InfSOCSol2 An updated MATLAB Package for Approximating the Solution to a Continuous-Time Infinite Horizon Stochastic Optimal Control Problem with Control and State Constraints

Jeffrey Azzato and Jacek Krawczyk ()

MPRA Paper from University Library of Munich, Germany

Abstract: This paper is a successor of [AK08]. Both papers describe the same suite of MATLAB R° routines devised to provide an approximately optimal solution to an infinite horizon stochastic optimal control problem. The difference is that this paper explains how to allow for state and control constraints. The suite routines implement a policy improvement algorithm to optimise a Markov decision chain approximating the original control problem, as described in [Kra01c] and [Kra01b].

Keywords: Computational economics; Financial engineering; Approximating Markov decision chains (search for similar items in EconPapers)
JEL-codes: C63 C88 G23 (search for similar items in EconPapers)
Date: 2009-08-31
New Economics Papers: this item is included in nep-cmp, nep-dge and nep-ore
References: View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:17027

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