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. ..

.. , .. ,
..

2002

007
32.81
73

.., .., ..
. .: , 2002. 124 .

-
(). ,
, .
, .
(
) .
: ..., . ..

,

, 2002
2


..................................................................................................4
1.
.........................................10
2.
..........................................................14
3. .....20
3.1. .....20
3.2.
.....................23
3.3.
.......................26
3.4. ............38
3.5.

..................................................40
4.
...............69
5. ........74
...........................................................................................88
:
,

..................................89
...........................................................................................116


(-)
( )
- :
() [4, 12-23, 50-60], () [30, 32, 41], () [15, 58, 125]
. [23]:
( () ( ()), ; ;
(
1 ,
..); ,
; ,
; .
. ,
, ,

. , ,
,
,
.
[35, 42, 58, 81, 86, 130],

-
(
) ( ,
).
4

1 ,
() .
()
[18, 59], (
[60]) ( ),
( [52])
( [58]).
[53], [60], [59],
[52], [58].
(),
, , , 2.
,
() , , .

.
. ,
. ,
,
, (
,
1

2 ,
[30, 60].
2
,
[28, 48, 54] [1, 27, 38,
39, 63, 66]. , ,
[8, 24, 50, 51, 61, 74] . [5, 25, 29, 45, 51].
,
[7, 44, 47, 49, 69, 71, 116, 117, 125].
5



). ,
, :
, ,
.

(

).
,
, , .
,
,
,
,
. ,
,
.
, .
[42, 56, 57] ,
,
, . (
) ,
.
,
,
6

,
[18].
[59]
(
, ) . ( ), ,
.
, . [911, 26, 68]. , ,
[53],
[60 ] [58].
, , , ,
.
.
[23, 58] ,
( ) ( , ) ,

( ) .
, ,
, .
[23, 56, 58], [65, 70]
, ,
, ,

.
7

-
[57, 58] ,
, , (
).
1 ( , , (),
):
- ;
- ,
( , ) ( /
)
( , ). 2.


1


[58, 62]. , [58]
(, , ,
/ ), (
) ( ).
2
() , ,
,
(
( , ,
.. [107, 128]),
,
( ,
.. [56, 58]).
8

[58]. ,
,
, , ,
, , ,
( , .. . ), ,
, 1 .
.

, ..
, , ,
.

.
.
. .
.
( 4), ( 5).
.
,
.
1

, ( ) , ( ,
..) , ( ).
.
9

1.


1.
.
1.
.
,
.
2 , .

(1.1
, 1.2 ) (1.1.1
(1.2.1) ; 1.1.2 (1.2.2)
( )
; 1.1.3 (1.2.3)
) . .

[23, 59, 60]


, ,
..

, .
2
, ,
.
, , [58]. , , , (
,
).
10

2. ,
1.
(
) ( ), ( , ),
: 2.1 , 2.2 ,
2.3 , 2.4 ,
.
3. .
( )2. : 3.1
, 3.2 .
, -
(,
[78-80]).
(
. )
, , . .
3 wt t,
t {1, 2, ..., T}. ,
T, ,
4: W() =

t ( ) wt ,

t =
1


.
2
,
(, ..),
.
3
, ( , ..).
4

: t = 1, T .
11

(T + 1) :
T
1
WT() =
t ( ) w t .

T + 1 t =

,T() = ( (), +1(), ..., T()), = 1,T .


.
,
W0. , , ,
, t 1 1 W(t) = W0 () t-1, = 1-.
, ,
, 2, W(t) = W0 () t-1,
= 1+.
W0 W(t), t,
, W0 = W(t) () -t. , , ( ) (0; 1],
(
) 3 , .

. ,
, ( )
. W t
, t
1,T ()t,
.
2
. , W(t) = W0 (1 + (t 1)).
3
, (
), ( = 1) , (
).
12
1

t, , pt , t (
t ,
). t =

p j , t 1.
j =1

EW(T) T EW(T) =

tW t . -

t =1

( p),

EW(T) =

( p )t W t .
t =1

: ,
.
4. ( ).

, .
/
, ,
(4.1).

,
(4.2). (4.3),
( ) .

(
) . 11.
1

(. 1). ,
, 13

4.3.

4.2.

4.1.

3.2.

2.4.

2.3.

2.2.

3.1.

1.2.3.

1.2.2.

1.2.1.

1.2.

2.1.

1.1.3.

1.1.2.

1.1.1.

1.1.

. 1.

2.

t(), t = ,T , = 1,T () .
, 0, t() , t
,
.
14

, ,
. .
1. t , , 1
(1) t() = t, t = 1,T .
, 1, , , ,
, , , .
2. t ,
, ,
(t ) (
):
(2) t() = (t , ), t = ,T , = 1,T ,
() .

( ): (t , ) = () t-, {}
. 2.
3. ( 3), t
,
(
),
(3) t() = (t ), t = ,T , = 1,T ,
() ( , ) .
: (t
) = () t-, .
,

:
1 0,
3 2 0.
1. T = 3 , ( ,
, 1

.
15

1 (1) 2 (1)

):

3 (1)

2 ( 2 ) 3 ( 2 ) . 1

3 ( 3)

: 2(1) = 2(2), 3(1) = 3(2) = 3(3), 3:


2(1) = 3(2), 1(1) = 2(2) = 3(3). 1
( ) (),
, :
(4) () = max {t | t() > 0} , = 1,T .
= 1,T

() = 0, .

= 1,T () = T , .
= Const: () = min {; T }, ,
, .
() ( ) (
). 2 L0(t) (
t),
, t = 1,T . , L0(t) T t +1. L0(t) = 1,
t = 1,T , , L0(1) = T,
L0(t) = 0, t 2 ( L0(t) = T t + 1),
, 0 L0(t) < T t +1,
3. L() (
() ).
1

, ..
2
,
. :
0 ;
;
.
3
, , T ,
(
).
16

:
(5) max {L0(t ) } 1, t = 1,T .
=0,t 1

L(t) , t.
(6) max {L(t ) } 1, t = 1,T ,
=0,t 1

,
(. (5)),
, ( ), (
) 1.

(7) L(t) max {L0(t ) }, t = 1,T .


=0 ,t 1

,
, ,
(8) L0(t) 1 + 0(t), t = 1,T ,
(9) L(t) 1 + (t), t = 1,T .
(5)-(9) .
.
, ( 3.5).
.0.
.
.0 , :
(10) () 0(), L() L0(), = 1,T .
.0 ( . (5)-(9))
.
1

, ,
3.5.
17

1
. : , , .
, (8)-(9), .
, .0, .
1
(1 4),
(., , 3.5).
, :
- 1, ;
- 2,
;
- 3,
;
- 4, .

. , - ,
,
, , , ..

, (. 4).
18

. 1.

,
, .

19

3.

3.1.
(), n ().
, ,
,
, .
: yi Ai i- , i I = {1, 2, , n}
n

, y = (y1, y2, ..., yn) A' =


, y-i = (y1, y2, , yi-1, yi+1, , yn) A-i =

Ai
i =1

Aj

j i

i- .
.
(, y)
H(y) (y),
: (y) =

i ( y) ,

i(y) i- ,

i =1

(y) = (1(y), 2(y), , n(y)),


(1) ((), y) = H(y)

i ( y) .
i =1

i- fi(i, y)
,
, ci(y), :
(2) fi(i(), y) = i(y) ci(y), i I.
, i- yi
(
[59]).
20

.
( )
.
, , ,
, .
, , , :
.1. i I Ai 1+ .
.2. i I 1) ci() ;
2) yiAi ci(y) yi, iI; 3) yA, ci(y)0; 4) y-iA-i,
ci(0, y-i) = 0.
.3. - .
.4. .
P()
( ,
,
).
y A ,
,
: i ( y ' ) min , (y) = {() |
iI

() ( y ')

y P()}. [56, 58],


( "")
(,
, , ):
21

(3) K(()) =

min

yP ( ())

((), y).

