K. Helmes et Rh. Stockbridge, Numerical comparison of controls and verification of optimality for stochastic control problems, J OPTIM TH, 106(1), 2000, pp. 107-127
We provide two approaches to the numerical analysis of stochastic control p
roblems. The analyses rely on linear programming formulations of the contro
l problem and allow numerical comparison between controls and numerical ver
ification of optimality. The formulations characterize the processes throug
h the moments of the induced occupation measures. We deal directly with the
processes rather than with some approximation to the processes. Excellent
software is readily available, since the computations involve finite-dimens
ional linear programs.