Numerical Optimal Control in Continuous Time Made Easy

Eric Nvdal ()
Authors registered in the RePEc Author Service: Eric Nævdal

Computers in Higher Education Economics Review, 2002, vol. 15, issue 1, pages 8-15

Abstract: The paper explains how continuous time optimal control models can be solved with Microsoft Excel. Two models are solved, each illustrating a different aspect of the Optimal Control Theory. The first is a model of real investment. The second is a model of fisheries management. The investment model is used to illustrate how one can simultaneously maximise the Hamiltonian and solve the differential equations for the state and the co-state variables, a computational aspect overlooked in the literature. The paper is aimed at researchers looking for a way of doing numerical optimal control in continuous time without being proficient in programming or advanced mathematical software.

Date: 2002

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