Numerical approximation of free horizon optimal control problems
by Sibel Sirakaya
International Journal of Computational Economics and Econometrics (IJCEE), Vol. 4, No. 3/4, 2014

Abstract: A direct method is offered for numerical solution of free-horizon optimal control problems. The method first represents the problem with discrete dynamics. Next, given a fixed number of decisions, not only the decisions, but also the decision frequencies are optimised to construct the optimal state trajectory and also the optimal control horizon. Two sample problems demonstrate the proposed method.

Online publication date: Sun, 14-Sep-2014

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