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

Azzato, Jeffrey D. and Krawczyk, Jacek B. (2008): A report on using parallel MATLAB for solutions to stochastic optimal control problems.

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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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