SOCSol4L: an Improved MATLAB (R) Package For Approximating the Solution to a Continuous-Time Stochastic Optimal Control Problem
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Date
2006
Authors
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Publisher
Te Herenga Waka—Victoria University of Wellington
Abstract
Computing the solution to a stochastic optimal control problem is difficult. A method of approximating a solution to a given continuous-time stochastic optimal control problem using Markov chains was developed in [Kra01]. This paper describes a suite of MATLAB (R) routines implementing this method.
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Keywords
Computational economics, Computational methods, Computational techniques, Approximating Markov decision chains, Economic software, Stochastic optimal control