InfSOCSol2 An updated MATLAB Package for Approximating the Solution to a Continuous-Time Infinite Horizon Stochastic Optimal Control Problem with Control and State Constraints
AbstractThis paper is a successor of [AK08]. Both papers describe the same suite of MATLAB R° routines devised to provide an approximately optimal solution to an infinite horizon stochastic optimal control problem. The difference is that this paper explains how to allow for state and control constraints. The suite routines implement a policy improvement algorithm to optimise a Markov decision chain approximating the original control problem, as described in [Kra01c] and [Kra01b].
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 17027.
Date of creation: 31 Aug 2009
Date of revision:
Computational economics; Financial engineering; Approximating Markov decision chains;
Find related papers by JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- C88 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Other Computer Software
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-09-05 (All new papers)
- NEP-CMP-2009-09-05 (Computational Economics)
- NEP-DGE-2009-09-05 (Dynamic General Equilibrium)
- NEP-ORE-2009-09-05 (Operations Research)
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- Krawczyk, Jacek B & Pharo, Alastair S, 2014. "InfsocSol3: An updated MATLAB® package for approximating the solution to a continuous-time infinite horizon stochastic optimal control problem," Working Paper Series, Victoria University of Wellington, School of Economics and Finance 3412, Victoria University of Wellington, School of Economics and Finance.
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