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.

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
• 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

[AK06] Jeffrey D. Azzato and Jacek B. Krawczyk. SOCSol4: A MATLAB package for approximating the solution to a continuous-time 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 lump-sum pension problems that can yield left-skewed 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 continuous-time 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. High-Performance Numeric Computation and Visualization Software, 1992.