Algorithmic Solutions for Optimal Switching Problems

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Conference Proceeding
IEEE CPS, 2016, pp. 586 - 590 (5)
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In practice, optimal control problems of stochastic switching are notoriously challenging from a computational viewpoint, since typical real-world applications are high dimensional. In this approach, we suggest an algorithmic solution which is based on some convexity assumptions frequently fulfilled in applications. Furthermore, we show how the quality of numerical solution can be assessed. An efficient implementation of our algorithms is discussed.
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