Mini Courses - SVAN 2016 - Mini Course 5 - Stochastic Optimal Control

Class 04
Hasnaa Zidani, Ensta-ParisTech, France

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This course will be dedicated to optimal control problems with some applications in economics and energy management.
These stochastic optimization problems will be addressed by a dynamic programming approach that characterizes the value function as solution to a partial differential equation, called Hamilton-Jacobi equation.
We will first discuss the properties of the function value and its role in deriving the optimal policy.
Then we will see some numerical methods for solving the control problems.

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