A Report on Using Parallel MATLAB (R) For Solutions to Stochastic Optimal Control Problems
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Date
2008
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Te Herenga Waka—Victoria University of Wellington
Abstract
Parallel MATLAB (R) is a recent MathWorks (TM) product enabling the use of parallel computing methods on multicore personal computers. SOCSol is the generic name of a suite of MATLAB (R) 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 (R) with that of another version not using parallel computing methods.
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Keywords
Computational economics, Stochastic optimal control, Computational techniques, Computational methods, Approximating Markov decision chains, Economic software