Optimal control in nonlinear models: a generalised Gauss-Newton algorithm with analytic derivatives
AbstractIn this paper we propose an algorithm for the solution of optimal control problems with nonlinear models based on a generalised Gauss- Newton algorithm but making use of analytic model derivatives. The method is implemented in WinSolve, a general nonlinear model solu- tion program.
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Bibliographic InfoPaper provided by School of Economics, University of Surrey in its series School of Economics Discussion Papers with number 0906.
Length: 11 pages
Date of creation: Mar 2006
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-04-01 (All new papers)
- NEP-CBA-2006-04-01 (Central Banking)
- NEP-CMP-2006-04-01 (Computational Economics)
- NEP-DGE-2006-04-01 (Dynamic General Equilibrium)
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