InfSOCSol2 An updated MATLAB Package for Approximating the Solution to a Continuous-Time Infinite Horizon Stochastic Optimal Control Problem with Control and State Constraints

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InfSOCSol2 An updated MATLAB Package for Approximating the Solution to a Continuous-Time Infinite Horizon Stochastic Optimal Control Problem with Control and State Constraints

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Azzato, Jeffrey D.
Krawczyk, Jacek B.

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Abstract

This 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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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 17027.

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Date of creation: 31 Aug 2009
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Handle: RePEc:pra:mprapa:17027

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Find related papers by JEL classification:
C63 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - 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 - - - Pension Funds; Other Private Financial Institutions

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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This page was last updated on 2009-11-29.

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