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A parallel Matlab package for approximating the solution to a continuous-time stochastic optimal control problem

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Author Info
Azzato, Jeffrey D.
Krawczyk, Jacek B.

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Abstract

This article is a modified version of [AK06]. Both articles explain how a suite of MATLAB routines distributed under the generic name SOCSol can be used to obtain optimal solutions to continuous-time stochastic optimal control problems. The difference between the SOCSol suites described by the articles arises from the underlying computing platforms used. This article describes a beta version of SOCSol that utilises the MATLAB Parallel Computing Toolbox, while [AK06] describes a version of SOCSol that does not use parallel computing methods.

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File URL: http://mpra.ub.uni-muenchen.de/9993/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 9993.

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Date of creation: 12 Aug 2008
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Handle: RePEc:pra:mprapa:9993

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Related research
Keywords: Computational techniques; Economic software; Computational methods in stochastic optimal control; Computational economics; Approximating Markov decision chains;

Find related papers by JEL classification:
C63 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Computational Techniques
C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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  1. Azzato, Jeffrey D. & Krawczyk, Jacek B., 2008. "A report on using parallel MATLAB for solutions to stochastic optimal control problems," MPRA Paper 9994, University Library of Munich, Germany. [Downloadable!]
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  1. Azzato, Jeffrey D. & Krawczyk, Jacek B., 2008. "A report on using parallel MATLAB for solutions to stochastic optimal control problems," MPRA Paper 9994, University Library of Munich, Germany. [Downloadable!]
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This page was last updated on 2009-11-30.

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