We offer a unified numerical method to solve both impulse and barrier control problems in multidimensional state spaces. Our numerical approach is based on the link between optimal regime switching model and impulse and barrier control problems. This link results in a convenient representation of the optimality conditions for numerical solution methods. Using finite difference approximations for derivatives, the optimality conditions are transformed into an extended vertical linear complementarity problem which is solved using Newton type methods. The numerical approach is illustrated with several examples.
Suggested citation: Balikcioglu, M. and P. L. Fackler (2018). A Numerical Method for Multidimensional Impulse and Barrier Control Problems. (CEnREP Working Paper No. 18-020). Raleigh, NC: Center for Environmental and Resource Economic Policy.