Chow's method of optimal control

Michael Reiter

doi:10.1016/s0165-1889(97)00004-3

Chow's method of optimal control

Michael Reiter

Economics

Research output: Contribution to journal › Article › peer-review

Abstract

The note investigates the numerical properties of the method proposed by Chow (1993) to solve stochastic dynamic optimization problems. The results are compared to the standard method of linear quadratic approximation. The properties of these approximation schemes under heteroskedastic noise are examined.

Original language	English (US)
Pages (from-to)	723-737
Number of pages	15
Journal	Journal of Economic Dynamics and Control
Volume	21
Issue number	4-5
DOIs	https://doi.org/10.1016/s0165-1889(97)00004-3
State	Published - May 1997

Keywords

Dynamic programming
Growth model
Linear quadratic approximations

ASJC Scopus subject areas

Economics and Econometrics
Control and Optimization
Applied Mathematics

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10.1016/s0165-1889(97)00004-3

Cite this

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title = "Chow's method of optimal control",

abstract = "The note investigates the numerical properties of the method proposed by Chow (1993) to solve stochastic dynamic optimization problems. The results are compared to the standard method of linear quadratic approximation. The properties of these approximation schemes under heteroskedastic noise are examined.",

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author = "Michael Reiter",

year = "1997",

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AB - The note investigates the numerical properties of the method proposed by Chow (1993) to solve stochastic dynamic optimization problems. The results are compared to the standard method of linear quadratic approximation. The properties of these approximation schemes under heteroskedastic noise are examined.

KW - Dynamic programming

KW - Growth model

KW - Linear quadratic approximations

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JO - Journal of Economic Dynamics and Control

JF - Journal of Economic Dynamics and Control

IS - 4-5

ER -

Chow's method of optimal control

Abstract

Keywords

ASJC Scopus subject areas

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