InfSOCSol2: an updated MATLAB package for approximating the solution to a continuous-time infinite horizon stochastic optimal control problem

Jeffrey Azzato and Jacek Krawczyk ()

MPRA Paper from University Library of Munich, Germany

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 [Kra01b]. Its routines implement a policy improvement algorithm to optimise a Markov decision chain approximating the original control problem, as described in [Kra01c].

Keywords: Computational techniques; Economic software; Computational methods in stochastic optimal control; Computational economics; Approximating Markov decision chains (search for similar items in EconPapers)
JEL-codes: C63 C87 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cmp
Date: 2008-04-22
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Persistent link: http://EconPapers.repec.org/RePEc:pra:mprapa:8374

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