InfSOCSol2: an Updated MATLAB (R) Package For Approximating the Solution to a Continuous-Time Infinite Horizon Stochastic Optimal Control Problem

Abstract

This paper describes a suite of MATLAB (R) 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]