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Numerical Optimal Control in Continuous Time Made Easy

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  • Eric Nvdal

Abstract

The paper explains how continuous time optimal control models can be solved with Microsoft Excel. Two models are solved, each illustrating a different aspect of the Optimal Control Theory. The first is a model of real investment. The second is a model of fisheries management. The investment model is used to illustrate how one can simultaneously maximise the Hamiltonian and solve the differential equations for the state and the co-state variables, a computational aspect overlooked in the literature. The paper is aimed at researchers looking for a way of doing numerical optimal control in continuous time without being proficient in programming or advanced mathematical software.

Suggested Citation

  • Eric Nvdal, 2002. "Numerical Optimal Control in Continuous Time Made Easy," Computers in Higher Education Economics Review, Economics Network, University of Bristol, vol. 15(1), pages 8-15.
    • Handle: RePEc:che:chepap:v:15:y:2002:i:1:p:8-15
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    File URL: https://www.economicsnetwork.ac.uk/cheer/ch15_1/naevdal.htm
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    Cited by:

    1. Eric Nævdal, 2012. "Fighting Transient Epidemics—Optimal Vaccination Schedules Before And After An Outbreak," Health Economics, John Wiley & Sons, Ltd., vol. 21(12), pages 1456-1476, December.

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