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Using a finite horizon numerical optimisation method for a periodic optimal control problem

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Author Info
Azzato, Jeffrey
Krawczyk, Jacek

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Abstract

Computing a numerical solution to a periodic optimal control problem is difficult. A method of approximating a solution to a given (stochastic) optimal control problem using Markov chains was developed in [3]. This paper describes an attempt at applying this method to a periodic optimal control problem introduced in [2].

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File URL: http://mpra.ub.uni-muenchen.de/2298/
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 2298.

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Date of creation: 11 Feb 2007
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Handle: RePEc:pra:mprapa:2298

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Related research
Keywords: Computational techniques Economic software Computational methods in stochastic optimal control Computational economics Approximating Markov decision chains

Find related papers by JEL classification:
C63 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Computational Techniques
C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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  1. Wolfgang Keller & Stephen R. Yeaple, 2003. "Multinational Enterprises, International Trade, and Productivity Growth: Firm-Level Evidence from the United States," IMF Working Papers 03/248, International Monetary Fund.
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  2. Maskell, Peter & Malmberg, Anders, 1999. "Localised Learning and Industrial Competitiveness," Cambridge Journal of Economics, Oxford University Press, vol. 23(2), pages 167-85, March.
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  3. Grandmot, J-M. & Pintus & P. & de Vilder, R., 1997. "Capital-Labour Substitution and Comptitive Nonlinear Endogenous Business Cycles," Papers 9787, Universite catholique de Louvain - Center for Operations Research and Economics (CORE).
    Other versions:
  4. Girma, Sourafel & Greenaway, David & Wakelin, Katharine, 2001. "Who Benefits from Foreign Direct Investment in the UK?," Scottish Journal of Political Economy, Scottish Economic Society, vol. 48(2), pages 119-33, May. [Downloadable!] (restricted)
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