A method for numerical and analytical solutions to a class of nonlinear optimal control problems
Working paper
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Date
2004-02Metadata
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- Discussion papers (FOR) [569]
Abstract
Dynamic optimization problems cover a great class of problems in theoretical and applied economics and technology. In this account the exploitation of a general renewable capital stock is modeled through an alternative formulation to the classical optimal control approach. We propose a very simple alternating iterative algorithm that is shown to converge very fast towards a solution, where the accuracy of the solution can also be determined. The algorithm can also produce approximate closed form (analytical) feedback solutions. By using a special simple seed in the iteration scheme we reproduce perturbation results (formulae) that are published in the last decade. Often only two or three iteration steps are necessary to produce sufficiently accurate approximations.
Publisher
Norwegian School of Economics and Business Administration. Department of Finance and Management ScienceSeries
Discussion paper2004:2