SOCSol4L

SOCSol4L: An improved MATLABĀ® package for approximating the solution to a continuous-time stochastic optimal control problem. 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.