yi Xi ui (yi , ~xi ) = max ui (xi , ~xi ) .
xi Xi

Xi .
1. , (~xi ) .
= max ui (xi , ~xi ). yi , yi (~xi ), ui (yi , ~xi ) =
xi Xi

ui (yi , ~xi ) = . (0, 1).


yi + (1 )yi Xi

Xi .

> ui (yi + (1 )yi , ~xi ) > ui (yi , ~xi ) + (1 )ui (yi , ~xi ) =

yi + (1 )yi (~xi ) .

2. , (~xi ) ,
i ,
~xi (t) ~x

yi (t) (~xi (t)) ,

yi (t) yi Xi



i .
yi ~x

,
i ) > ui (yi , ~x
i ),
z Xi : ui (z, ~x

ui (yi (t), ~xi (t)) > ui (z, ~xi (t)).

ui () ,
i ) > ui (z, ~x
i )
ui (yi , ~x


f : X 2X ,

~x X,

f (~x) = (~x1 ) (~x2 ) . . . (~xn ) .

f (~x) ~x X .
:
(x1 , x2 , . . . , xn ) X :

(x1 , x2 , . . . , xn ) f (~x )

(x1 , x2 , . . . , xn ) .

50

3.3.1

N = {1, ..., n} .
X .
P (X) , ,
X.
P (X) :

A1

P (X) C 2 , P 0 (X) < 0, P (0) > 0


M > 0 : P (M ) = 0, M ( ).

:
ci (x) i- (
X, ).
ci (x) :
i N ci (x) C 2
dci (x)
d2 ci (x)
>0
dx > 0, dx2

A2

ci .

, , .
i- :
xi i- , xi [0, M ].
n
P
X=
xj .
j=1

:
n
P
ui (~x) = P (
xj )xi ci (xi ) i- ( ).
j=1

, .
. .
. A1 A2 , ,
P (X)X .
.
P.S. P (X) , P (X)X (P 00 (X) 6 0)
(P (X)X)00 = P 00 (X)X + 2P 0 (X) = P 00 (X)X 6 0).
.
[0, M ] i- ( 1- ).
ui (~x) (x1 , ..., xn ) ( 2- ). , ui (xi , ~xi ) xi ,
. , ,
.
n
n
X
X
2 ui (xi , ~xi )
d2 ci (xi )
00
0
=
P
(
x
)x
+
2P
(
xj )
j
i
2
xi
dx2
j=1
j=1
| {zi }
>0

n
n
X
X
0
P (
xj )xi + 2P (
xj ) 6 0
00

j=1

1. P 00 (

n
P
j=1

xj ) 6 0, (1)

j=1

(1)

51
2. P 00 (

n
P

xj ) > 0, :

j=1

P 00 (

n
X

n
n
n
n
X
X
X
X
xj )xi + 2P 0 (
xj ) 6 P 00 (
xj )
xj + 2P 0 (
xj ) 6 {P (X)X } 6 0

j=1

j=1

j=1

j=1

j=1

= .

(x1 , ..., xn ).
n
P
G =
xj .
j=1

,
ui (xi , ~xi ) = max {P (xi +

xi [0,M ]

xj )xi ci (xi )}

i6=j

, M = ( xi > M
).
:
dci (x
i)
P 0 (G)xi + P (G) dx
= 0, xi > 0
i
dci (xi )
0

P (G)xi + P (G) dxi 6 0, xi = 0


i- :
(
i (xi )
P 0 (G)xi + P (G) dcdx
i
dc
i (xi )
xi [P 0 (G)xi + P (G) dx
]
i

6
=

0
0

(2)

i (xi )
P 0 (G)xi < 0 dcdx
> 0. i-
i
(i). ? :

1. .
2. , .
(2) xi (G) , .. .
i (xi )
i (xi )
> 0 P 0 (G)xi + P (G) dcdx
, P 0 (G) < 0 dcdx
i
i
xi , G , x
i (xi )
,
. P 0 (G)xi + P (G) dcdx
i
:
1.

xi (G) : P 0 (G)xi + P (G)

2.

xi (G) = 0

dci (xi )
dxi

=0

(?)

