Numerical Solution of Infinite-Horizon Optimal-Control Problems

Authors:
Peter Kunkel;Oskar Von Dem Hagen
Affiliations:
Department of Mathematics, University of Oldenburg, D-26111 Oldenburg, Germany kunkel@uni-oldenburg.de;Department of Economics, University of Oldenburg, D-26111 Oldenburg, Germany vdhagen@uni-oldenburg.de
Venue:
Computational Economics
Year:
2000

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Abstract

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