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

Author

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

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.

Suggested Citation

  • 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.
  • Handle: RePEc:pra:mprapa:9994
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    File URL: https://mpra.ub.uni-muenchen.de/9994/1/MPRA_paper_9994.pdf
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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.
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    Cited by:

    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.

    More about this item

    Keywords

    Computational techniques; Economic software; Computational methods in stochastic optimal control; Computational economics; Approximating Markov decision chains;

    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

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