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InfSOCSol2: an updated MATLAB package for approximating the solution to a continuous-time infinite horizon stochastic optimal control problem

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Author Info
Azzato, Jeffrey D.
Krawczyk, Jacek

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Abstract

This paper describes a suite of MATLAB routines devised to provide an approximately optimal solution to an infinite-horizon stochastic optimal control problem. The suite is an updated version of that described in [Kra01b]. Its routines implement a policy improvement algorithm to optimise a Markov decision chain approximating the original control problem, as described in [Kra01c].

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File URL: http://mpra.ub.uni-muenchen.de/8374/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 8374.

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Date of creation: 22 Apr 2008
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Handle: RePEc:pra:mprapa:8374

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Related research
Keywords: Computational techniques; Economic software; Computational methods in stochastic optimal control; Computational economics; Approximating Markov decision chains;

Find related papers by JEL classification:
C63 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Computational Techniques
C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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