*,
:
(4) * = arg max K(()).
( )

[59] , ( -,
=
K:

i )

i =1

c i ( y i* , y i ) + i , y i = y i*
, i I,
*
0
,
y

y
i
i

(5) iK =

i ,
y*,
(5) [56],
[18, 58]:
(6) y* = arg max {H(y)
yA

ci ( y i ) }.

i =1

1
(5)-(6) . ,

y A:

,
(), P() , ,
= 0. , , ( )
, [30, 59],
[58], ,
[58].
22

(7) (y) =

ci ( y i ) ,

i =1

(
(6));
[58], [53], [60] .
, .
, . (5) , .
[59] . ,
, . , , ,
,

, ( 3.4).

.
3.2.

. T
,
t = 1,T t()
23

, yt,
.
yt At t, t(): At 1+ ,
t = 1, T . ,
.1-.4.
t
t t t
(1) f ( , y ) = t(yt) ct(yt), t = 1, T ,
ct() .
t
(2) t(t, yt) = Ht(yt) t(yt),
H t() , t = 1,T .
, , , , f t(t, yt) 0, t = 1,T
(
Individual Rationality).
.1-.4,
1

x1,T = (x1, x2, ..., xT) :
(3) xt = arg max
{H t(yt) ct(yt)}, t = 1,T .
t
t
y A

,
, ,

, (
[59, 60] .
1 ),
.
24

(
) (2),
:
T

(4) x1,T = arg


y

max1,T
1 ,T
A

{Ht(yt) ct(yt)},

t =1

A1, = {y1, | yt At, t = 1, } =

At , = 1,T .
t =1

,
(3) T ,
(4) (3) , .
(
, ,
, , , .. .

[59]), (4)
( , ).

,
,
( ) ( )
1 (. [78-80]). ,
R , ,
P(R)
: P(R) = {y1,T A1,T |

c t ( y t ) R}, ,
t =1

A1,T . [78-80]

.
25

, :
T

(5) x1,T = arg

max

1,T

P ( R ) t =1

{H t(yt) ct(yt)}.

, , (5) T (3).
2. T = 2, H t(yt) = yt, ct(yt) = (yt)2/2rt, At = 1+ ,
t = 1, 2. (3) : xt = rt, t = 1, 2.
T

RT =

r t . (5) :
t =1

rt ,
R RT / 2

x = t 2R
, t = 1,T .
T
r
,
R

R
/
2
T

R
t

min {RT/2; 2 RR T - R}.


, ,
ct(yt) = (yt)2/2r, T.
:
,
,
. ,
, (.
[53, 59]).
3.3.

, ,
.
: , ,
.
26


, ,
,
, ,
.


,
, t = t(y1,t),
c t ( x t ), y i = x i , i = 1, t
, t = 1,T ,
(1) tK(x1,T, y1,t) =
0, c

(. ):
(2) x1,T = arg

max

y 1,T A1,T

{H t(yt) ct(yt)}.

t =1


, () ,
,
,
ct = ct(y1,t).

.
.2. t = 1,T

1) ct() -

; 2) y1,t A1,t ct(y1,t) yt, t = 1,T ; 3) y1,t A1,t


ct(y1,t) 0, t = 1,T ; 4) y1,t-1A1,t-1 ct(y1,t-1, 0) = 0, t = 2 ,T .
27

( . ),

c t ( x1, t ),
y t = x t
(3) tK(x1,T, yt) =
, t = 1,T ,
0, c

:
T

(4) x1,T = arg

max

1,T

1,T

{Ht(yt) ct(y1,t)}.

t =1

, , T ,

c t ( x t , y1, t 1 ),
y t = x t
tK(x1,T, yt) =
, t = 1,T .
0, c
3. T = 2, H t(yt) = yt, ct(yt) = (yt yt-1)2/2rt,
At = 1+ , t = 1, 2. (4) : x1 = (1 + ) r1,
x2 = r2 + (1 + ) r1 = 0 ,
(. 2).

,
,
:
T

(5) x1,T = arg

max

y 1,T A1,T

{Ht(y1,t) ct(yt)}

t =1


c t ( x t ), y t = x t
, t = 1,T .
(6) tK(xt, yt) =
y t x t
0,
28


t
, At = At(y1,t-1),
t = 2 ,T , A1 . ,
(6),

T

(7) x1,T = arg

max

y 1,T A01,T

{H t(yt) ct(yt)},

t =1

(8) A01, = {y1, A1, | yt At(y1,t-1), t = 1, }, = 1,T .


4. T = 2, H t(yt) = yt, ct(yt) = (yt)2/2rt, t = 1, 2,
A1 = 1+ , A2(y1) = [y1; +]. y1 0,
r 2 , y1 r 2
x2(y1) : x2(y1) = 1 1
. 2
y , y r
, (7) :
( r1 , r 2 ),
r1 r 2
x1,2 = 1 2 1 2
.
1 2
1 2
1
2
( 2r r /( r + r ), 2 r r /( r + r )), r r

,
,
, ,
1
1

,
( )

( ), .
29

(. 3 4),
,

.
,

(, , ,
). ,
( 6),
( 4)
[60].
,
,
, ,
.
t = t(y1,t), ct = ct(y1,t), Ht = Ht(y1,t), At = At(y1,t), t = 1,T ,
.
,
, ,
, At = At(yt-1), ct = ct(yt, yt-1), H t = H t(yt, yt-1) ..
. ,
,

( ) .

, (9),
(10). (
) [6, 18, 19],
.
,
(. 5, 6, 7).
30

1. .0, .1, .2, .3


.4, 1
c t ( x1, t ), y i = x i , i = 1, t
, t = 1,T ,
(9) tK(x1,T, y1,t) =
0, c
:
(10) x1,T = arg

max

y 1,T A01,T

{Ht(y1,t) ct(y1,t)},

t =1

A01,

(8). K0 ,
T

K0 =

max

T
y 1,T A 1,
t =1
0

{Ht(y1,t) ct(y1,t)}.

2.
1,T(),
, T .
(11) (1,T(), y*1,T ) =

t =1

{H t( y*1,t ) t( y*1,t )}


, , (9)
(3), 1 . 2.
2
1
:
,
( , ..),
,
,
, ()
, (
),
( ) (. [15, 58]).
31

, y*1,T ,
,
f(1,T(), y1,T), ,
T ,
(12) y*1,T Arg

max

1,T

1,T

{ t( y*1,t ) c t( y*1,t )}.

t =1

z1,T A1,T.
s1,T()
,
T

(13)

{s t(z1,t) c t(z1,t)}

t =1

{s t(y1,t) c t(y1,t)}, y1,T A1,T.

t =1

s1,T() - [42] qs1,T() :


s t ( z1, t ), y1, t = z1, t
(14) qst(y1,t) =
, t = 1,T .
1, t
1, t
0, y z
(13) s1,T() qs1,T(), , z1,T
qs1,T(),
.
, ,
(14),
(9).
z1,T A1,T.
(11) (13) ,
,
,
:
T

(15)

st(z1,t) min

{s t(z1,t) c t(z1,t)}

t =1
T

(16)

t =1

32

t =1

c t(y1,t), y1,T A1,T.

