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. We prove that a correct numerical treatment of the state-current costate system needs Lawson exponential schemes for the costate approximation. In the numerical tests a shooting strategy is employed in order to verify the accuracy, up to the fourth order, of the innovative procedure we propose.

Autore Pugliese

• Marangi Carmela , Diele Fasma

Tutti gli autori

• Diele F.; Marangi C.; Ragni S.

Titolo volume/Rivista

Mathematics and computers in simulation

Anno di pubblicazione

2011

ISSN

0378-4754

ISBN

Non Disponibile

Numero di citazioni Wos

Nessuna citazione

Ultimo Aggiornamento Citazioni

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Numero di citazioni Scopus

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Ultimo Aggiornamento Citazioni

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Settori ERC

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Codici ASJC

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