InfSOCSol2: an updated MATLAB package for approximating the solution to a continuous-time infinite horizon stochastic optimal control problem

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 [Kra01b]. Its routines implement a policy improvement algorithm to optimise a Markov decision chain approximating the original control problem, as described in [Kra01c].

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Year of publication:	2008-04-22
Authors:	Azzato, Jeffrey D. ; Krawczyk, Jacek
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Computational techniques \| Economic software \| Computational methods in stochastic optimal control \| Computational economics \| Approximating Markov decision chains

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C63 - Computational Techniques ; C87 - Econometric Software
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005789701