: I(G) = {i | xi (G) > 0} - .


(?):
i (G)
P 00 (G)xi (G) + P 0 (G) dxdG
+ P 0 (G)

dxi (G)
dG

P 00 (G)xi (G)+P 0 (G)


d2 ci
0
P (G)
dx2i | {z }

|{z}
>0

<0

d2 ci dxi (G)
dG
dx2i

=0

52
, . :
i (G)
> 0}
I+ (G) = {i I(G) | dxdG
dxi (G)
6 0}
I (G) = {i I(G) |
dG
I+ (G) G .
I (G) G .
00
(G)
i (G)
i I+ (G), 0 6 dxdG
6 1 xi (G) PP 0 (G)
00

(G)
i (G)
i I (G), 1 xi (G) PP 0 (G)
6 dxdG
60
00
0
P (G)G P (G)G + 2P (G) 6 0
00
(G)
2
>G
, i I0 (G) xi (G) > G
PP 0 (G)
2
{ }
= |I +(G)| 6 1

, G

n
P

xi (G) = 0, , .

i=0

, - :
X dxi (G)
X dxi (G)
1
>1
dG
dG
iI(G)

1. |I+ (G)| = 0,
2. |I+ (G)| = 0,

n
P

d
dG [G

3.3.2

xi (G)] > 0

i=1

iI+ (G)

iI+ (G)

dxi (G)
dG

00

(G)
> 2 xi (G) PP 0 (G)
>0

.
:
c(x) = min{

n
X

ci (xi ) |

i=1

n
X

xi = x, xi > 0, i = 1, ..., n}

i=1

, , > 0.
, . :
M M
c(x) = c1 (x)
...
cn (x)
. c(x) ,
ci (x) . ci (x):
d2 ci (x)
dci (x)
> 0,
<0
dx
dx2
. , c(x) .
A20

i N

ci (x) C 2 ,

. x1 (x), ..., xn (x)) :


Pn
Pi=1 ci (xi ) min
n
i=1 xi = x

x1 > 0, ..., xn > 0


, xj (x) > 0,
dc(x)
dcj (xj (x))
=
dxj
dx

53
. -:
L(~x, ) = sumni=1 ci (xi ) + [x

n
X

xi ]

i=1
dc (x (x))

xj (x) > 0, j dxjj


:

=
I(x) = {i | xi (x) > 0}

P
P
c(x) =
ci (xi (x)) +
ck (0)
iI(x)
kI(x)
/
P dci (xi (x)) dxi (x)
P dxi (x)
dc(x)
=
=
dx =
dxi
dx
dx
iI(x)
iI(x)
P
P
= {x =
xi (x) x 1 =
iI(x)

iI(x)

xi (x)
x }

. (xj (x) = 0),


dcj (0)
( dx
> dc(x)
dx ).
j
.

Pn
dcj (xj )
dcj (xj )
dc( i=1 xi )
6
6 max
dxj
dx
dxj
jI(x)
jI(x )
min

x1 , ..., xn , x =

n
P
i=1

xi , I(x ) = {j | xj > 0}.

.
(
c(x) = min

n
X

ci (xi )|

n
X

)
xi = x, xi 6 0

n
X
xi (
xj ) 6= xi

i=1

i=1

i=1

dci (xi )
6
dxi
a)xi

n
P
j=1

dci

n
P

xi

j=1

!!
xj
,

dxi

!
xj

>0

dci (xi )
=
dxi

n
P

dci

j=1

dxi

!
xj
<

dci (xi )
dxi

n
X
xi
xj < xi
j=1

b)xi

n
P
j=1

i I

!
xj

= 0 6 xi
n
X
i=1

n
n
X
X
xi
xj <
xi
j=1

i=1

54
P (x)x c(x) max .
, > 0 :
(
c( )
P 0 ( ) + P ( ) d 6 0
[P 0 ( ) + P ( )

3.3.3

c( )
d ]

pxi ci (xi ) maxxi >0 .


p , i = 1, ..., n. p , xi , x
i (p) .
. pc ,
n
X
P(
x
i (pc )) = pc
i=1

xc =

n
P

x
i (pc ) .

i=1

. xc ,
P (xc ) =

dc(xc )
dx

{ }
:
x < xc

.
. 3.3:
3.3 .
P (X) dc(x)
dx . , P (x )
x < xv

P (x )

dc(x )
>0
x

,
P (x )

dc(x )
= x P 0 (x ) > 0
x

dc(x )
dx

> 0 ..

