Munich Personal RePEc Archive
metadata only
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 stochastic optimal control problem using Markov chains was developed in [1]. This paper describes a suite of MATLAB functions implementing this method of approximating a solut
Conceptio Open Archive
Analyze & explore related research in Conceptio
Connect this record directly into your research workflow or AI agent. Explore citations across open repositories, query full text, and export structured proof bundles.
This document is indexed with metadata only: full text is not available in the archive for this record. Open the official source ↗
Related documents
- Ergodic Stochastic Optimal Control Problems#615221
- Ergodic Stochastic Optimal Control Problems#614254
- Praxis and method#1253890
- Stochastic Lanczos Quadrature for Computational Uncertainty in Linear Algebra#996996
- A global stochastic maximum principle for forward-backward stochastic control systems with quadratic convex generator and unbounded terminal condition#1035853
Record · ID 1274376
Retrieved via Conceptio: every document is proof-bundled with source, license, and retrieval metadata.
Retrieved via Conceptio: every document is proof-bundled with source, license, and retrieval metadata.
Bring this data into your agent: Connect via MCP or API · 20 free credits to start · no card required
Read the Docs → · View CLI source on GitHub · Conceptio Open Knowledge Archive
Read the Docs → · View CLI source on GitHub · Conceptio Open Knowledge Archive