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

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].

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Year of publication:	2007-02-11
Authors:	Azzato, Jeffrey D. ; Krawczyk, Jacek

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Azzato, Jeffrey D. and Krawczyk, Jacek (2007): Using a finite horizon numerical optimisation method for a periodic optimal control problem.
Classification:	C63 - Computational Techniques ; C87 - Econometric Software
Source:	BASE

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