Azzato, Jeffrey D. and Krawczyk, Jacek B. (2006): SOCSol4L: An improved MATLAB package for approximating the solution to a continuoustime 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.
Item Type:  MPRA Paper 

Institution:  Victoria University of Wellington 
Original Title:  SOCSol4L: An improved MATLAB package for approximating the solution to a continuoustime stochastic optimal control problem 
Language:  English 
Keywords:  Computational techniques; Economic software; Computational methods in stochastic optimal control; Computational economics; Approximating Markov decision chains 
Subjects:  C  Mathematical and Quantitative Methods > C8  Data Collection and Data Estimation Methodology; Computer Programs > C87  Econometric Software C  Mathematical and Quantitative Methods > C6  Mathematical Methods; Programming Models; Mathematical and Simulation Modeling > C63  Computational Techniques; Simulation Modeling 
Item ID:  8946 
Depositing User:  Jeffrey Azzato 
Date Deposited:  04. Jun 2008 14:07 
Last Modified:  20. Feb 2013 04:50 
References:  [AK06] Jeffrey D. Azzato and Jacek B. Krawczyk. SOCSol4: A MATLAB package for approximating the solution to a continuoustime stochastic optimal control problem. Working paper, School of Ecnomics and Finance, Victoria University of Wellington, Aug 2006. [Kra01] Jacek B. Krawczyk. A Markovian approximated solution to a portfolio management problem. ITEM., 1(1), 2001. Available at: http://www.item.woiz.polsl.pl/issue/journal1.htm on 22/04/2008. [Kra05] J. B. Krawczyk. Numerical solutions to lumpsum pension problems that can yield leftskewed fund return distributions. In Christophe Deissenburg and Richard F. Hartl, editors, Optimal Control and Dynamic Games, number 7 in Advances in Computational Management Science, chapter 10, pages 155–176. Springer, New York, 2005. [KW97] Jacek B. Krawczyk and Alistor Windsor. An approximated solution to continuoustime stochastic optimal control problems through Markov decision chains. Technical Report 9dbis, School of Economics and Finance, Victoria University of Wellington, 1997. Available at: http://ideas.repec.org/p/wpa/wuwpco/9710001.html on 19/04/2008. [Mat92] The MathWorks Inc. MATLAB. HighPerformance Numeric Computation and Visualization Software, 1992. 
URI:  http://mpra.ub.unimuenchen.de/id/eprint/8946 
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SOCSol4L An improved MATLAB package for approximating the solution to a continuoustime stochastic optimal control problem. (deposited 15. Dec 2006)
 SOCSol4L: An improved MATLAB package for approximating the solution to a continuoustime stochastic optimal control problem. (deposited 04. Jun 2008 14:07) [Currently Displayed]