Computational solution for the problem of a stochastic optimal switching control

In this paper, we consider the problem of a stochastic optimal switching control, which can be applied to the control of a system with uncertain demand such as a control problem of a power plant. The dynamic programming method is applied for the formulation of the optimal control problem. We solve the system of Quasi-Variational Inequalities(QVI) using an algoritlim which involves the finite difference approximation and contraction mapping method. A mathematical example of the optimal switching control is constructed. The actual performance of the algorithm is also tested through the solution of the constructed example.