Algorithms for Optimal Control of Stochastic Switching Systems

Juri Hinz and Nicholas Yap
Additional contact information
Juri Hinz: School of Mathematical Sciences, University of Technology Sydney
Nicholas Yap: Finance Discipline Group, UTS Business School, University of Technology, Sydney, http://www.uts.edu.au/about/uts-business-school/finance

No 352, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: Optimal c ontrol problems of swit hing type with linear state dynamic s are ubiquitous in appli ations of sto hasti c optimization. For high-dimensional problems of this type, solutions whi h utilize some c onvexity related properties are useful. For su ch problems, we present novel algorithmic solutions whi h require minimal assumptions while demonstrating remarkable computational eff icienc y. Furthermore, we devise pro edures of the primal-dual kind to assess the distan e to optimality of these approximate solutions.

Pages: 33 pages
Date: 2015-01-01
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Citations: View citations in EconPapers (6)

Published as: Hinz, J. and Yap, N., 2016, "Algorithms for Optimal Control of Stochastic Switching Systems", Theory of Probability and its Applications, 60(4), 580-603.

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