Abstract
In this chapter, we consider the issue of numerical approximation of the solution of stochastic optimal control (SOC) problems for which optimality conditions were studied in Chap. 5.
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“Binary” means that each node is followed by two sons, or, otherwise stated, the branching rate is equal to 2.
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© 2015 Springer International Publishing Switzerland
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Carpentier, P., Chancelier, JP., Cohen, G., De Lara, M. (2015). Numerical Algorithms. In: Stochastic Multi-Stage Optimization. Probability Theory and Stochastic Modelling, vol 75. Springer, Cham. https://doi.org/10.1007/978-3-319-18138-7_7
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DOI: https://doi.org/10.1007/978-3-319-18138-7_7
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