.2 ,
(16)
. , ,
,
(16) . , (15)-(16)
(17) st(z1,t) = ct(z1,t), t = 1,T .
,
z1,T, (14) (17),
(9).
, , , .
, (9)-(10)
, ,
(9) (12) , , ( , ,
, , . [30, 59, 60]).
(17) ,
() z1,T:
(18) (z1,T) =

ct(z1,t).

t =1

, , (14), (17) 1 z1,t


, (18). , , , , 1

,
( ,
, , ..). ,
[42, 58, 59],
, , .
33

H t(z1,T) (z1,T) (. (11)),

t =1

(10).
1.
, , -, (9)


.
-,
1
, .0 (9)-(10)
,
/
(. 3.5).
, 1
1, ,
,
,
T

x1,T = arg

max

1,T

1,T

0t {Ht(y1,t) ct(y1,t)},

t =1

0 = (0 , 0 , ..., 0 )
1 3.
,
(9) .
, , ,
, ( T ) ,
, :
1,T

(19)

t =1

{H t(y1,t) t}

max

y 1,T A01,T ,{ t }



.
34

{t} y1,T
,
T

(20)

t =

ct(y1,t).

t =1

t =1

(20)
( ( T
) .
, (10) (20), (19)-(20).
, (
( ) ) , , .
(
) (. (20))

t f t U, 1,T = (1, 2, ..., T)

t =1

,
( ) t,
(. (19))
T

t {Ht(y1,t) ct(y1,t) t}

t =1

max

y 1,T A01,T , { t 0}: t t U


t =1

, (
), (9)-(10) ( ,
).
- , (9)-(10)
. ,
(21) 1 01 ... > 0,
35

T1,T ();
(22) T1, t (y1,t) = 0, t = 1, T 1 ; T1,T

T t 1, t
1, T
1, T
c ( x ), y = x
(y1,T) = t
=1
0, y 1,T x1,T


(23) x1,T = arg

max

y 1,T A1,T

{ 0t Ht(y1,t) 0T
t =1

ct(y1,t)}.

t =1

, (22)-(23)
,
, ,
( , ,
).
, ,
, f t 0 t = 1,T .
1, ,

, t = t(yt)
(3). ,
, .0
(10).
,
( ) (
) . ,

, , (.
) . (10) (24), (25).
2. .0, .1, .2, .3
.4, 1 (3)
:
1

, (3)
( !)
36

(24) x1,T = arg


y

max1,T
1,T
X

{Ht(y1,t) ct(y1,t)},

t =1

1
(25) X1,T = {x1,T A01,T | y1,T A01,T
T

t =1

xt y t

ct(y1,t)

[ct(x1,t) ct(y1,t-1, xt)]},

t =1

xt = y t


.
. , 2 1 (. (3) (9)) ,

.
(3) , ,
, ,
, .
(25)
. , ,
( , ), . , .
, (25) , (
). 2 1 .
X1,T,
(25),
.
(. (26)).
1
, X1,T = A1,T.
37

, , (3) , ,
(9):
c t ( y1, t 1 , x t ), y t = x t
(26) tK(x1,T, y1,t) =
, t = 1,T ,
0, c
A01,T , , (26),
( (3)).
1 2:
1. (9) (26) .
,
(9)
( ) ( ) .
(26) ,

. ,

(.
(25)).
3.4.
n ,

( ) yit Ait , i I = {1, 2, ..., n}, t = 1,T (.

3.1). yt = ( y1t , y 2t , ..., y nt ) t, y1,T = (y1, y2, ..., yT)
T.
38

it = it (y1,t), cit = cit (y1,t), H t = H t(y1,t), Ait = Ait (y1,t-1),


i I, t = 1,T . At =

Ait , At i =
iI

A01,

Atj , A1, =
j i

At ,
t =1

= {y A | y A (y ), t = 1, }, = 1, T .

(,
.2 .2,
, ,
).
.2. t = 1,T , i I 1) cit ()
(1)

1,

1,

1,t-1

; 2) y1,tA1,t cit (y1,t) yit ; 3) y1,tA1,t

cit (y1,t) 0; 4) y1,t-1A1,t-1, y t i At i ct(y1,t-1, y t i , 0) = 0.


3. .1, .2, .3
.4,
c t ( x1, t , y1,it ), yik = xik , k = 1, t
(2) tiK(x1,T,y1,t)= i i
, t= 1,T , iI,
0
,

(3) x1,T = arg

max

y 1,T A01,T

t =1

{H t(y1,t)

iI

cit (y1,t)},


.
. [59] , ,

,
(
!), , ,
.
(2), , , n
.
1.
39

, , 2 1.

40

3.5.


1-3 ,

,
,
T ( .0
).
1
.
, 1.
, 1,
. , , .
- (1). .
c t ( y1, t 1 , x t ), y t = x t
(1) tK(x1,t, y1,t) =
, t = 1,T ,
0, c
y1,t-1 , t,
xt, yt
.
, , , ,
, ( ,
) :
1

,
,
2 (. 1 2)
.

(2) xt = ~
x t (x1,t-1)= arg

{H t(x1,t-1, yt) ct(x1,t-1, yt)}, t = 1, T .

max

y A ( x
t

1,t 1

K1
1: K1 = (1,T, x1,T), 1,T (1), x1,T (2).
(. ),
,
c t ( x1, t ), y i = x i , i = 1, t
, t = 1,T ,
(1) tK(x1,T, y1,t) =
0, c
(2).
-. (1)-(2),
1. ,

,
( 1),
. , , , .
, ,
,
.
. , ,
.

1 (), ,
1

2 2*,
, , .
[60], [42],
[43].
41

, . . t
: yt,
t
(t + (t)) (t+1, t + (t)) (2), x1,t-1 ( ) y1,t-1,

xt = arg max {H t(y1,t-1, yt) ct(y1,t-1, yt)}, t = 1, T .
y t A t ( x 1,t 1 )

~ t ,t + ( t ) ()
,
:
t + (t )

(3) yt,t+(t) = arg

max
z

t ,t + ( t )

t ,t + ( t )
A0

{ ~ (x1,t-1, ~
x (x1,t-1,zt,), y1,t-1,z)

=t

c(x1,t-1, zt,)}.
, , ( , , , yt xt, -

(t+1) ~
x t +1 (x1,t-1, yt)). ,
(3), , (2),
1.
, (1) ,
. , ,
,
. ,
, ,

,
( ) ,
,
.
42

, .
, ,

,
, ft(y1,t) U t ,
t = 1,T , { U t } .

, 2.
, .
4.
.

, (, ). ,
, , ,

.
5. T =2, A1 = A2 = {0; 1}, ,
2.
y1
0
0
1
1

y2
0
1
0
1

. 2. 5.
c1
c2
H1
H2
U1
U2
1
1
2
4
0
2
1
2
2
6
0
2
3
1
3
12
0
7
3
2
3
9
0
7

. (0; 1),
K1 = 3. , (1; 0), K4 = 4.
43

, ,
x1 = 0
y1 = 1,
x2 = 0. , , K2 = 7,
, K1,
1. ,
, , , ,
2,
, , 4.
, ,
,
, ,
.
, ,
2. - ,
, ,
, , .

,

.
2
,
( ),
(
),
(,
, ), ,
.
44

( , . ),
1 ( ,
, ,
).
-. : t ,
, ,
(t+1, t + (t))

,

, , (t+1),
.

-, ,
, , ,
, (t+1, t + (t)), ,
(
). ,

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

c t ( x1, t ),
y 1, t = x1, t
(4) tK(y1,t) =
, t = 1,T ,
0, c
45

(1), xt, yt
.
, , , ,
,
:
(5) xt =Projt arg

t + 0 ( t )

max

t ,t + 0 ( t )
y t ,t + 0 ( t ) A0

{H(x1,t-1, yt,) ct(x1,t-1, yt,)},

=t

t = 1, T .
K2
2: K2 = (1,T, x1,T), 1,T (4), x1,T (5). , K2
, K1 (. 6). .
-, -.
, (.
- ), 2.
( 1)
, ,
, .
- (3).
(4) (5). , . , .
K3
3 . , K3
, K1 / K2 (. 7).

