Azzato, Jeffrey D. and Krawczyk, Jacek B. (2008): A parallel Matlab package for approximating the solution to a continuoustime stochastic optimal control problem.

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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 continuoustime 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.
Item Type:  MPRA Paper 

Original Title:  A parallel Matlab package for approximating the solution to a continuoustime stochastic optimal control problem 
Language:  English 
Keywords:  Computational techniques; Economic software; Computational methods in stochastic optimal control; Computational economics; Approximating Markov decision chains 
Subjects:  C  Mathematical and Quantitative Methods > C6  Mathematical Methods; Programming Models; Mathematical and Simulation Modeling > C63  Computational Techniques; Simulation Modeling C  Mathematical and Quantitative Methods > C8  Data Collection and Data Estimation Methodology; Computer Programs > C87  Econometric Software 
Item ID:  9993 
Depositing User:  Jeffrey Azzato 
Date Deposited:  14. Aug 2008 02:52 
Last Modified:  22. Feb 2013 06:18 
References:  [AK06] Jeffrey D. Azzato and Jacek B. Krawczyk. SOCSol4L: An improved MATLAB package for approximating the solution to a continuoustime stochastic optimal control problem. Working paper, School of Ecnomics and Finance, Victoria University of Wellington, Dec 2006. [AK08] Jeffrey D. Azzato and Jacek B. Krawczyk. A report on using parallel MATLAB for solutions to stochastic optimal control problems. Working paper, School of Ecnomics and Finance, Victoria University of Wellington, Jul 2008. [Kra01] Jacek B. Krawczyk. A Markovian approximated solution to a portfolio management problem. ITEM., 1(1), 2001. Available at http://www.item.woiz.polsl.pl/issue/journal1.htm on 22/04/2008. [Kra05] J. B. Krawczyk. Numerical solutions to lumpsum pension problems that can yield leftskewed fund return distributions. In Christophe Deissenburg and Richard F. Hartl, editors, Optimal Control and Dynamic Games, number 7 in Advances in Computational Management Science, chapter 10, pages 155–176. Springer, New York, 2005. [KW97] Jacek B. Krawczyk and Alistor Windsor. An approximated solution to continuoustime stochastic optimal control problems through Markov decision chains. Technical Report 9dbis, School of Economics and Finance, Victoria University of Wellington, 1997. Available at http://ideas.repec.org/p/wpa/wuwpco/9710001.html on 31/07/2008. [Mat92] The MathWorks Inc. MATLAB. HighPerformance Numeric Computation and Visualization Software, 1992. 
URI:  http://mpra.ub.unimuenchen.de/id/eprint/9993 