InfSOCSol2: an Updated MATLAB (R) Package For Approximating the Solution to a Continuous-Time Infinite Horizon Stochastic Optimal Control Problem
Loading...
Date
2008
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Te Herenga Waka—Victoria University of Wellington
Abstract
This paper describes a suite of MATLAB (R) 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]
Description
Keywords
Computational methods, Approximating Markov decision chains, Economic software, Computational economics, Stochastic optimal control, Computational techniques