.
C-, C-.
46

, (.
- ), 3.
( C 1)
, , , .
4. , . 1
(4) :
T

(6) x1,T = arg

max

1,T

A01,T

{H t(y1,t) ct(y1,t)}.

t =1

, -, 4 (. 1-3). -, 1 .0 , ,
(, , ),
K4 = 1,T(x1,T, 1,T), 1,T
(4), x1,T (6). , ,
4 , :
(7) K4 K1, K4 K2, K4 K3.
, ,
.
,
1



.. ,
. ,
( ),
.
47

, ,
t(y1,t)
, . , [36, 37, 78-80],
{ t ( )} ,

t ( ) t ( y1,t ) , M -

t =

( M = min{T , + k } 2 3, M = T 4). , 1 4

t(y1,t), , ,
, .
(. 1)
4 , ,
,
: , . ( )
. [80]
, ,
,
. :
1. { t } { t}

t F t ( y1,t ) y max
Y

t =1

1,T

1,T

t' F t ( y1,t ) y max


Y
1,T

t =1

1,T

,
t = t + t , t = 1, T , , 0

t' ' F t ( y1, t ) y max


Y

t =1

1,T

1,T

. , , 48

, ,
.
2.
T

t ( ) F t ( y1,t ) y

,T

t =

max

Y ,T , y1, 1 = x1, 1

, { t } { t} ,

t ( ) := t + t, = 1, T , , 0 , , ,
, , , ,
, . , , ,
,
: , ,
.
3.

V = { | t F t ( y 1,t ) max y 1,T = x1,T } ,

t =1

,
, ,
x1,T ; ( ) := { ( ), +1 ( ), K , T ( )} .
(1) V , , , ,
( ) ~
~
~
( ) = { 1 ( ),K , 1 ( )} , = 2, T , ,
~
{ ( ), ( )} V .
4. { t } .
,
( V), ,
, .
49

x1,T

t F t ( y1, t ) y max
Y

t =1

1,T

1,T

{ t } , ,

{ t} : t +1 > t +1 ,

t
t

t = 1, T ,
1, t 1

1, t 1

y 1,T


Y (y
) Y (x
) , x
{ t} .
, [80], , ,

t ( ) = t , ( . ). ,
~
t ( y1, t ) = t t ( y1, t ) . ,

t

t F t ( y1,t ) ,

1, T

t =

F t ( y1, t ) .

t =

.

. 0(t), t = 1,T , . L10,T = (L0(1), L0(2), ..., L0(T)) (

,
L0(t) 0(t));
1 = 1,
2 = 1 + L0(1),
3 = 2 + L0(2) ..
3 ( , 3
2 ),
50

[i; i+1] ,
i, i = 1, 2, ..., imax( L10,T ) 1, imax: i max = T.
, (. 1-2),
t(y1,t) = H t(y1,t) ct(y1,t), t = 1, T ,
1-4 x11,T , x12,T , x13,T x14,T , , 1:
(8) x1t = ~
x1t (x11,t-1)= arg
(9)

x2t

max

y A
t

t(x11,t-1, yt), t = 1,T ;

= ~
x2t (x21,t-1) =
t + 0 ( t )

= Projt arg

max
y

(10)

( x11,t 1 )

x3i , i +1

= arg

t ,t + 0 ( t )

max

y i , i +1A0

(11) x4t = Projt arg

t ,t + 0 ( t )
A0

i , i +1

y 1,T A01,T

t(x21,t-1, yt,), t = 1,T ;

=t

1, 1
t( x3 i ,

max

y i , ), i = 1, imax 1 ;

t(y1,t), t = 1,T .

t =1

2-5
1-4 ( ,
).

(2), (5) (6), (8)-(11)


(
)
, . ,
, ,
..
51

...
t
1

...

T-2

T-1

. 2.
1

...
t
1

...

T-2

T-1

. 3.
2

52

...

t
1

...

T-2

T-1

. 4.
3

t
1

...

T-2

T-1

. 5.
4

3.
0 (1 < 0 < T), m0 , L0
. ,
, 1 m0 L0. , , 53

, 1 m0 L0 0 < T ( 3 4).
1. 0 (1 < 0 < T), m0 , L0 (.
6) 6)).
,
L0 0,
m0

L0 + 1, L0 + m0, L0 + 2 m0, , L0 + n m0,

T L0
n=
, 0 L0 + m0 (. 6).
m0
.
:
x1, L0 = Pr oj arg
y 1, L0

[ ( y1, )]
0

max

1, 0

y 1, 0 A0

=1

m0
. 3,

L0 . (
) L0 ,
m0, L0 m0
,
. , m0 m0 , L0 + 1.
(

):
x L0 +1,K, x L0 +m0 =
y L0 + ) =

54

m0 +0

Pr oj arg

y L0 +1,L0 +m0

( x1,min( ,L ) ,

max
L +1

y L0 +1,m0 +0 A 0 LAm0 +0 =m
0

L0

Pr oj

y L0 +1, L0 + m0

arg

max
L +1

y L0 +1,m0 + 0 A 0

L Am0 +0

( x1, ) +

= m0

m 0 + 0

( x1, L0 , y L0 +1, ) } =

= L0 + 1

Pr oj

y L0 +1, L0 + m0

arg

max

y L0 +1,m0 + 0 AL0 +1L Am0 +0


L0 + ( 0 + m 0 L0 )

( x1, L0 , y L0 +1, ) .

= L0 + 1

,
m0 ,
L0 + 1 m0
0 + m0 L0.
, L0 ( m0) n m0 ( nT L0
) 0, n
m0
m0 L0 + (n
1) m0 + 1 0 + m0 L0. :
x L0 + ( n 1) m 0 +1 , K , x L0 + nm 0 =

Proj

yL0+(n1)m0+1,L0 +nm0

arg

max

yL0+(n1)m0+1,0+nm0AL0+(n1)m0+1,0+nm0
0 + nm0

( x1,min( L0 +( n 1) m0 , ) , y L0 +( n 1) m0 +1, ) =

= nm0

Proj

yL0+(n1)m0+1,L0 +nm0

arg

max

yL0+(n1)m0+1,0+nm0AL0+(n1)m0+1,0+nm0
0 + nm 0

(x

( n

1, L0 + ( n 1) m 0

1 ) m

nm

( x

1 ,

, y L0 + ( n 1) m0 +1, ) =

= L0 + ( n 1) m 0 +1

Proj

yL0+(n1)m0+1,L0 +nm0

arg

max

yL0 +(n1)m0+1,0+nm0AL0+(n1)m0+1,0+nm0

L0 + ( n 1) m0 + ( 0 + m0 L0 )

( x 1, L0 +( n 1) m0 , y L0 +( n 1) m0 +1, ) .

= L0 + ( n 1) m0 +1

6, 1, ,
55

(
),
.
a)

...

t
2

...

T-2

T-1

...

t
1

...

T-2

T-1

. 6), 6). 3
1

3, 1:
1

, (12) (.
[59]), (13)-(16), (8)-(11),

56

t 1,
1, t
1, t
( x ), x A0
(12) F (x ) = =1
, t = 1,T ,
1
,
t
1
,
t
,
x A0

1,t

(8)-(11) ( F0() = 0):


(13) x1t = ~
x1t (x11,t-1) Arg max [F t(x11,t-1, yt) F t-1(x11,t-1)], t = 1, T ;
y t At

(14) x2t = ~
x2t (x21,t-1)
Projt Arg

max

y t ,t + 0 ( t ) A t A t +1 ... A t + 0 ( t )

[ F t + 0 ( t ) (x21,t-1, y t , t + 0 ( t ) )
F t(x21,t-1)], t = 1, T ;

, i +1

(15) x3i

Arg

i , i +1

max
+1

A A

i +1

... A

[ F i +1 ( x13, i 1 , y i , i +1 )

- F i ( x13, i 1 )], i = 1, imax 1 ;

(16) x4t Projt Arg

max

y 1,T A1,T

F T(y1,T), t = 1,T .

(13)-(16),
1-4 :
(17) Ki = FT( xi1,T ), i = 1, 4 .

