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Solving Optimal Switching Models

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  • Fackler, Paul L.

Abstract

Numerous control problems in economics can be characterized as optimal switching problems, including optimal stopping and entry/exit problems. With certain notable exceptions, solutions to such problems must be computed numerically. This paper discusses an approach to obtaining a numerical solution in a fairly general setting and describes a user-friendly MATLAB implementation that simplifies that process.

Suggested Citation

  • Fackler, Paul L., 2018. "Solving Optimal Switching Models," CEnREP Working Papers 277665, North Carolina State University, Department of Agricultural and Resource Economics.
    • Handle: RePEc:ags:nccewp:277665
    DOI: 10.22004/ag.econ.277665
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    File URL: https://ageconsearch.umn.edu/record/277665/files/WP-2018-019.pdf
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    References listed on IDEAS

    as
    1. Avinash K. Dixit & Robert S. Pindyck, 1994. "Investment under Uncertainty," Economics Books, Princeton University Press, edition 1, number 5474.
    2. Kenneth L. Judd, 1998. "Numerical Methods in Economics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262100711, December.
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