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

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

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 [1]. 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
• 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

References

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Krawczyk J.B. & Windsor A., 1997, "An Approximated Solution to Continuous-Time Stochastic Optimal Control Problems Through Markov Decision Chains", Research Papers in Economics, [RePEc: wpa:wuwpco:9710001].

Krawczyk J.B., 2005, "Numerical Solutions to Lump-Sum Pension Fund Problems that Can Yield Left-Skewed Fund Return Distributions". In: C. Deissenberg and R.F. Hartl (eds.), Optimal Control and Dynamic Games, Springer, pp. 155-176.

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