.
J(t) ,
t.
J(t) t, t = 1,T . ,
t J(t), t = 1,T .
N(t) ,
, t.
N(t) t,
t N(t), t = 1,T .
J(t) N(t) :
.
57

(18) J(t) = { t | t N()}, N(t) = { t | t J()}, t = 1,T .


, J N T, ,
(19) t = 1,T J(t) = {max (1, t J); ; t},
(20) t = 1,T N(t) = {t; ; min (t + N, T)}.
, , (18)-(20), J = N.
J ( ),

( ), .
,
: 0(t) ,
( ),
( t), L0(t), 3
( ), .

(21) 0 = min 0(t), L0 = max L0(t)


t =1, T

t =1, T

J,
0 L0. :
(22) J + (L0 1) 0.
(22) 1 (
), , ,
,
( )
( ).
,
.
1

. [51].
58

5. .0, .1, .2,


.3, .4 (22),
2 3 : K2 = K3.
5 5.
(22) ,1
, K2 K3 ( 6 7).
, 1 ,
3 (
1, ), 2 ( ), , , 4. , 4
( ) . , , 1 2, 2 3.
, "
": 6 ,
1 , 2 ( ), 7 , 3 ,
2 ( ).
6. ( 1
2).
, (, ) ,
, , .
: "" (" "). .
, " ",
1 ( y1 ) 3. "1


.
59

", 1, ,
- ,
:
1 (" " ) = 3,
1 (" " ) = 1.
2 ( y1 , y 2 )
, , ,
:
2 (" " , " " ) = 3,
2 (" ", " " ) = 3,
2 (" " , " " ) = 1,
2 (" ", " " ) = 15.
, ,
,
, .
, y3, ,
3 ( y1 ) :
3 (" " ) = 3,
3 (" " ) = 100.
,
, , . ,
"" , ,
,
.
1 .
" ", " ", ,
3 + 3 + 3 = 9.
2 2 ,
, 60

, . ,
"",
"" , ,
, "".
, ,
1 + 15 100 = 84.
1 , 2.
7. ( 3
2). , T = 4,
At = {0; 1}, t = 1,4 . ,
6 ( ).

61

[13]

6
5

[12]
[15]

1
8

7
1

5
2

3
2

5
1

2
3

4
1

t=0

t=1

t=2

t=3

[14]
[12]
[11]
[10]
[9]
[7]
[6]
[8]
[9]
[11]

[8]
[10]

[7]
t=4

. 6. 7
0 = 2
. 4
( )
x4* = (1; 1; 0; 1) ( ,
, ),
K4 = 15. 1 (
) x1* = (0; 0; 0; 1),
K1 = 10.
, ( 3 x3* = (0; 0; 1; 1), 2
x2* = (0; 1; 0; 0)) , K3 = 11 > K2 = 9.
62

,

:
K4 > K3 > K1 > K2.
6 7 , 1,
2 3 :
K4 max {K2, K3} K1.

,
. 5-5,
. 6.
5,
T.
2. max {1, 0
J + 1} ( )
.
3. ,
max {1, 0 J + 1} 1.
(19) (20), -, , ( ), , -, , ,
,
( )
. , (22)
(. (21)). 5
( (19)-(21) )
, .
:
(23) J -(t) = min { J(t)}, t = 1,T ,
1

2 1
,
.
63

(24) N+(t) = max { N(t)}, t = 1,T .


5. .0, .1, .2,
.3, .4
(25)
(26)

min

> t + 0 ( t )

J -() > t + L0(t) 1, t = 1,T ,

max

t t + L0 ( t )1

N+() 0(t), t = 1,T ,


2 3 : K2 = K3.
. -, , 5
, ,
(19)-(21), (25) (23) (22). ,
(18), (23) (24) , (25) (26) ,

, .
(14) , 2,
t t + L0(t) 1:
(27) x2t Projt Arg

t +0 ( t )

max

t ,t + 0 ( t )

t ,t + 0 ( t )

( y J

( ),

=t

(28) x 2+

t L0 ( t ) 1

Arg

Projt+L0(t)-1
max

y t + L0 ( t ) 1,t + L0 ( t ) 1+ 0 ( t + L0 ( t ) 1) A t + L0 ( t ) 1,t + L0 ( t ) 1+ 0 ( t + L0 ( t ) 1)
t + L0 ( t )1+0 ( t + L0 ( t ) 1)

( y J

( ),

).

=t + L0 ( t ) 1

(15) , 3,
t t + L0(t) 1:
(29)

x3t

t +0 ( t )

Proj Arg
t

max

t ,t + 0 ( t )

t ,t + 0 ( t )

( y J

( ),

=t

(30)
64

x3t + L0 ( t )1

Proj

t+L0(t)-1

t +0 ( t )

Arg

max

t ,t + 0 ( t )

t ,t + 0 ( t )

=t

( y J

( ),

).

, (25) (26) (28)


(30) (
).
:
(28)
t + L0(t) 1 t + 0(t) t + 0(t) + 1 t + L0(t)
1 + 0(t + L0(t) 1), (30) t t + L0(t) 2 t + L0(t) 1
t + 0(t), (25)-(26).
t. (25) ,

t + L0(t) 1 + 0(t + L0(t) 1) t + 0(t) t + L0(t) 1.
(28) :
(31) x 2t + L0 ( t )1 Projt+L0(t)-1 Arg

max

y t + L0 ( t ) 1,t + 0 ( t )At + L0 ( t ) 1,t + 0 ( t )

max

y t + 0 ( t ) +1,t + L0 ( t ) 1+ 0 ( t + L0 ( t ) 1)At + 0 ( t ) +1,t + L0 ( t ) 1+ 0 ( t + L0 ( t ) 1)


t +0 ( t )

( y J

( ),

t + L0 ( t )1+0 ( t + L0 ( t ) 1)

) +

( ),

)] =

=t +0 ( t ) +1

=t + L0 ( t )1

t +0 ( t )

= Projt+L0(t)-1 Arg
y

( y J

t + L0 ( t ) 1,t + 0

maxt + L
(t )

0 ( t ) 1, t + 0 ( t )

( y J

( ),

) +

=t + L0 ( t )1

max

y t + 0 ( t ) +1,t + L0 ( t ) 1+ 0 ( t + L0 ( t ) 1)At + 0 ( t ) +1,t + L0 ( t ) 1+ 0 ( t + L0 ( t ) 1)


t + L0 ( t )1+0 ( t + L0 ( t ) 1)

( y J

( ),

) ].

=t +0 ( t ) +1

(30)
(32) x3t + L0 ( t )1 Projt+L0(t)-1 Arg

max

y t ,t + L0 ( t ) 2At ,t + L0 ( t ) 2
t + L0 ( t )2

maxt + L

t + L0 ( t ) 1,t + 0 ( t )

0 ( t ) 1, t +0 ( t )

t +0 ( t )

( y J

( y J

( ),

) +

=t

( ),

)] =

=t + L0 ( t )1

65

t + L0 ( t )2

Projt+L0(t)-1 Arg
y

t ,t + L0

maxt ,t + L
( t ) 2

0 ( t )2

( y J

maxt + L

t + L0 ( t ) 1,t + 0 ( t )

( ),

) +

=t

t +0 ( t )

0 ( t ) 1,t +0 ( t )

( y J

( ),

) ].

=t + L0 ( t )1

, (25)-(26) (31) ,
t + L0(t) 1, (31) (32). , (28) (30) , 2 3 .
, . .
,
{1, 2, T} [i, i+1],
{i}qi=1, , 1 q T, i i-1, 1 1, q T
(33) 0(i) i+1 i, i = 1, q 1 ,
(34) t [i; i+1] N+(t) i+1.
5. .0, .1, .2,
.3, .4 (33)-(34), 1 : K2 = K3 = K4.
. ,
(33)-(34) : t [i; i+1] J(t) {1, , i 1} = .
, (33)-(34) ,
{i}qi=1 ,
( T) q , ,
.
(33), , , , 1

, ,
(1), (
2 3 1).
66

, .
(34).
5 , ,

. , ,
,
(. 7) ,

.

