A 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 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.
|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|
|Contact details of provider:|| Web page: http://126.96.36.199|
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