InfSOCSol

InfSOCSol2: an updated MATLAB package for approximating the solution to a continuous-time in nite horizon stochastic optimal control problem. 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 [Kra01b]. Its routines implement a policy improvement algorithm to optimise a Markov decision chain approximating the original control problem, as described in [Kra01c].