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Re: Numerical solutions to problems in theory of optimal control

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  • 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


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