IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/9993.html
   My bibliography  Save this paper

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

Author

Listed:
  • Azzato, Jeffrey D.
  • Krawczyk, Jacek B.

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.

Suggested Citation

  • 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.
  • Handle: RePEc:pra:mprapa:9993
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/9993/1/MPRA_paper_9993.pdf
    File Function: original version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    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.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Foster, Jarred, 2011. "Target variation in a loss avoiding pension fund problem," MPRA Paper 36177, University Library of Munich, Germany.
    2. 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.
    3. Jacek B Krawczyk, 2015. "Delivering Left-Skewed Portfolio Payoff Distributions in the Presence of Transaction Costs," Risks, MDPI, vol. 3(3), pages 1-20, August.
    4. Foster, Jarred & Krawczyk, Jacek B, 2013. "Sensitivity of cautious-relaxed investment policies to target variation," Working Paper Series 2972, Victoria University of Wellington, School of Economics and Finance.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.

      More about this item

      Keywords

      Computational techniques; Economic software; Computational methods in stochastic optimal control; Computational economics; Approximating Markov decision chains;
      All these keywords.

      JEL classification:

      • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
      • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

      NEP fields

      This paper has been announced in the following NEP Reports:

      Statistics

      Access and download statistics

      Corrections

      All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:9993. See general information about how to correct material in RePEc.

      If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

      If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

      If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

      For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

      Please note that corrections may take a couple of weeks to filter through the various RePEc services.

      IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.