55
{~
p , ~x1 , ..., ~xm , ~y1 , ..., ~yn } :
1) j = 1, ..., n ~yj j (~
p ) = arg max p~ ~y
~
y Yi

p ) = arg max{ui (vx) | p~ ~x 6 p~ w


~ (i) +
2) i = 1, ..., m ~xi i (~
3)

m
X

~xi 6

i=1

(~
p ,

m
X

m
X

w
~ (i) +

i=1

n
X

ij
j (~
p ), ~x 6 0}

~yi

(3.1)

j=1

i=1

w
~ (i) +

n
X

~yj

j=1

m
X

~xi ) = 0

(3.2)

i=1

3.3.4 .
(). :
P1 Yj , 0 Yj (j = 1, ...n)
C1 ui (~x) Rl+ (i = 1, ..., n)
C2 w
~ (i) > 0 (i = 1, ..., m)
P2 Y =

n
P

Yj , Y Rl+ = {0} (

j=1

)
P3 Y (Y ) = {0} ( )
C-P

m
P

ij = 1 (j = 1, ..., n) ( -

i=1

),
.
:
Yj = {~y Yj |

m
X

w
~ (i) +

i=1

~yk + ~y > 0, ~yk Yk k 6= j}

k6=j

, ,
, ~y . ,
~yj Yj ( (3.1)) , ,
..
m
n
X
X
= {~x > 0 | ~yj Yj (j = 1, ..., n)
X
w
~ (i) +
~yj > ~x}
(3.3)
i=1

j=1

.
. Yj , X
. , Yj , .. (3.3) w
~ (i) ,

~yj Yj X .
Yj :
~yj () Yj

m
X
i=1

w
~ (i) +

n
X
j=1

~yj () > 0

(3.4)

56
() = max k~yj ()k > 0
16j6n

lim () = +

(3.5)

(3.4) ()
m
n
1 X (i) X ~yj ()
w
~ +
>0
() i=1
()
j=1

(3.6)



~y (nu)
j() 6 1 ,
:
~yj ((t))
= ~yj
t ((t))
lim

(3.7)

Yj :


~yj ((t))
1
1
1
=
~yj + 1
0 Yj , .. 0, ~yj Yj , 0 <
< 1 ( (3.5) )
((t))
((t))
((t))
((t))
Yj ~yj Yj (3.6),
n
X

~yj > 0

(3.8)

j=1



~yj ()
() j ()
=1
j0 : 1 6 j0 6 n : ~yj0 6= 0

(3.9)

.
n
P
P2 (Y Rl+ = {0})
~yj = 0
j=1
P
P
P
~ys = ~ys +
0Y =
Yj ~ys =
~y j + 0 Y ( (3.8)) ~ys Y (Y ) P3
j

k6=s

j6=s

~ys = 0, (3.9)
E Rl ,
int E, 0 int E
Yj int E, X

(3.10)

Yj ).
E = {~x | ~a 6 ~x~b}, a b (3.10) ( , .. X
, E.
j (~
p) = arg max p~~y . , .. Yj E , p~~y y Yj E
~

.
j (~
p) = max p~~y
y Yj E
~

:
n
P
i (~
p) = arg max{ui (~x) | ~x > 0 p~~x 6 p~w
~ (i) +
ij j (~
p), ~x E}
j=1

