InfSOCSol2 An updated MATLAB Package for Approximating the Solution to a Continuous-Time Infinite Horizon Stochastic Optimal Control Problem with Control and State Constraints

摘要

This paper is a successor of [AK08]. Both papers describe the same suite of MATLAB R° routines devised to provide an approximately optimal solution to an infinite horizon stochastic optimal control problem. The difference is that this paper explains how to allow for state and control constraints. The suite routines implement a policy improvement algorithm to optimise a Markov decision chainapproximating the original control problem, as described in[Kra01c] and [Kra01b].