Title: Numerical approximation of free horizon optimal control problems

Authors: Sibel Sirakaya

Addresses: Risk Analysis Division, Office of the Comptroller of the Currency, 400 7th St. SW, Mail Stop 6E-3, Washington DC, 20024, USA

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.

Keywords: free horizon optimal control; optimal discretisation; optimal control horizon; genetic algorithms.

DOI: 10.1504/IJCEE.2014.064790

International Journal of Computational Economics and Econometrics, 2014 Vol.4 No.3/4, pp.362 - 371

Received: 22 Aug 2013
Accepted: 20 Jun 2014
Published online: 14 Sep 2014 *

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