Using a finite horizon numerical optimisation method for a periodic optimal control problem

Jeffrey Azzato and Jacek Krawczyk ()

MPRA Paper from University Library of Munich, Germany

Abstract: Computing a numerical solution to a periodic optimal control problem is difficult. A method of approximating a solution to a given (stochastic) optimal control problem using Markov chains was developed in [3]. This paper describes an attempt at applying this method to a periodic optimal control problem introduced in [2].

Keywords: Computational techniques; Economic software; Computational methods in stochastic optimal control; Computational economics; Approximating Markov decision chains (search for similar items in EconPapers)
JEL-codes: C63 C87 (search for similar items in EconPapers)
Date: 2007-02-11
New Economics Papers: this item is included in nep-cmp
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