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

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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Year of publication:	2008-08-12
Authors:	Azzato, Jeffrey D. ; Krawczyk, Jacek B.

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Azzato, Jeffrey D. and Krawczyk, Jacek B. (2008): A report on using parallel MATLAB for solutions to stochastic optimal control problems.
Classification:	C63 - Computational Techniques ; C87 - Econometric Software
Source:	BASE

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