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

Abstract

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].Computational techniques; Economic software; Computational methods in stochastic optimal control; Computational economics; Approximating Markov decision chains