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Optimal control and the Fibonacci sequence

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  • Thomas von Brasch
  • Johan Byström
  • Lars Petter Lystad

    ()
    (Statistics Norway)

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    Abstract

    We bridge mathematical number theory with that of optimal control and show that a generalised Fibonacci sequence enters the control function of finite horizon dynamic optimisation problems with one state and one control variable. In particular, we show that the recursive expression describing the first-order approximation of the control function can be written in terms of a generalised Fibonacci sequence when restricting the final state to equal the steady state of the system. Further, by deriving the solution to this sequence, we are able to write the first-order approximation of optimal control explicitly. Our procedure is illustrated in an example often referred to as the Brock-Mirman economic growth model.

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    File URL: http://www.ssb.no/a/publikasjoner/pdf/DP/dp674.pdf
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    Bibliographic Info

    Paper provided by Research Department of Statistics Norway in its series Discussion Papers with number 674.

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    Date of creation: Jan 2012
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    Handle: RePEc:ssb:dispap:674

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    Related research

    Keywords: Fibonacci sequence; Golden ratio; Mathematical number theory; Optimal control.;

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    1. Kenneth L. Judd, 1998. "Numerical Methods in Economics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262100711, December.
    2. Magill, Michael J. P., 1977. "A local analysis of N-sector capital accumulation under uncertainty," Journal of Economic Theory, Elsevier, vol. 15(1), pages 211-219, June.
    3. Levine, Paul & Pearlman, Joseph G. & Pierse, Richard, 2007. "Linear-quadratic approximation, external habit and targeting rules," Working Paper Series 0759, European Central Bank.
    4. Magill, Michael J. P., 1977. "Some new results on the local stability of the process of capital accumulation," Journal of Economic Theory, Elsevier, vol. 15(1), pages 174-210, June.
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