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InfSOCSol2: an Updated MATLAB (R) Package For Approximating the Solution to a Continuous-Time Infinite Horizon Stochastic Optimal Control Problem

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dc.contributor.authorAzzato, Jeffrey
dc.contributor.authorKrawczyk, Jacek B
dc.date.accessioned2008-08-24T21:20:54Z
dc.date.accessioned2022-07-06T22:36:17Z
dc.date.available2008-08-24T21:20:54Z
dc.date.available2022-07-06T22:36:17Z
dc.date.copyright2008
dc.date.issued2008
dc.description.abstractThis 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]en_NZ
dc.formatpdfen_NZ
dc.identifier.urihttps://ir.wgtn.ac.nz/handle/123456789/18965
dc.language.isoen_NZ
dc.publisherTe Herenga Waka—Victoria University of Wellingtonen_NZ
dc.relation.ispartofseriesWorking Paperen_NZ
dc.subjectComputational methodsen_NZ
dc.subjectApproximating Markov decision chainsen_NZ
dc.subjectEconomic softwareen_NZ
dc.subjectComputational economicsen_NZ
dc.subjectStochastic optimal controlen_NZ
dc.subjectComputational techniquesen_NZ
dc.titleInfSOCSol2: an Updated MATLAB (R) Package For Approximating the Solution to a Continuous-Time Infinite Horizon Stochastic Optimal Control Problemen_NZ
dc.typeTexten_NZ
vuwschema.contributor.unitSchool of Economics and Financeen_NZ
vuwschema.subject.anzsrcfor149999 Economics not elsewhere classifieden_NZ
vuwschema.subject.anzsrcforV2389999 Other economics not elsewhere classifieden_NZ
vuwschema.subject.marsden280406 Mathematical Softwareen_NZ
vuwschema.subject.marsden230119 Systems Theory and Controlen_NZ
vuwschema.subject.marsden340299 Applied Economics n.e.c.en_NZ
vuwschema.subject.marsden340402 Econometric and Statistical Methodsen_NZ
vuwschema.subject.marsden230118 Optimisationen_NZ
vuwschema.type.vuwWorking or Occasional Paperen_NZ

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