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

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dc.contributor.author	Krawczyk, Jacek B
dc.contributor.author	Pharo, Alastair S
dc.date.accessioned	2014-06-12T02:13:58Z
dc.date.accessioned	2022-07-06T22:22:27Z
dc.date.available	2014-06-12T02:13:58Z
dc.date.available	2022-07-06T22:22:27Z
dc.date.copyright	2014
dc.date.issued	2014
dc.identifier.uri	https://ir.wgtn.ac.nz/handle/123456789/18832
dc.description.abstract	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].	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	SEF Working paper ; 06/2014	en_NZ
dc.subject	Computational economics,	en_NZ
dc.subject	Approximating Markov decision chains	en_NZ
dc.subject	MATLAB®	en_NZ
dc.title	InfsocSol3: An updated MATLAB® package for approximating the solution to a continuous-time infinite horizon 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.type.vuw	Working or Occasional Paper	en_NZ
vuwschema.subject.anzsrcforV2	389999 Other economics not elsewhere classified	en_NZ
dc.rights.rightsholder	www.victoria.ac.nz/sef/research/sef.working-papers	en_NZ