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

Author

Listed:
  • 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].

Suggested Citation

  • Azzato, Jeffrey D. & Krawczyk, Jacek, 2007. "Using a finite horizon numerical optimisation method for a periodic optimal control problem," MPRA Paper 2298, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:2298
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    File URL: https://mpra.ub.uni-muenchen.de/2298/1/MPRA_paper_2298.pdf
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    References listed on IDEAS

    as
    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.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Computational techniques; Economic software; Computational methods in stochastic optimal control; Computational economics; Approximating Markov decision chains;
    All these keywords.

    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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