:
m
m
n
P
P
P
(~
p) =
w
~ (i) +
j (~
p)
i (~
p)
i=1

j=1

i=1

. p~ > 0, p~ 6= 0 , (~
p ) Rl+ 6= ,

p~

57
. ~xi (~
p ), ~yj (~
p )
m
n
m
P
P
P
w
~ (i) +
~yj
~xi > 0

i=1

j=1

i=1

{~
p , ~x1 , ..., ~xm , ~y1 , ..., ~yn } .
1) , ~yj j (~
p ) :
~yj Yj intE ~yj Yj : p~ ~yj > p~ ~yj
~y (t) = t~yj + (1 t)~yj p~ ~y (t) > p~ ~yj t (0, 1]
0 < t < 1: ~y (t) Yj E, ~yj (~
p )
~y j (~
p ), j (~
p ) =
j (~
p )
2) , ~xi i (~
p ) :
n
P
> 0, p~ ~x 6 p~w
) > ui (~x )
~x
~ (i) +
ij
j (~
p) ui (~x
i
j=1

~x(t) = t~xi + (1 t)~y > 0 t (0, 1]


:
) > ui (~x ) t (0, 1]
ui (~x(t)) > tui (~xi ) + (1 t)ui (~x
i

~xi X intE
0 < t0 < 1 : ~x(t0 ) E
n
P
, ~x p~ ~x(t) 6 p~ w
~ +
ij
j (~
p), .. ~x(t)
~x
i
j=1

, ~xi ( p~ ), ..
, .
3) p~s > 0,

m
P
i=1

p~ ~xi

n
P

w
~ (i) [s] +

6 p~

w
~ i

j=1
n
P

~yj [s]

m
P
i=1

~xi [s] = 0

ij
j (~
p )

j=1

. .

m
P
i=1

p~ =

m
P
i=1

p~ w
~ i +

m P
n
P

ij
j (~
p ) =

i=1 j=1

m
P
i=1

p~ w
~ i +

n
P

(~
p ) =

j=1

m
P
i=1

p~ w
~ i +

n
P
j=1

p~ ~yj

( ). ~u (~
p), p~ > 0, p~ 6= 0, p~~u > 0
. .
(). S = {(p1 , ..., pl ) > 0|

l
P

ps = 1}, : S 2 ,

s=1

Rl .
1) p~ S (~
p) ;
2) ;
3) p~ S, u (~
p)

p~~u > 0

p~ S: (~
p ) Rl+ 6=
. :
p~ S, ~u S
i (~
p, ~u) =

pi + max(0, ui )
,
l
P
1+
max(0, us )
s=1

i = 1, ..., l

(3.11)

58
P

P
i = 1, ..
pi = 1
: S S .
~ : S 2S
~ p, ~u), (~
((~
p)) S
~ : S 2S ,
~ ,
S p~ S,
~ p , ~u ) = p~ , ~u (~
~u : (~
p ) (3.11) :
pi + max(0, ui )
= pi
l
P
1+
max(0, us )
s=1

pi

l
X

max(0, us ) = max(0, ui )

(3.12)

s=1

(3.12) ui :
0 6 p~ ~u

l
X

max(0, us ) =

s=1

l
X

ui max(0, ui ) =

i=1

l
X

(max(0, ui )) 6 0

i=1

max(0, ui ) = 0 ui > 0 i = 1, ..., l ~u > 0 (~


p ) Rl+ 6=
. 2).

(). l = 2, m = 2, n = 1, Y = {0}
u1 (x1 , x2 ) = x1, w
~ (1) = (1, 1),
u2 (x1 , x2 ) = x1 + x2 , w
~ (2) = (0, 1).
.
p1 p2 .
p2 = 0 ,
.
( ). {~
p , ~x1 , ..., ~xm , ~y1 , ..., ~yn } . , ..
6 ~x1 , ..., ~xm , ~y1 , ..., vyn :
1) ~yj Yj j = 1, ..., n
2)

m
P
i=1

w
~ (i) +

n
P
j=1

~yj >

m
P

xi

i=1

3) ui (~xi ) > ui (~xi ) (i = 1, ..., m)


. .

ui0 (~xi ) > ui0 (~xi )