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

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  • 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 3412, Victoria University of Wellington, School of Economics and Finance.
  • Handle: RePEc:vuw:vuwecf:3412
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    File URL: http://researcharchive.vuw.ac.nz/handle/10063/3412
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    References listed on IDEAS

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    1. Jacek B. Krawczyk, 2000. "A Markovian Approximated Solution To A Portfolio Management Problem," Computing in Economics and Finance 2000 233, Society for Computational Economics.
    2. 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.
    3. 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.
    4. 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.
    5. Azzato, Jeffrey D. & Krawczyk, Jacek, 2008. "InfSOCSol2: an updated MATLAB package for approximating the solution to a continuous-time infinite horizon stochastic optimal control problem," MPRA Paper 8374, University Library of Munich, Germany.
    6. 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.
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    Keywords

    Computational economics; Approximating Markov decision chains; MATLAB®;

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