Title page for ETD etd-07092002-001920


Type of Document Master's Thesis
Author Mull, Benjamin Conaway
URN etd-07092002-001920
Title Multi-Objective Optimization: Riccati Iteration and the Lotfi Manufacturing Problem
Degree Master of Arts
Department Economics
Advisory Committee
Advisor Name Title
Waud, Roger N. Committee Chair
Lutton, Thomas J. Committee Member
Theroux, Richard Committee Member
Keywords
  • Riccati Iteration
  • Optimization
  • Simulation
  • Modeling
Date of Defense 2002-06-17
Availability unrestricted
Abstract
In current economic research, there are many problems that are difficult to solve

without powerful computers, unique software, or novel approaches. I wrote this thesis

because I believe that a powerful solution technique known as the Riccati Iteration is

such a novel approach, and can be applied to complex problems that would otherwise be

infeasible to solve. This thesis will demonstrate the power of the Riccati iteration by

employing the Riccati iteration with spreadsheet software to solve a difficult dynamic

optimization problem - a capital replacement problem posed by Lotfi where multiple

objectives have been identified. The Riccati iteration will be shown to be the most

practicable method for solving this problem, especially when compared to the Lagrange

and Least-Squares solution methods. It is hoped that the demonstration in this thesis is so

compelling that others may consider using the Riccati approach in their own research.

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