Hi All,
concerning the references provided by Michel on MATLAB parallel toolbox, we actually studied and tested them when we started the project on parallel a couple of years ago. Such a toolbox works well and looked to us (specially Ivano, our IT expert) the best available free toolbox for MATLAB.
This is really something like an openMP in MATLAB, and it is specially suited for clusters and parallel threads that need a quite large level of communication and message passing.
In the cases we are dealing now, however, the parallel jobs are totally independent and such a Toolbox adds a layer which makes the computational performance suboptimal (i.e. the speed-up was smaller than what we obtain with the routines developed here).
So, we decided to build something different (and simpler) here, which works optimally (in terms of speed-up) in all tests done for such jobs that can be `trivially' parallelized (parallel markov chains, simple Monte Carlo iterations like posterior IRF's smoother etc ... ), i.e. they go their own without any need to communicate between each other.
Of course, this other Toolbox would be of great help should be need to parallelize something more sophisticated, with need of message passing between threads.
Finally, I just read the e-mail from Sebastien: you're right to carefully consider the issue of multiplatform: we'll have a look at SSH windows.
all the best
Marco