SOCSol4L: An improved MATLAB® 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.
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References in zbMATH (referenced in 2 articles )
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- Huschto, Tony; Sager, Sebastian: Solving stochastic optimal control problems by a Wiener chaos approach (2014)
- Azzato, Jeffrey; Krawczyk, Jacek B.: Applying a finite-horizon numerical optimization method to a periodic optimal control problem (2008)