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.

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.

• Item Type: MPRA Paper
• 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

References

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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