InfsocSol3: An updated MATLAB® package for approximating the solution to a continuous-time infinite horizon stochastic optimal control problem

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 [1] and [2]. Its routines implement a policy improvement algorithm to optimise a Markov decision chain approximating the original control problem, as described in [3].

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Year of publication:	2014
Authors:	Krawczyk, Jacek B ; Pharo, Alastair S
Institutions:	School of Economics and Finance, Victoria Business School
Subject:	Computational economics \| Approximating Markov decision chains \| MATLAB®

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Series:	Working Paper Series.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series 06/2014 Number 3412
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011031823