Infinite-Horizon Optimal Control with Applications in Growth Theory (Lecture Notes)
Authors: Aseev SM
Publication Year: 2009
Reference: MSU CMC Publications Department, MAKS Press, Moscow, Russia
[ISBN 978-5-317-02862-6] Available at agora.guru.ru/EGMD_2009/files/Aseev-EGMD2009.pdf
Abstract
These lecture notes provide an introduction to the optimal control theory with a focus on recent achievements in the area of infinite-horizon optimal control. In particular, they present the recently developed "finite-horizon approximation" approach to deriving a modified maximum principle targeted specifically to infinite-horizon optimal control problems. The neoclassical optimal economic growth model with the logarithmic instantaneous utility function is considered as an illustrating example.