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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 D.
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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Publisher Info
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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