InfsocSol3: An updated MATLAB® package for approximating the solution to a continuous-time infinite horizon stochastic optimal control problem
| dc.contributor.author | Krawczyk, Jacek B | |
| dc.contributor.author | Pharo, Alastair S | |
| dc.date.accessioned | 2014-06-12T02:13:58Z | |
| dc.date.accessioned | 2022-07-06T22:22:27Z | |
| dc.date.available | 2014-06-12T02:13:58Z | |
| dc.date.available | 2022-07-06T22:22:27Z | |
| dc.date.copyright | 2014 | |
| dc.date.issued | 2014 | |
| dc.description.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]. | en_NZ |
| dc.format | en_NZ | |
| dc.identifier.uri | https://ir.wgtn.ac.nz/handle/123456789/18832 | |
| dc.language.iso | en_NZ | |
| dc.publisher | Te Herenga Waka—Victoria University of Wellington | en_NZ |
| dc.relation.ispartofseries | SEF Working paper ; 06/2014 | en_NZ |
| dc.rights.rightsholder | www.victoria.ac.nz/sef/research/sef.working-papers | en_NZ |
| dc.subject | Computational economics, | en_NZ |
| dc.subject | Approximating Markov decision chains | en_NZ |
| dc.subject | MATLAB® | en_NZ |
| dc.title | InfsocSol3: An updated MATLAB® package for approximating the solution to a continuous-time infinite horizon stochastic optimal control problem | en_NZ |
| dc.type | Text | en_NZ |
| vuwschema.contributor.unit | School of Economics and Finance | en_NZ |
| vuwschema.subject.anzsrcfor | 149999 Economics not elsewhere classified | en_NZ |
| vuwschema.subject.anzsrcforV2 | 389999 Other economics not elsewhere classified | en_NZ |
| vuwschema.type.vuw | Working or Occasional Paper | en_NZ |
