Using a finite horizon numerical optimisation method for a periodic optimal control problem
AbstractComputing 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 . This paper describes an attempt at applying this method to a periodic optimal control problem introduced in .
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 2298.
Date of creation: 11 Feb 2007
Date of revision:
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; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
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- Jacek B. Krawczyk, 2000. "A Markovian Approximated Solution To A Portfolio Management Problem," Computing in Economics and Finance 2000 233, Society for Computational Economics.
- 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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