Numerical Solution of Infinite-Horizon Optimal-Control Problems

Peter Kunkel and Oskar von dem Hagen

Computational Economics, 2000, vol. 16, issue 3, 189-205

Abstract: The paper presents an algorithm that solves two-point boundary-value problems that arise in economic control models in continuous time with an infinite time horizon and several state variables. The algorithm can determine optimal trajectories that converge to an isolated equilibrium point. It therefore provides a numerical solution to a large class of problems for which no solvers were yet available.

Keywords: two-point boundary-value problem; infinite time horizon; dynamical optimization; numerical solution (search for similar items in EconPapers)
Date: 2000
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