A parallel Matlab package for approximating the solution to a continuous-time stochastic optimal control problem

Abstract

This article is a modified version of [AK06]. Both articles explain how a suite of MATLAB routines distributed under the generic name SOCSol can be used to obtain optimal solutions to continuous-time stochastic optimal control problems. The difference between the SOCSol suites described by the articles arises from the underlying computing platforms used. This article describes a beta version of SOCSol that utilises the MATLAB Parallel Computing Toolbox, while [AK06] describes a version of SOCSol that does not use parallel computing methods.Computational techniques; Economic software; Computational methods in stochastic optimal control; Computational economics; Approximating Markov decision chains