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 [1]. 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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Year of publication:	1998
Authors:	Windsor, Alistair ; Krawczyk, Jacek B.
Publisher:	[S.l.] : SSRN
Subject:	Kontrolltheorie \| Control theory \| Stochastischer Prozess \| Stochastic process \| Mathematische Optimierung \| Mathematical programming \| Software \| Markov-Kette \| Markov chain

Extent:	1 Online-Ressource (14 p)
Type of publication:	Book / Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.73968 [DOI]
Classification:	C63 - Computational Techniques ; C87 - Econometric Software
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014064373