A Matlab Package for Approximating the Solution to a Continuous- Time Stochastic Optimal Control Problem

Alistair Windsor and Jacek Krawczyk ()
Additional contact information
Alistair Windsor: Victoria University of Wellington

Computational Economics from EconWPA

Abstract: Computing the solution to a stochastic optimal control problem is difficult. A method of approximating a solution to a given stochatic optimal problem was developed in [1]. This paper describes a suite of Matlab functions implementing this method of approximating a solution to a given continuous stochastic optimal control problem.

Keywords: s Approximating Markov decision chains; economic software (search for similar items in EconPapers)
JEL-codes: C63 C87 (search for similar items in EconPapers)
Date: 1997-10-01
Note: Type of Document - LaTeX; prepared on UNIX; to print on PostScript; pages: 14 ; figures: none
View citations in EconPapers

Downloads: (external link)
http://129.3.20.41/eps/comp/papers/9710/9710002.tex (application/x-tex)
http://129.3.20.41/eps/comp/papers/9710/9710002.pdf (application/pdf)
http://129.3.20.41/eps/comp/papers/9710/9710002.ps.gz (application/postscript)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpco:9710002

Access Statistics for this paper

More papers in Computational Economics from EconWPA
Series data maintained by EconWPA ().