Elements of Numerical Mathematical Economics with Excel

10.4. Bang-bang control problems

In the previous Section 10.3 we have examined examples where the Hamiltonian function is nonlinear in the control variable u(t). However, as we have seen in Section 10.2, a second important class of OC problems is encountered when the Hamiltonian function is linear in the control variable u(t), which is usually subject to a constraint, such as to belong to the set U = [ 0,1 ] .

Figure 10.3-12 Example 4: Solver parameters setting λ(T)   =   0.

 

Table 10.3-6

Example 4: Excel numerical solution ...