Azzato, Jeffrey D. and Krawczyk, Jacek (2008): InfSOCSol2: an updated MATLAB package for approximating the solution to a continuoustime infinite horizon stochastic optimal control problem.

PDF
MPRA_paper_8374.pdf Download (273kB)  Preview 
Abstract
This paper describes a suite of MATLAB routines devised to provide an approximately optimal solution to an infinitehorizon stochastic optimal control problem. The suite is an updated version of that described in [Kra01b]. Its routines implement a policy improvement algorithm to optimise a Markov decision chain approximating the original control problem, as described in [Kra01c].
Item Type:  MPRA Paper 

Original Title:  InfSOCSol2: an updated MATLAB package for approximating the solution to a continuoustime infinite horizon 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 > C6  Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C63  Computational Techniques ; Simulation Modeling C  Mathematical and Quantitative Methods > C8  Data Collection and Data Estimation Methodology ; Computer Programs > C87  Econometric Software 
Item ID:  8374 
Depositing User:  Jeffrey Azzato 
Date Deposited:  23 Apr 2008 06:34 
Last Modified:  28 Sep 2019 04:32 
References:  [AK06] Jeffrey D. Azzato and Jacek B. Krawczyk. SOCSol4L: An improved MATLAB package for approximating the solution to a continuoustime stochastic optimal control problem. Working paper, School of Economics and Finance, Victoria University of Wellington, 2006. Available at http://mpra.ub.unimuenchen.de/1179/ on 22/04/2008. [Kra01a] 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. [Kra01b] Jacek B. Krawczyk. SOCSOLII: A MATLAB package for approximating the solution to a continuoustime infinite horizon stochastic optimal control problem. Working paper, School of Economics and Finance, Victoria University of Wellington, 2001. [Kra01c] Jacek B. Krawczyk. Using a simple markovian approximation for the solution to continuoustime infinitehorizon stochastic optimal control problems. Working paper, School of Economics and Finance, Victoria University of Wellington, 2001. 
URI:  https://mpra.ub.unimuenchen.de/id/eprint/8374 