Algorithms for Optimal Control of Stochastic Switching Systems

Optimal control problems of switching type with linear state dynamics are ubiquitous in applications of stochastic optimization. For high-dimensional problems of this type, solutions which utilize some convexity related properties are useful. For such problems, we present novel algorithmic solutions which require minimal assumptions while demonstrating remarkable computational efficiency. Furthermore, we devise procedures of the primal-dual kind to assess the distance to optimality of these approximate solutions.

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