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SOCSol4L: An improved MATLAB package for approximating the solution to a continuous-time stochastic optimal control problem

Azzato, Jeffrey D. and Krawczyk, Jacek B. (2006): SOCSol4L: An improved MATLAB package for approximating the solution to a continuous-time stochastic optimal control problem.

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Abstract

Computing the solution to a stochastic optimal control problem is difficult. A method of approximating a solution to a given stochastic optimal control problem using Markov chains was developed in [Kra01]. This paper describes a suite of MATLAB functions implementing this method of approximating a solution to a given continuous stochastic optimal control problem.

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