Abstract
A computer package “SCOM” is described, for solving a class of optimal control problems in continuous time, using the MATLAB system, but in a different way from the “RIOTS_95” package which also uses MATLAB. As in the MISER and OCIM packages, the control is parametrised as a step-function, and MATLAB’s “constr” package for constrained optimization is used as a subroutine. End-point conditions are simply handled using penalty terms. Much programming is made unnecessary by the matrix features built into MATLAB. Some economic models present computational difficulties because of implicit constraints, and there is some advantage using finite difference approximations for gradients. The Kendrick-Taylor model of economic growth is computed as an example.
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© 2001 Springer Science+Business Media Dordrecht
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Craven, B.D., Islam, S.M.N. (2001). Computing Optimal Control on MATLAB — The SCOM Package and Economic Growth Models. In: Rubinov, A., Glover, B. (eds) Optimization and Related Topics. Applied Optimization, vol 47. Springer, Boston, MA. https://doi.org/10.1007/978-1-4757-6099-6_5
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DOI: https://doi.org/10.1007/978-1-4757-6099-6_5
Publisher Name: Springer, Boston, MA
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