SOCSol4L: an Improved MATLAB (R) Package For Approximating the Solution to a Continuous-Time Stochastic Optimal Control Problem

Azzato, Jeffrey D; Krawczyk, Jacek B

dc.contributor.author	Azzato, Jeffrey D
dc.contributor.author	Krawczyk, Jacek B
dc.date.accessioned	2008-08-24T21:57:23Z
dc.date.accessioned	2022-07-06T22:39:38Z
dc.date.available	2008-08-24T21:57:23Z
dc.date.available	2022-07-06T22:39:38Z
dc.date.copyright	2006
dc.date.issued	2006
dc.identifier.uri	https://ir.wgtn.ac.nz/handle/123456789/18998
dc.description.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.	en_NZ
dc.format	pdf	en_NZ
dc.language.iso	en_NZ
dc.publisher	Te Herenga Waka—Victoria University of Wellington	en_NZ
dc.relation.ispartofseries	Working Paper	en_NZ
dc.subject	Computational economics	en_NZ
dc.subject	Computational methods	en_NZ
dc.subject	Computational techniques	en_NZ
dc.subject	Approximating Markov decision chains	en_NZ
dc.subject	Economic software	en_NZ
dc.subject	Stochastic optimal control	en_NZ
dc.title	SOCSol4L: an Improved MATLAB (R) Package For Approximating the Solution to a Continuous-Time Stochastic Optimal Control Problem	en_NZ
dc.type	Text	en_NZ
vuwschema.contributor.unit	School of Economics and Finance	en_NZ
vuwschema.subject.anzsrcfor	149999 Economics not elsewhere classified	en_NZ
vuwschema.subject.marsden	280406 Mathematical Software	en_NZ
vuwschema.subject.marsden	230119 Systems Theory and Control	en_NZ
vuwschema.subject.marsden	340299 Applied Economics n.e.c.	en_NZ
vuwschema.subject.marsden	340402 Econometric and Statistical Methods	en_NZ
vuwschema.subject.marsden	230118 Optimisation	en_NZ
vuwschema.type.vuw	Working or Occasional Paper	en_NZ
vuwschema.subject.anzsrcforV2	389999 Other economics not elsewhere classified	en_NZ