A Matlab Package for Approximating the Solution to a Continuous- Time Stochastic Optimal Control Problem
AbstractComputing the solution to a stochastic optimal control problem is difficult. A method of approximating a solution to a given stochatic optimal problem was developed in . This paper describes a suite of Matlab functions implementing this method of approximating a solution to a given continuous stochastic optimal control problem.
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Bibliographic InfoPaper provided by EconWPA in its series Computational Economics with number 9710002.
Length: 14 pages
Date of creation: 01 Oct 1997
Date of revision:
Note: Type of Document - LaTeX; prepared on UNIX; to print on PostScript; pages: 14 ; figures: none
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s Approximating Markov decision chains; economic software;
Find related papers by JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
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- Jacek B. Krawczyk, 2000. "A Markovian Approximated Solution To A Portfolio Management Problem," Computing in Economics and Finance 2000 233, Society for Computational Economics.
- Foster, Jarred, 2011. "Target variation in a loss avoiding pension fund problem," MPRA Paper 36177, University Library of Munich, Germany.
- Krawczyk, Jacek & Azzato, Jeffrey, 2006. "NISOCSol an algorithm for approximating Markovian equilibria in dynamic games with coupled-constraints," MPRA Paper 1195, University Library of Munich, Germany.
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