,
,
.
,
"" ,
. .
t y1,t1
, yt
rt t, t(y1,t, rt), t = 1, T . (
, )
(t, ) , t,
t ( = t)
( = t + 1, T ) .
:
(35) t = 1, T , 1 2 t (2, t) (1, t) t.
(35) ,
(36) t = 1, T , t 1 2 (t, 1) (t, 2) 2 .
(35)-(36),
, ,
()
67

, ,
( ).
. , , , 1(), (
), , 2(),
(37) t = 1, T , = t, T 1(t, ) 2(t, ).
,
,
. , , 1,
. t
x1,t-1
:
T

(38) xt = Projt Arg

max

1,T

A01,T

min

r ( t , )

=t

(x1,, r), t = 1, T .

t
x1,t-1
, L0(t) 1
:
(39) xt,t+L0(t)-1 = Projt,t+L0(t)-1 Arg max
y

t ,T

A0t ,T

=t

min

r ( t , )

t(x1,-1, r),

t = 1, 1 + L0(1), ... .

(38) , (39) ,

, 4 ( ),
,
.
68

(40) K(y1,T) =

t ( y 1, t , r t ) .
rmin

t =1

6. .0, .1, .2,


.3, .4 , :
) ( (37))
;
) .
6 (38)-(40)
(35)-(37).
, , .
, , ,
(25) (26), .., ,
, , 6-7 .,

,
, ,
( 5
7 8), .
4.

, (.
),
.
, ,
(T = 2).

69

1 1:
(1) x11 = arg max {H1(y1) c1(y1)},
1
1
y A


c1 ( x11 ),
y 1 = x11
(2) K1 ( x11 , y1) =
.
0,
1 :
(3) x12 = arg

max

y A
2

( x 11 )

{H2( x11 , y2) c2( x11 , y2)},


c 2 ( y 1 , x12 ),
y 2 = x12
(4) K2 ( x12 , y1, y2) =
.
0
,

, (4) - .
, (
2, 3 4 ) (
, )
(5) ( x41 , x42 ) = arg 1 1max
{H1(y1)+H2(y1, y2)-c1(y1)-c2(y1, y2)}
2
2 1
y A , y A (y )

(2), (4) (5).


, , K1 = F2( x12 , x12 ) F2( x41 , x42 ) = K4.
, :
7.

K1 K2 = K3 = K4,
/ .

, ,
.
70

,
, (. 5 7).
(T = 3).
1 (1) (2). (3)
(4).

(6) x13 = arg

max

y 3A3(x11, x12 )

{H3( x11 , x12 , y3) c3( x11 , x12 , y3)},

1
c 3 ( y 1 , y 2 , x13 ), y 3 = x13
(7) K3 ( x13 , y1, y2, y3) =
.
0,
, (4), (7) - .
2 3
, .
, , , ,
,
. , 2
,
:
(8) x 21 = Proj1 arg

max

y 1A1 , y 2A2 ( y1 )

{H1(y1) +H2(y1, y2) -c1(y1) c2(y1, y2)},

(9) x 22 = Proj2 arg

max

y 2A1(x21 ), y 3A3 ( x12 , y 2 )

{H2( x 21 , y2) +H3( x 21 , y2, y3) c2( x 21 , y2) c3( x 21 , y2, y3)},

(10) x 23 = arg

max

y A
3

( x 12 ,

x 22 )

{H3( x 21 , x 22 , y3) c3( x 21 , x 22 , y3)}.

,
2, 3 4 .
71

3 1 ( 3 2) (8),
:
(11) x32 = Proj2 arg

max

y A , y A ( y )
1

{H1(y1) +H2(y1, y2) -

-c1(y1) c2(y1, y2)},


:
(12) x 23 = arg

max

y A
3

( x 13 ,

x 32 )

{H3( x31 , x32 , y3) c3( x31 , x32 , y3)}.

4
(13) ( x41 , x42 , x43 ) = arg

max
1

y A , y A (y ), y A (y , y )
1

{H1(y1) +

+ H2(y1, y2) + H3(y1, y2, y3) c1(y1) c2(y1, y2) c3(y1, y2, y3)}.
(1), (3), (6), (8)-(13), :
(14) K1 = F3( x11 , x12 , x13 ), K2 = F3( x 21 , x 22 , x 23 ),
K3 = F3( x31 , x32 , x33 ), K4 = F3( x41 , x42 , x43 ).
2 3 .
:

, .
2. 0 = T 1, , K2 K3.
. ,
, 2
3 .
, .
2 0 = T 1 ,

1


.
72

T 1 .
3 0 = T 1
,
, , T
1 ,
,
2. ,
, ,
2 , 3.
8.
2 , 3.
, (T = 3), , 2 3
(1 < 0 < T), 0 = 2. ,
0 = T 1, 2.
, 8
7, 3
2, T = 4.

73

5.


,
- ,
.
,
,
.
,
,
:
t 1

H t ( y1, t ) = y t g ( y ) ,
=1

: c t = c( y t ) .
0
L0. ,
g() c() , At 1+ , . , 3.5,

.
t xt ( 3, x t ,K, x t + L0 )
,
:
t +0 1

(1)

max
t + 1

y A ,K, y
t

t +0 1

=t

( y g ( xt + y t + L + y 1 ) c( y )) ,

t 1

xt = x
=1


At ,t +0 1 = At L At +0 1 ,

, .

, (1),
y t , K , y t + 0 1 , .
0 0 :
g ( xt ) c ( y t ) + y t +1 g ( xt + y t ) + L +
t + 1
+ y 0 g ( xt + y t + L + y t + 0 2 ) = 0

+
+
+
g ( x t + y t ) c ( y t 1 ) + y t 2 g ( xt + y t + y t 1 ) +
(2)
+ L + y t + 0 1 g ( xt + y t + L + y t + 0 2 ) = 0

M
g ( x t + y t + L + y t + 0 2 ) c ( y t + 0 1 ) = 0

,
(2) :
g ( xt + L + y t + 1 ) c ( y t + ) + y t + +1 g ( xt + L + y t + ) =

(3) = g ( xt + L + y t + ) c ( y t + +1 )

t + 2
t + 1
t
g ( x + L + y 0 ) c ( y 0 ) = 0
g ( x ) = + x , (3),
y t + +1 + c ( y t + +1 ) = y t + + c ( y t + ) . , c(x), g(x)
, y t = y t +1 = L = y t + 0 1 .
(3)
(4) + xt + ( 0 1) y t c ( y t ) = 0 .
(4),
y t = f ( xt , 0 ) .
(4),

75

x2
.
2
(1) t :
+ xt
.
(5) y t * = y t +1* = L = y t + 0 1* =
1 ( 0 1)
K :
T
T
t 1
( x t )2
)=
K = t ( x1, t ) = ( x t ( + x )
2
=1
t =1
t =1
( x ) =

(6)

= xt +
1

x i x j 12 ( x t ) 2 =

i , j =1KT , i j

( + 1) T t 2
t

)
x

( x )
2 1
2
1
1

.
, g(x) c(x),
(1) 0 0 , -1,
1
. > 0,
> > 1 , 0 1
, .

1 4.
1. 1 0 = L0 = 1 , x t = y t * . , (6) , :
(7) x t = (1 + ) t 1 , t = 1, T .
K1 1,
(7) (6):
2 (1 + ) 2T 1
(8) K1 =
2 ( + 2)
T

= x t ( +

76

,
A1 L AT = T+ ,
(7) (1),

.
< 0
xt = 0, t = 1, T , K1 .
> 0, 1
T+ ,

x i = , x1 ,K, x i 1 , x i +1 ,K, x T = 0 . (6), ,


2
K 1 =
.
2
> 0, > 1
T + , , (7), (8).
2. 2 1 < 0 < T , L0 = 1 , x t = y t * . , ,
t = T 0 + 1 T,

(1)
t = T 0 + 1 , (5) ,
:
1

x =
1 ( 0 1)

t 1

1+
, t = 2,K, T 0 .
(9) x =
1 ( 0 1) 1 ( 0 1)

x T 0 +1 = L = x T =
1 +

1 ( 0 1) 1 ( 0 1)

(9) (6), :
77

2( T 0 ) +1

2 (1 + )1 +
+ 2( 0 1) 1

1 ( 0 1)
.

