Numerical Algorithms for Deterministic Impulse Control Models with Applications

D. Grass, M. Chahim

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Abstract

Abstract: In this paper we describe three different algorithms, from which two (as far as we know) are new in the literature. We take both the size of the jump as the jump times as decision variables. The first (new) algorithm considers an Impulse Control problem as a (multipoint) Boundary Value Problem and uses a continuation technique to solve it. The second (new) approach is the continuation algorithm that requires the canonical system to be solved explicitly. This reduces the infinite dimensional problem to a finite dimensional system of, in general, nonlinear equations, without discretizing the problem. Finally, we present a gradient algorithm, where we reformulate the problem as a finite dimensional problem, which can be solved using some standard optimization techniques. As an application we solve a forest management problem and a dike heightening problem. We numerically compare the efficiency of our methods to other approaches, such as dynamic programming, backward algorithm and value function approach.
Original languageEnglish
Place of PublicationTilburg
PublisherEconometrics
Number of pages22
Volume2012-081
Publication statusPublished - 2012

Publication series

NameCentER Discussion Paper
Volume2012-081

Keywords

  • Impulse ControlMaximum Principle
  • Optimal Control
  • BVP
  • gradient method
  • continuation

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