Numerical approximation of free horizon optimal control problems

Sibel Sirakaya

International Journal of Computational Economics and Econometrics, 2014, vol. 4, issue 3/4, 362-371

Abstract: A direct method is offered for numerical solution of free-horizon optimal control problems. The method first represents the problem with discrete dynamics. Next, given a fixed number of decisions, not only the decisions, but also the decision frequencies are optimised to construct the optimal state trajectory and also the optimal control horizon. Two sample problems demonstrate the proposed method.

Keywords: free horizon optimal control; optimal discretisation; optimal control horizon; genetic algorithms. (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijcome:v:4:y:2014:i:3/4:p:362-371

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