Solving Optimal Switching Models

CEnREP Working Paper No. 18-019
September 2018


Numerous control problems in economics can be characterized as optimal switching problems, including optimal stopping and entry/exit problems. With certain notable exceptions, solutions to such problems must be computed numerically. This paper discusses an approach to obtaining a numerical solution in a fairly general setting and describes a user-friendly MATLAB implementation that simplifies that process.

Suggested citation: Fackler, Paul L (2018). Solving Optimal Switching Models. (CEnREP Working Paper No. 18-019). Raleigh, NC: Center for Environmental and Resource Economic Policy.

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