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

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  • Azzato, Jeffrey D.
  • Krawczyk, Jacek

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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Bibliographic 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;

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  1. Jacek B. Krawczyk, 2000. "A Markovian Approximated Solution To A Portfolio Management Problem," Computing in Economics and Finance 2000 233, Society for Computational Economics.
  2. Azzato, Jeffrey & Krawczyk, Jacek, 2006. "SOCSol4L An improved MATLAB package for approximating the solution to a continuous-time stochastic optimal control problem," MPRA Paper 1179, University Library of Munich, Germany.
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