This paper introduces the YADPF package, a collection of reusable MATLAB functions to solve deterministic discrete-time optimal control problems using a dynamic programming algorithm. For finite- and infinite-horizon optimal control problems, two types of dynamic programming algorithms are implemented: ...
matlab实现 首先先写一个Bellman equation的函数,该函数给定一个value function,将其带入到等式右侧,求解最优化下对于每个初始值k的新的最大化value function的值。最终目标是求解出来的新的value function和代入的值一致为止。 function[TV optK]=It...
三、值函数迭代与MATLAB代码 首先,Bellman算子TV=maxk′u(f(k)+(1−δ)k−k′)+βV(k′)是一个压缩映射。根据压缩映射定理(Contraction Mapping Theorem),从任意一点V0(k)出发,经过n次的压缩映射后,Vn(k)=TnV0(k)存在极限,且该极限是一个不动点。因此,依据上述理论,可以使用值函数迭代(Value Func...
如果更新前后的值函数的范数小于收敛参数,即‖V1(k)−V0(k)‖<ε那么停止循环;反之,将V1(k)赋给V0(k),并重复第三步直至收敛。 三、MATLAB代码与结果 主代码 %%%%%%%%%%%%%%%%% Parameter Setting %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%alpha=0.4;% Capital sharebeta=0.96;% Discou...
I have a dynamic programming problem. I have two endogenous and one exogenous state variables and I need to code this in Matlab. All states are continuous (time is discrete). I can easily code a value function iteration when there is one exogenous and one endogenous state. However, I cou...
but more and more students understand the language of programming and find it easier to grasp certain concepts when they are expressed in commented code rather than in our natural language. One student noted, “It really helps to see how a problem/solution changes ...
In subject area: Economics, Econometrics and Finance A Viterbi search is a dynamic programming algorithm that finds the optimal path based on the probabilities of phonetic categories as well as the probabilities of phonetic durations. From: Encyclopedia of Information Systems, 2003 ...
This MATLAB function stretches two vectors, x and y, onto a common set of instants such that dist, the sum of the Euclidean distances between corresponding points, is smallest.
Signal Processing. Vol. 4, 1982, pp. 329–333. [2] Sakoe, Hiroaki, and Seibi Chiba. "Dynamic Programming Algorithm Optimization for Spoken Word Recognition." IEEE® Transactions on Acoustics, Speech, and Signal Processing. Vol. ASSP-26, No. 1, 1978, pp. 43–49....
1 Programming I: Introduction to Matlab This section is designed as a “do it yourself” part so that you can familiarize yourself with the use of Matlab. Open Matlab, and you will get something like in the figure below (exact appearance ...