A Numerical Method for Multidimensional Impulse and Barrier Control Problems

Metin Balikcioglu and Paul L. Fackler

No 277666, CEnREP Working Papers from North Carolina State University, Department of Agricultural and Resource Economics

Abstract: We offer a unified numerical method to solve both impulse and barrier control problems in multidimensional state spaces. Our numerical approach is based on the link between optimal regime switching model and impulse and barrier control problems. This link results in a convenient representation of the optimality conditions for numerical solution methods. Using finite difference approximations for derivatives, the optimality conditions are transformed into an extended vertical linear complementarity problem which is solved using Newton type methods. The numerical approach is illustrated with several examples.

Keywords: Environmental; Economics; and; Policy (search for similar items in EconPapers)
Pages: 33
Date: 2018-09-24
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Persistent link: https://EconPapers.repec.org/RePEc:ags:nccewp:277666

DOI: 10.22004/ag.econ.277666

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