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A report on using parallel MATLAB for solutions to stochastic optimal control problems

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

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Abstract

Parallel MATLAB is a recent MathWorks product enabling the use of parallel computing methods on multicore personal computers. SOCSol is the generic name of a suite of MATLAB routines that can be used to obtain optimal solutions to continuous-time stochastic optimal control problems. In this report, we compare the performance of a new version of SOCSol utilising parallel MATLAB with that of another version not using parallel computing methods.

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File URL: http://mpra.ub.uni-muenchen.de/9994/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 9994.

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Date of creation: 12 Aug 2008
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Handle: RePEc:pra:mprapa:9994

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

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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 parallel Matlab package for approximating the solution to a continuous-time stochastic optimal control problem," MPRA Paper 9993, University Library of Munich, Germany. [Downloadable!]
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  1. Azzato, Jeffrey D. & Krawczyk, Jacek B., 2008. "A parallel Matlab package for approximating the solution to a continuous-time stochastic optimal control problem," MPRA Paper 9993, University Library of Munich, Germany. [Downloadable!]
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This page was last updated on 2009-11-30.

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