Elements of Numerical Mathematical Economics with Excel

11.7. Discrete Dynamic Programming, Optimal Control theory, and Calculus of Variations: a synthesis

This last paragraph of DDP attempts to highlight the similarities and relations among the three dynamic optimization techniques.

First, it is important to stress that the CoV, OC theory, and DDP are essentially alternative ways to solve a dynamic optimization problem. The DDP problem is a discrete-stages approach in its mathematical nature, while the other two are continuous-time-based techniques.

Figure 11.6-7 Example 3: Discrete Dynamic Programming optimal investment path.

Figure 11.6-8 Example 3: Discrete Dynamic Programming ...