Main Function

TwoStageOptimisation(;Results=Dict(),
        UserParameters=Dict(),
        ObjectiveIntegrand1 = (C1, S1, t::Float64, Para::Dict) -> 0,
        AggregationIntegrand2 = (C2, S2, t::Float64,s::Float64, Para::Dict) -> 0,
        StateDynamic1 = (C1, S1, t::Float64, Para::Dict) -> 0, 
        StateDynamic2 = (C2, S2, t::Float64, s::Float64, Para::Dict) -> 0, 
        Shock12 = (C1, S1, t::Float64, Para::Dict) -> 0,
        SalvageFunction1 = (S1, Para::Dict) -> 0, 
        SalvageFunction2 = (S2, Para::Dict) -> 0)

This function solves the two-stage optimal control problem defined by the functions

• ObjectiveIntegrand1 -> integrand of the objective function
• AggregationIntegrand -> integrand of the second stage aggregation function quantile
• StateDynamic1 -> State dynamics in the first stage
• StateDynamic2 -> State dynamics in the second stage
• Shock12 -> function describing the transition of state variables from the first to second stage
• SalvageFunction1 -> Salvage function in the first stage
• SalvageFunction2 -> Salvage function in the second stage