We are concerned with the discretization of optimal control problems when a Runge-Kutta scheme is selected for the related Hamiltonian system. It is known that Lagrangian's first order conditions on the discrete model, require a symplectic partitioned Runge-Kutta scheme for state-costate equations. In the present paper this result is extended to growth models, widely used in Economics studies, where the system is described by a current Hamiltonian.
Exponential Lawson integration for nearly Hamiltonian systems arising in optimal control
F Diele;C Marangi;
2008
Abstract
We are concerned with the discretization of optimal control problems when a Runge-Kutta scheme is selected for the related Hamiltonian system. It is known that Lagrangian's first order conditions on the discrete model, require a symplectic partitioned Runge-Kutta scheme for state-costate equations. In the present paper this result is extended to growth models, widely used in Economics studies, where the system is described by a current Hamiltonian.File in questo prodotto:
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