SOCSol4L: an Improved MATLAB (R) 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 continuous-time stochastic optimal control problem using Markov chains was developed in [Kra01]. This paper describes a suite of MATLAB (R) routines implementing this method.