InfSOCSol2: an updated MATLAB package for approximating the solution to a continuous-time infinite horizon stochastic optimal control problem

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

Abstract

This paper describes a suite of MATLAB routines devised to provide an approximately optimal solution to an infinite-horizon 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
• 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

References

[AK06] Jeffrey D. Azzato and Jacek B. Krawczyk. SOCSol4L: An improved MATLAB package for approximating the solution to a continuous-time stochastic optimal control problem. Working paper, School of Economics and Finance, Victoria University of Wellington, 2006. Available at http://mpra.ub.uni-muenchen.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. SOCSOL-II: A MATLAB package for approximating the solution to a continuous-time 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 continuous-time infinite-horizon stochastic optimal control problems. Working paper, School of Economics and Finance, Victoria University of Wellington, 2001.