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




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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-

Original Title: SOCSol4L An improved MATLAB package for approximating the solution to a continuous-time 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 > C8 - Data Collection and Data Estimation Methodology ; Computer Programs > C87 - Econometric SoftwareC - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C63 - Computational Techniques ; Simulation Modeling-





Author: Azzato, Jeffrey

Source: https://mpra.ub.uni-muenchen.de/1179/







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