I have compiled a small Matlab Toolbox for the solution of discrete dynamic programming problems. Most of the problems are familiar to economists, like the standard Real Business Cycle model or the Job Search model (please see attached zip file below).

KPRToolbox for the solution of DSGE models (with Alvaro Riascos and Paulina Restrepo)

Other tools for the solution of DSGE models:

1. Dynare (by Michel Juillard at CEPREMAP)