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SOCSol4L An improved MATLAB package for approximating the solution to a continuous-time stochastic optimal control problem

Author

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  • Azzato, Jeffrey
  • Krawczyk, Jacek

Abstract

Computing the solution to a stochastic optimal control problem is difficult. A method of approximating a solution to a given stochastic optimal control problem using Markov chains was developed in [1]. This paper describes a suite of MATLAB functions implementing this method of approximating a solution to a given continuous stochastic optimal control problem.

Suggested Citation

  • Azzato, Jeffrey & Krawczyk, Jacek, 2006. "SOCSol4L An improved MATLAB package for approximating the solution to a continuous-time stochastic optimal control problem," MPRA Paper 1179, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:1179
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    References listed on IDEAS

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    1. Jacek B. Krawczyk & Alistair Windsor, 1997. "An Approximated Solution to Continuous-Time Stochastic Optimal Control Problems Through Markov Decision Chains," Computational Economics 9710001, EconWPA.
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    Cited by:

    1. Foster, Jarred, 2011. "Target variation in a loss avoiding pension fund problem," MPRA Paper 36177, University Library of Munich, Germany.
    2. 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 3412, Victoria University of Wellington, School of Economics and Finance.
    3. 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.
    4. Azzato, Jeffrey D. & Krawczyk, Jacek, 2007. "Using a finite horizon numerical optimisation method for a periodic optimal control problem," MPRA Paper 2298, University Library of Munich, Germany.
    5. Foster, Jarred & Krawczyk, Jacek B, 2013. "Sensitivity of cautious-relaxed investment policies to target variation," Working Paper Series 2972, Victoria University of Wellington, School of Economics and Finance.

    More about this item

    Keywords

    Computational techniques; Economic software; Computational methods in stochastic optimal control; Computational economics; Approximating Markov decision chains;

    JEL classification:

    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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