An Approximated Solution to Continuous-Time Stochastic Optimal Control Problems Through Markov Decision Chains

Strategies for constructing a Markov decision chain approximating a continuous-time finite-horizon optimal control problem are investigated. Some simple, analytically soluble, examples are treated and low computational complexity is reported. Extensions to the method and implementation are discussed. In particular, relevance of the approximated solution to a stochastic renewable resource valuation problem is examined.

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Year of publication:	1997-10-01
Authors:	Krawczyk, Jacek B. ; Windsor, Alistair
Institutions:	EconWPA
Subject:	Approximating Markov decision chains \| simple noise discretisation. Natural resource valuation

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Extent:	application/postscript application/pdf application/zip
Series:	Computational Economics.
Type of publication:	Book / Working Paper
Notes:	Type of Document - LaTeX; prepared on UNIX; to print on PostScript; pages: 38 ; figures: included 38 pages
Classification:	C8 - Data Collection and Data Estimation Methodology; Computer Programs ; C63 - Computational Techniques ; D92 - Intertemporal Firm Choice and Growth, Investment, or Financing ; Q25 - Water
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005561502