4 results for Azzato, Jeffrey D

  • SOCSol4L: an Improved MATLAB (R) Package For Approximating the Solution to a Continuous-Time Stochastic Optimal Control Problem

    Azzato, Jeffrey D; Krawczyk, Jacek B (2006)

    Scholarly text
    Victoria University of Wellington

    Computing the solution to a stochastic optimal control problem is difficult. A method of approximating a solution to a given continuous-time stochastic optimal control problem using Markov chains was developed in [Kra01]. This paper describes a suite of MATLAB (R) routines implementing this method.

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  • A Report on NISOCSol: an Algorithm For Approximating Markovian Equlibria in Dynamic Games with Coupled-Constraints

    Krawczyk, Jacek B; Azzato, Jeffrey D (2006)

    Scholarly text
    Victoria University of Wellington

    In this report, we outline a method for approximating a Markovian (or feedback-Nash) equilibrium of a dynamic game, possibly subject to coupled-constraints. We treat such a game as a "multiple" optimal control problem. A method for approximating a solution to a given optimal control problem via backward induction on Markov chains was developed in [Kra01]. A Markovian equilibrium may be obtained numerically by adapting this backward induction approach to a stage Nikaido-Isoda function (described in [KZ06]).

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  • Parallel SOCSol: a Parallel MATLAB (R) Package For Approximating the Solution to a Continuous-Time Stochastic Optimal Control Problem

    Azzato, Jeffrey D; Krawczyk, Jacek B (2008)

    Scholarly text
    Victoria University of Wellington

    This article is a modified version of [AK06]. Both articles explain how a suite of MATLAB (R) 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 (R) Parallel Computing Toolbox (TM), while [AK06] describes a version of SOCSol that does not use parallel computing methods.

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  • A Report on Using Parallel MATLAB (R) For Solutions to Stochastic Optimal Control Problems

    Azzato, Jeffrey D; Krawczyk, Jacek B (2008)

    Scholarly text
    Victoria University of Wellington

    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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