V-187-98 Peter Kunkel and Oskar von dem Hagen, Numerical solution of infinite-horizon optimal-control problems
The paper presents an algorithm that solves two-point boundary-value problems that arise in economic control models in continuous time with an infinite time horizon and several state variables. The algorithm can determine optimal trajectories that converge to an isolated equilibrium point. It therefore provides numerical solutions to a large class of problems for which no solvers were yet available.
Key words: Two-point boundary value problem, infinite time horizon, dynamical optimization, numerical solution.
JEL classification: C63, C61, Q2.