InfsocSol3: An updated MATLAB® package for approximating the solution to a continuous-time infinite horizon stochastic optimal control problem

Jacek B Krawczyk and Alastair S Pharo

No 18832, Working Paper Series from Victoria University of Wellington, School of Economics and Finance

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 [1] and [2]. Its routines implement a policy improvement algorithm to optimise a Markov decision chain approximating the original control problem, as described in [3].

Keywords: Computational economics; Approximating Markov decision chains; MATLAB® (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:vuw:vuwecf:18832

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