Optimal control and the Fibonacci sequence
Journal article, Peer reviewed
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OriginalversjonBrasch, T. von, Byström, J. & Lystad, L.P. Journal of Optimization Theory and Application (2012) 154: 857. https://doi.org/10.1007/s10957-012-0061-2 https://doi.org/10.1007/s10957-012-0061-2
We bridge mathematical number theory with optimal control and show that a generalised Fibonacci sequence enters the control function of finite-horizon dynamic optimisation problems with one state and one control variable. In particular, we show that the recursive expression describing the first-order approximation of the control function can be written in terms of a generalised Fibonacci sequence when restricting the final state to equal the steady-state of the system. Further, by deriving the solution to this sequence, we are able to write the first-order approximation of optimal control explicitly. Our procedure is illustrated in an example often referred to as the Brock–Mirman economic growth model.