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