(10) K 2 =
2 ( 2(1 ( 0 1) ) + )
1, "" (9)
.
< 0
xt = 0, t = 1, T , K2
.
> 0, 1

T+

x i = , x1 ,K, x i 1 , x i +1 ,K, x T = 0 .
(6) , 2
.
K 2 =
2
> 0, 1 < < 1 /( 0 1)
T + , , ,
(9), (10).
> 0, 1 /( 0 1)
() , , ,
.
. , ,
. ,
,
, .
, .
3. 3 1 < 0 < T , 1 m0 L0 0 ,

(5)
x L0 + km 0 1 ,K, x L0 + ( k +1)m 0 = y L0 + km 0 1* . , -, ,
78

(1) t , , ,
, , , 1, () 3:
x1 = K = x L0 = x 0

x L0 + 1 = L = x L0 + m 0 = x 0 b
(11)
,
M
L0 + ( n 1)m0 +1
= L = x T = x 0bn
x

1 ( 0 1 L0 )

,
x0 =
, b =
1 ( 0 1)
1 ( 0 1 L0 + m0 )
T 0
n =
.
m0
(11) (6), K3 3:
bn 1
+ (T L0 m0 n ) x 0b n ) +
K 3 = ( L0 x 0 + m0bx 0
b 1
(12)

bn 1
+ (T L0 m0 n ) x 0b n ) 2
( L0 x 0 + m0 bx 0
2
b 1

+1
b2n 1
( L0 ( x 0 ) 2 + m0 b 2 ( x 0 ) 2 2
2
b 1

+ (T L0 m0 n )( x 0 ) 2 b 2 n )
, , (11), ,
, 2
, .
4. 4 0 = T0 ,
x t = y 1* , ,
:

(13) x t =
, t = 1, T .
1 (T 1)
79

, 4 :
2T
.
(14) K 4 =
2(1 (T 1) )

(13), 2,
, 0 = T .
, 1, 2, 4 3. , 0 = L0 = m0 = 1
3 1, 1 < 0 < T , L0 = m0 = 1 3 2, 0 = T 3 4. , (11) (12)
3 ,
, (7)
(8) 1, (9) (10)
2, (13) (14)
4.
, ,
, K3
(

K 3 = K ( , , 0 , L0 , m0 , T ) ) 0, L0,
m0.
7 > 0. ,
, = 0 = 1.
K1 , K 2 , K 3 .

80

K1
K2
K3
K4

2T/2

2/2
1

1/(T-1) 1/(0-1)

. 7. 1, 2, 3, 4.

K1 K 3 K 2 K 4 ,
4 ( ,
5),
2, 3,
1.
, ,
. 8,
2 K2
0.

81

9.5

K2

8.5

7.5
0

0
1

10

. 8. 2
0 = 0.05, T = 10

, ,
( 3
2 . 1),
.
9, < 0
. , ,

, ,
. , , .

82

1
0.9
0.8
0.7

x1

0.6

x2

0.5

x3

0.4

x4

0.3
0.2
0.1
0

10

11

12

. 9. 1 x1, 2 x2
(0 = 5), 3 x3 (0 = 5, L0 = 4, m0 = 2) 4 x4
< 0, T = 12

.
8 ( ). , . ,
.
,
,
.
,
, . 83

, , , .
, . ,
( ) .
,

, .
< 0.
,
,
1, .
,
.
(. 9).

, ..
2 3, .

, .

2 3,

, ( )
.
( 4), ,
(

).
,
( ) , ,

84

. 4 ,
.
, > 0. 1 / (0 1)
,
.
1
> > 0 10.
0 1
x
7.5
7
6.5
6
5.5

x1

x2

4.5

x3

x4

3.5
3
2.5
2
1.5
1
0.5
00

t
1

10

11

12

. 10. 1 x1,
2 x2 (0 = 5), 3 x3 (0 = 5, L0 = 4, m0 = 2) 4 x4
1/(0 1) > > 0, T = 12

85

.
(
4) .
> 0
,
.
9 ( ).
,
, .
.
,
.
, ,
. > 0,
, , .
, , ,
, ,
, ,
(. 10).
( 4 ) ,
, , ,
, .
: K1 K 3 K 2 K 4 , . (
),
.

. , 86

t 1

g ( y ) , ,
=1


,
, . ,


.
, ,
,
. .
(. 7), , .

87


, :
- ,
(. );
- ( 1),
( 2);
- ( 1 3),
, ( 2);
- ,
,
( 4);
-
( 5-6);
- ( 7-8);
- ( 5), .



,




n 1, yi Ai, i I. i-
fi(y), y = (y1, y2, ..., yn) A = Ai ,
iI

G G = (A1, A2, ..., An, f1, f2, ..., fn).


G(T) ( , ..)
G, T . i i-
, 2

-
(
, , ..),
,
, . ,
( ),
,
(agent). ,
,
, : ,
,
(principal) .
, , .
2
(1) ,
, . (. ).
89

(1) i(y1,T) =

1
T

fi ( y t ) ,

t =1
t
y 2 , ...,

y = (
y nt ) A
t, y1,T = (y1, y2, ..., yT) T. 1 i- G(T)
t

y1t ,

t it : (A)t-1 Ai
y1,t-1, (t 1), . , i-
i = ( i1 , i2 , ..., iT ). = (1, 2, ..., n) (y1(), y2(), ..., yT()), y1() = 1,
yt() = t(y1,t-1()), t > 1.
* :
1 T
1 T
t
*
(2)
f
(
y
(

))

i
fi ( y t ( * i , i )) i, i I.
T t =1
T t =1
: N(T)
(, N(1) ); imin () i- (, i imin , (IR)),

; * ,
, ; G(T-t) G(T), T t ,
t < T; i(y1,) i- G(T ) ,
i1 (y1,) = i +1 (y1,)

t < T ,
a1,t = (a1, a2, ..., at)

i +1 (a1,t) = it + +1 (y1,, a1,t); (y1,) = (1(y1,), 2(y1,), ..., n(y1,)).

,

( Ai)
( Ai).
90

(Subgame Perfect Equilibrium SPE1) G(T),


< T, y1, (y1,)
G(T-). SPE

, ,
T, , (
[9, 10]). SPE, ,
: ,
, , .
,

,
. : ,
(
), ( ) .
, , .
" " (.,
, [66, 82, 107, 128]).

"" - .
, ,
, , ,
.
2.
1

SPE [66],
.
2
, [53].
91

P(T) SPE G(T), [87, 88, 101, 115]:


; P(T),
, ,
, ( T) ,
P(T). k-
i- :
k

(3) Wi1, k = min { f i ( y t ) | y1,k P(k)}.


t =1

y1,T P(T) ,
i I, t < T
(4) Wi1,T t

fi ( y j ) ,

j = t +1



,
[91, 92, 103, 105].
, () "" (, )
,
-
,
. ,
,
(. (4)) ,
. ""
(
)
. ,
,
( ,
),
[108, 122, 131, 134, 145].
. ,
, ,
(perfect monitoring [133]).
92

, , , , , 1,
(imperfect
monitoring).
( ),

" " (Folk Theorem (FTh)) [83, 110, 114, 139, 147
.]. FTh [104]:
FTh1: ( ),
* *
, ,
*.
.
y*i Ai, i I,
*,
i .
k

Wi k , . ,
"" .
FTh2: * * SPE, i-
i* , i I.
FTh3: * * ,
SPE, *.
,
( ) .
1

,

(. (1)). , ,
.
93

FTh4: () *
SPE ,
. < 1 ()
( = 1 (. [104])).

