Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
6963455 | Environmental Modelling & Software | 2015 | 8 Pages |
Abstract
We develop a stochastic optimal control framework to address an important class of economic problems where there are discontinuities and a decision maker is able to undertake impulse controls in response to unexpected disturbances. Our contribution is two fold: (1) to develop a linear programming algorithm that produces a consistent approximation of the maximum value and optimal policy functions in the context of stochastic impulse controls; and (2) to illustrate the economic benefits of impulse controls optimized, using our framework, and calibrated to the population dynamics of a marine fishery. We contend that the framework has wide applicability and offers the possibility of higher economic pay-off for a wide-range of policy problems in the presence of discontinuities and adverse shocks.
Related Topics
Physical Sciences and Engineering
Computer Science
Software
Authors
Long Chu, Tom Kompas, Quentin Grafton,