Logo
Munich Personal RePEc Archive

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.

Warning
There is a more recent version of this item available.
[thumbnail of MPRA_paper_8946.pdf]
Preview
PDF
MPRA_paper_8946.pdf

Download (218kB) | Preview

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.

Available Versions of this Item

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.