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Browsing School of Economics and Finance · Te Kura Ohaoha Pūtea: Working Paper Series by Subject "MATLAB®"

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

Krawczyk, Jacek B; Pharo, Alastair S (2014)

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 ...