Re: Numerical solutions to problems in theory of optimal control
- To: mathgroup at smc.vnet.net
- Subject: [mg34318] Re: [mg34305] Numerical solutions to problems in theory of optimal control
- From: "Johannes Ludsteck" <johannes.ludsteck at wiwi.uni-regensburg.de>
- Date: Wed, 15 May 2002 03:35:04 -0400 (EDT)
- Organization: Universitaet Regensburg
- Sender: owner-wri-mathgroup at wolfram.com
Dear Ole, to the best of my knowledge there are no such programs in MathSource available. I am working currently on such problems and have written programs for two special problems: A problem of optimal saving in a discrete time markov chain model and a problem of allocation of labour to two firms with insider-outsider effects and stochastic demand (represented with a discrete state marcov chain). If you are interested in the programs, I can send you the stuff. Though they are documented it is not clear whether they will help you much. By the way: My programs use discretisation methods (as surveyed in Ljungqvist & Sargent: Recursive Macroeconomics or Judd: Numerical Methods in Economics). An alternative approach is to approximate the true value function by spline functions. But this becomes a complex task if the number of dimensions increases. If you are interested to cooperate with me, please tell me which kind of problems you deal with and your profession. Best regards, Johannes Ludsteck On 14 May 2002, at 4:11, o.j.nospam.rogeberg at frisch.uio.no wrote: > How can I obtain numerical solutions for the optimal paths in problems > of optimal control using Mathematica? Tips or references (print or > on-line) appreciated. > > Sincerely, > > ole rogeberg > <><><><><><><><><><><><> Johannes Ludsteck Economics Department University of Regensburg Universitaetsstrasse 31 93053 Regensburg Phone +49/0941/943-2741