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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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Author Info

  • Azzato, Jeffrey D.
  • Krawczyk, Jacek B.

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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File URL: http://mpra.ub.uni-muenchen.de/17027/
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Bibliographic Info

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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Keywords: Computational economics; Financial engineering; Approximating Markov decision chains;

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Cited by:
  1. 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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