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Optimizacion dinamica restringida en economia: metodos matematicos e implementacion en el general algebraic modeling system
[Dynamic optimizacion in economics: mathematical methods and implementation in the general algebraic modeling system]

Author

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  • Mercado, P. Ruben

Abstract

The paper presents mathematical methods of deterministic optimal control in continuous time and stochastic dynamic programming in discrete time, and computational techniques for their implementation in the General Algebraic Modeling System (GAMS). The methods and their computational implementations are exemplified with intertemporal models of economic growth.

Suggested Citation

  • Mercado, P. Ruben, 2002. "Optimizacion dinamica restringida en economia: metodos matematicos e implementacion en el general algebraic modeling system [Dynamic optimizacion in economics: mathematical methods and implementati," MPRA Paper 58012, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:58012
    as

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    File URL: https://mpra.ub.uni-muenchen.de/58012/1/MPRA_paper_58012.pdf
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    References listed on IDEAS

    as
    1. Robert M. Solow, 1994. "Perspectives on Growth Theory," Journal of Economic Perspectives, American Economic Association, vol. 8(1), pages 45-54, Winter.
    2. Lambardi, Germán D. & Mercado, P. Ruben, 2002. "Optimizacion estatica restringida en economia: metodos, algoritmos e implementacion en el general algebraic modeling system [Constrained static optimization in economics: methods, algorithms and im," MPRA Paper 58013, University Library of Munich, Germany.
    3. Chow, Gregory C., 1997. "Dynamic Economics: Optimization by the Lagrange Method," OUP Catalogue, Oxford University Press, number 9780195101928.
    4. P. Ruben Mercado & Lihui Lin & David A. Kendrick, 2003. "Modeling economic growth with GAMS," Chapters, in: Amitava Krishna Dutt (ed.), Development Economics and Structuralist Macroeconomics, chapter 2, Edward Elgar Publishing.
    5. Marimon, Ramon & Scott, Andrew (ed.), 1999. "Computational Methods for the Study of Dynamic Economies," OUP Catalogue, Oxford University Press, number 9780198294979.
    6. Benveniste, L. M. & Scheinkman, J. A., 1982. "Duality theory for dynamic optimization models of economics: The continuous time case," Journal of Economic Theory, Elsevier, vol. 27(1), pages 1-19, June.
    7. Olivier Jean Blanchard & Stanley Fischer, 1989. "Lectures on Macroeconomics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262022834, April.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Lambardi, Germán D. & Mercado, P. Ruben, 2002. "Optimizacion estatica restringida en economia: metodos, algoritmos e implementacion en el general algebraic modeling system [Constrained static optimization in economics: methods, algorithms and im," MPRA Paper 58013, University Library of Munich, Germany.

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    More about this item

    Keywords

    dynamic optimization; optimal control; dynamic programming; GAMS;
    All these keywords.

    JEL classification:

    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling

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