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

Jeffrey Azzato and Jacek Krawczyk ()

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Computational techniques; Economic software; Computational methods in stochastic optimal control; Computational economics; Approximating Markov decision chains (search for similar items in EconPapers)
JEL-codes: C63 C87 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cmp and nep-dge
Date: 2008-08-12
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Persistent link: http://EconPapers.repec.org/RePEc:pra:mprapa:9994

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