IDEAS home Printed from https://ideas.repec.org/p/vuw/vuwecf/18832.html

InfsocSol3: An updated MATLAB® package for approximating the solution to a continuous-time infinite horizon stochastic optimal control problem

Author

Listed:
  • Krawczyk, Jacek B
  • Pharo, Alastair S

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 [1] and [2]. Its routines implement a policy improvement algorithm to optimise a Markov decision chain approximating the original control problem, as described in [3].

Suggested Citation

  • 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 18832, Victoria University of Wellington, School of Economics and Finance.
    • Handle: RePEc:vuw:vuwecf:18832
    as

    Download full text from publisher

    File URL: https://ir.wgtn.ac.nz/handle/123456789/18832
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. 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.
    2. Jacek Krawczyk & Alastair Pharo & Oana Serea & Stewart Sinclair, 2013. "Computation of viability kernels: a case study of by-catch fisheries," Computational Management Science, Springer, vol. 10(4), pages 365-396, December.
    3. Bene, C. & Doyen, L. & Gabay, D., 2001. "A viability analysis for a bio-economic model," Ecological Economics, Elsevier, vol. 36(3), pages 385-396, March.
    4. Azzato, Jeffrey D. & Krawczyk, Jacek B., 2009. "InfSOCSol2 An updated MATLAB Package for Approximating the Solution to a Continuous-Time Infinite Horizon Stochastic Optimal Control Problem with Control and State Constraints," MPRA Paper 17027, University Library of Munich, Germany.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    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 3412, Victoria University of Wellington, School of Economics and Finance.
    2. Antoine Brias & Jean-Denis Mathias & Guillaume Deffuant, 2016. "Accelerating viability kernel computation with CUDA architecture: application to bycatch fishery management," Computational Management Science, Springer, vol. 13(3), pages 371-391, July.
    3. Jacek B. Krawczyk & Vladimir P. Petkov, 2022. "A Qualitative Game of Interest Rate Adjustments with a Nuisance Agent," Games, MDPI, vol. 13(5), pages 1-24, August.
    4. Krawczyk, Jacek B & Townsend, Wilbur, 2015. "Viability of an economy with constrained inequality," Working Paper Series 19335, Victoria University of Wellington, School of Economics and Finance.
    5. Schuhbauer, Anna & Sumaila, U. Rashid, 2016. "Economic viability and small-scale fisheries — A review," Ecological Economics, Elsevier, vol. 124(C), pages 69-75.
    6. Krawczyk, Jacek B & Townsend, Wilbur, 2015. "Viability of an economy with constrained inequality," Working Paper Series 4689, Victoria University of Wellington, School of Economics and Finance.
    7. Doyen, L. & Armstrong, C. & Baumgärtner, S. & Béné, C. & Blanchard, F. & Cissé, A.A. & Cooper, R. & Dutra, L.X.C. & Eide, A. & Freitas, D. & Gourguet, S. & Gusmao, F. & Hardy, P.-Y. & Jarre, A. & Litt, 2019. "From no whinge scenarios to viability tree," Ecological Economics, Elsevier, vol. 163(C), pages 183-188.
    8. Esther Regnier & Michel de Lara, 2014. "Robust Viable Analysis of an Ecosystem Model," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00786409, HAL.
    9. V.Martinet & L. Doyen, 2003. "Sustainable management of an exhaustible resource:a viable control model," Thema Working Papers 2003-36, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS.
    10. 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.
    11. 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.
    12. Cuilleret, Mathieu & Doyen, Luc & Gomes, Hélène & Blanchard, Fabian, 2022. "Resilience management for coastal fisheries facing with global changes and uncertainties," Economic Analysis and Policy, Elsevier, vol. 74(C), pages 634-656.
    13. Devesh Kumar & Gunjan Soni & Rohit Joshi & Vipul Jain & Amrik Sohal, 2022. "Modelling supply chain viability during COVID-19 disruption: A case of an Indian automobile manufacturing supply chain," Operations Management Research, Springer, vol. 15(3), pages 1224-1240, December.
    14. Groot, Jeroen C.J. & Rossing, Walter a.H. & Tichit, Muriel & Turpin, Nadine & Jellema, André & Baudry, Jacques & Verburg, Peter & Doyen, Luc & van de Ven, Gerrie, 2009. "On the contribution of modelling to multifunctional agriculture: learning from comparisons," MPRA Paper 65467, University Library of Munich, Germany.
    15. Krawczyk, Jacek B & Pharo, Alastair & Simpson, Mark, 2011. "Approximations to viability kernels for sustainable macroeconomic policies," Working Paper Series 1531, Victoria University of Wellington, School of Economics and Finance.
    16. Helene Gomes & Luc Doyen & Fabian Blanchard & Adrien Lagarde, 2021. "Viable and ecosystem-based management for tropical small-scale fisheries facing climate change," Bordeaux Economics Working Papers 2021-24, Bordeaux School of Economics (BSE).
    17. Anita King, 2018. "Living Standards Analysis Model: The First Prototype," Treasury Working Paper Series 18/05, New Zealand Treasury.
    18. Martinet, Vincent & Blanchard, Fabian, 2009. "Fishery externalities and biodiversity: Trade-offs between the viability of shrimp trawling and the conservation of Frigatebirds in French Guiana," Ecological Economics, Elsevier, vol. 68(12), pages 2960-2968, October.
    19. Huck, Petra & Salhofer, Klaus, 2006. "Teaching sustainable resource management in uncertain environment," 2006 Annual meeting, July 23-26, Long Beach, CA 21451, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    20. L. Doyen & A. Cissé & S. Gourguet & L. Mouysset & P.-Y. Hardy & C. Béné & F. Blanchard & F. Jiguet & J.-C. Pereau & O. Thébaud, 2013. "Ecological-economic modelling for the sustainable management of biodiversity," Computational Management Science, Springer, vol. 10(4), pages 353-364, December.

    More about this item

    Keywords

    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:vuw:vuwecf:18832. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Library Technology Services (email available below). General contact details of provider: https://edirc.repec.org/data/egvuwnz.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.