FTh5: n = 2, (1, 2) * 0 (0; 1): (0; 1)
c SPE ,
1 2, .
FTh5
( *) [104].
(
) ,
[91] ( ) T [34], .
,
.
,
. ,
, , (
), , , , , , .
:

. [133]

, [126], , , FTh .
,
( ),
.
,
94

( )
[132].
-
, .

, . ,

( , , ). ( )
. "",
[102].
, ,
, ,
[132].

( 7.1 [132]). ""
FTh : ( ; FTh ,
(), ; , (
), ,
.. [85, 92, 99, 120, 129].

1.
1

,
( )
, . ,
, FTh .,
, [30, 32, 41] [115] ( 95

[41]
(. ), 1 2 [30]. .
1 (, ) ( ) ui(y1,i),
i = 1, T (
,
, ),
y1,T. [30, 32],
()
, .
,
,
,
.
, , , , ,

,
( ,
, ) [41].

ui(y1,i), i = 1, T , , yi.
u1,T-1() y1,T-1,
uT(, u1,T-1, y1,T-1) ..,
.
[33, 34, 40]) .
1

.
96

,
, t+1
t , ( )
(
), [41, 66]. ( ) .


, , ,
,
,
() . .
, , ,
[15, 57, 58, 125, 131],
.
,
,
.., , , ,
[52, 56-58].
.

, [15] .

[15, 58]
. ,
()
. 97

,
( )
, .
, ,
, ,

.

:
A = {y1, y2, ..., yn},
A = {z1, z2, ..., zn} (
); y1 A ;
y2 A ; zj A0 ; j M
zj, jl M
: zj zl ,
; = (j, jl); (y1 j, y2 jl)
;
f(j, jl, y1, y2) y
; pj(yk) zj yk, k = 1, 2, j, l = 1, n . ,
, , :
n

(1) E(, y) =

p j ( y1 ) pl ( y 2 ) ( y1 j , y 2 jl ) ,

j , l =1
n

(2) Ef(, y) =

p j ( y1 ) pl ( y 2 ) f ( j , jl , y1 , y 2 )

j , l =1

y = (y , y ), E . [15], (,
{*; y*} [15, 42, 56]):
(3) E(, y*) max
1

(4) y Arg max Ef(, y)


*

y A 2

98

1 [15, 56, 125]. ,



.
,
, .
(. [140] -
, [119]
[15, 125, 132, 134]).
, , (3)-(4)
, ( ).
, [100]. , ,
, , 2.

( , ) f, ,
* f* [95, 132, 138] (.
FB (first-best) SB (second-best) 1


, (
).

.
2
,
"", , "", . - ""
, (.
).
99

[15, 57, 118]). f, , FTh,


1 * f* [140].
,
(
[122]),
, . , [15], "
" ,
,
.
, ,

(
, ),

,
, ,
. ,

2
( ). [131] , , 1

( FB )
, - [131]. IR - ( FB )
- [123, 138].
2
,
, .
100

-- .
(.
FTh ). ,
: ,

. ,
, [134].
,
, , , - .. [89, 98, 112, 113,
116, 117, 124, 125, 136, 137, 141, 146].

,
, , .
, ( ) , , ,
.
, , ,
; , (renegotiation-proof
contract). , , .
, ,
,
, .
,
101

( ) ,
.
. [15]:
, ,
(apriori, , ), ; , ,
.
(interim)
, .
, .
,
[94, 97]. , ""
[90, 106, 119].
, ,
, (
) [22, 58,
106].
, , , [111],
, , . :
;
; ;
; ( );
102

, ( , )
.
, (FB),
, (SB). ,
,
(
, ,
). ( ,
).
. . ,
, ,
, ,
. ,
, ,
,
FB- [111]. ,
,
, , SB-
, FB- [57, 125].
(, , ),
.
, , (
[17-20]), , , , ,
103

,
. ,

.

(renegotiation-proofness
principle):
,
[93, 121] (.
[16, 58,
107, 116, 117, 128]).
, ,


[16, 58].

, , . , ,

, ,
, "".
, , , [12].

, , ,
.
, .
, , , (
104

,
( !) (.
[16, 127])
, , ( );
.

[98, 113, 144].
, , ,
,
, , 1, (, ) .


()
, , .


, .

, ,
.
, , , ..

, .
, , (., , [12]). , , [92, 96, 97,
135].
105

(), 1 (), t

(1) t(xt; yt),



(2) f t(xt; yt),
xt t ( ), yt , .
x1,T = (x1, x2,..., xT) , y1,T = (y1, y2, ..., yT) .
,
( ),
, .

.
(
), .
.
( ) t
, At = At(xt, yt-1), t 2, A1 = A1(x1) [2, 3, 19].
,
:
(3) f t(xt; yt)

max

yt At ( xt , yt 1 )

, t = 1, T .

:
(4) t(x1,T, y1,T) = f t(xt, yt) +

k f k ( xk , y k ) .

k = t +1

(4)
: = min {t + 0, T} 0
0 ; = T
.. [18, 78-80]. ,

, , .
106

t ( y t , 0 )
(4).
,

(x1,T, y1,T) =

k f k ( xk , y k ) ,

k =1

, (. )
[79]. , , ,
, ,
,
.
(0 + 1 < T),
.
[79] ,
, ,
,
.
(3)-(4)
.
[36, 37] , .
(
1 x1,T ), (

) ,
, (.
).

,
,
, [78-80].
107

.
. .
()
x X
y A, X (
X = A): = (x, y).
f(), ,
, , , : f = f(, x, y).

:
P(, x) = Arg max f(, x, y). ,
y A

(, y) : P() = U P(, x).


x X

B() = {x X | y A (x, x) c(x) (x, y) c(y)}


, ,
.
(x, y),
, , ,
.
M,
B() = P().
,

70-80 .

,

( ). : ,
(. ) ,
108

, x- , (x) , L- [6, 14, 18,


19] . . [20].
,
, .
(x, y) ( ,


, [58])
[18]:
x, y, z (x,y) (x,z) + (z,y).

[6, 14, 19].
.
,
. ,
.

(3)-(4) . [31, 36, 78, 79]. ,
,
. ,
(. ).

.
, .
, ( , , ).
109

,
.
.
1 [2, 3,75].

2 ,
.
( )
, ( ).
[16]
[21].
.
,
,
.
, ,
,
. .
10. r,
, , .
1

[58],
( , ) (
,
),
(
)
.
2


[11, 76, 77].
110

. : f(r) = A q r0 + (r r0), r0 r, r r (
). r > r0,
:
r1 = r0 + (r r0).
, r
, . , :
f(r) = A q r0 + (r r0) + (A q r1).
f(r) , ,
( ) r,
> q.

.
. ,
(. ).
, 1. , ,
, , ,
. ,
,
,

. ,
.
[2, 3, 72, 73, 75] ,
. ,
1

, , , ,
[75].
111

, ,
, .

[75].

, [12].
,
(. ).
,
.
,
, . ,
m = {(u1, y1), (u2, y2), (um, ym)}
, , m . : (
) , , ..
1 ( ).
11.
.
(
()):
1

- ,

. ,
( ) ,
, ,
.
112

(, y) = H(y) (y).
: f(, y) = (y) c(y).
:
A = [0; A+], 0 < A+ < +, : c(y) = y2/2r, r > 0
.
, , M1, :
y A c-(y) c(y) c+(y), r [r+; r-].

[58],
( )
: K(y) = c+(y),
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yA

, y* = Arg max {H(y) c(y)}.


yA

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= {H(y*) c(y*)} {H(y+) c+(y+)} 0.
, , H(y) = y, = (r r+) / 2.
,
. .

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+
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A , r > r

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r .

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