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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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.
|Item Type:||MPRA Paper|
|Original Title:||A report on using parallel MATLAB for solutions to stochastic optimal control problems|
|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
|Depositing User:||Jeffrey Azzato|
|Date Deposited:||14. Aug 2008 08:04|
|Last Modified:||03. Jan 2014 10:26|
Jeffrey D. Azzato and Jacek B. Krawczyk. SOCSol4L: An improved MATLAB package for approximating the solution to a continuous-time 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. Parallel SOCSol: A parallel MATLAB package for approximating the solution to a continuous-time stochastic optimal control problem. Working paper, School of Ecnomics and Finance, Victoria University of Wellington, Jul 2008.
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