InfsocSol3 An Updated MATLAB® Package for Approximating the Solution to a Continuous-Time Infinite Horizon Stochastic Optimal Control Problem
نویسندگان
چکیده
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]. 2014 Working Paper School of Economics and Finance JEL Classification: C63 (Computational Techniques), C87 (Economic Software). AMS Categories: 93E25 (Computational methods in stochastic optimal control). Authors’
منابع مشابه
A New Approach for Approximating Solution of Continuous Semi-Infinite Linear Programming
This paper describes a new optimization method for solving continuous semi-infinite linear problems. With regard to the dual properties, the problem is presented as a measure theoretical optimization problem, in which the existence of the solution is guaranteed. Then, on the basis of the atomic measure properties, a computation method was presented for obtaining the near optimal so...
متن کاملSolving infinite horizon optimal control problems of nonlinear interconnected large-scale dynamic systems via a Haar wavelet collocation scheme
We consider an approximation scheme using Haar wavelets for solving a class of infinite horizon optimal control problems (OCP's) of nonlinear interconnected large-scale dynamic systems. A computational method based on Haar wavelets in the time-domain is proposed for solving the optimal control problem. Haar wavelets integral operational matrix and direct collocation method are utilized to find ...
متن کاملInfinite Horizon and Ergodic Optimal Quadratic Control for an Affine Equation with Stochastic Coefficients
We study quadratic optimal stochastic control problems with control dependent noise state equation perturbed by an affine term and with stochastic coefficients. Both infinite horizon case and ergodic case are treated. To this purpose we introduce a Backward Stochastic Riccati Equation and a dual backward stochastic equation, both considered in the whole time line. Besides some stabilizability c...
متن کاملAn Eigenvalue Approach to Infinite-horizon Optimal Control
A method for finding optimal control policies for first order state-constrained, stochastic dynamic systems in continuous time is presented. The method relies on solution of the Hamilton-Jacobi-Bellman equation, which includes a diffusion term related to the stochastic disturbance in the model. A variable transformation is applied that turns the infinite-horizon optimal control problem into a l...
متن کاملOptimal Finite-time Control of Positive Linear Discrete-time Systems
This paper considers solving optimization problem for linear discrete time systems such that closed-loop discrete-time system is positive (i.e., all of its state variables have non-negative values) and also finite-time stable. For this purpose, by considering a quadratic cost function, an optimal controller is designed such that in addition to minimizing the cost function, the positivity proper...
متن کامل