A quick course in numerical methods for optimal control

A quick course in numerical methods for optimal control

Pre-Conference Short course - 30th Annual Conference of the European Association of Environmental and Resource Economists

Date: June 16, 2025
Location: Norwegian School of Economics - NHH, Bergen (Norway)

Instructor: Professor Eric Nævdal, HVL Business School, Western Norway University of Applied Sciences.

Course content: Numerical optimal control is by many thought to be challenging. The saddle point property of steady states raises can make it hard to calculate optimal trajectories. However, one can apply simple numerical recipes that bypass this problem and calculate quite complicated feedback trajectories. The course will cover the following topics:

• Deterministic optimal control with infinite time horizon.
  • Standard problems with concave Hamiltonians.
  • Problems with Skiba points and multiple equilibria.
  • Open loop differential games.
• Problems with exogenous catastrophic risk.
  • Risk of a single catastrophe.
  • An infinite sequence of catastrophic shocks.

If time permits we will also quickly cover problems with finite time horizons.

Target Audience: This short course is aimed at any researcher interested in quickly gaining a basic understanding of numerical solutions to simple optimal control problems. It is expected that most of the participants will be graduate students and recent graduates that are somewhat familiar with optimal control theory and its use in resource economics through regular course work. Such courses rarely incorporate numerical methods. As most optimal control problems can only be solved numerically this short course should be a valuable addition to the standard curriculum in resource economics.

Prerequisites: A basic understanding of deterministic optimal control and phase portraits for problems with a single state variable.

Time: The course will be given as lectures lasting a total of 4 hours starting at 9 AM and ending at 1 PM.

Registration: Please indicate your attendance by sending an e-mail to eric.naevdal@hvl.com no later than May 1^st.

This event is organised with the support of EAERE.