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can any one recommend numerical solver (c/c++ library preferred) for stochastic optimal control problems? For deterministic optimal control I found something like that: http://abs-5.me.washington.edu/ocp/index.html Now looking for something similar for stochastic OCP.

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    $\begingroup$ I think this is better suited for computational science over at scicomp.stackexchange.com. $\endgroup$
    – Dirk
    Oct 30, 2014 at 8:14
  • $\begingroup$ SLICOT is another common library for deterministic optimal control. I don't know anything for stochastic control, but I'd be interested, too (especially non-LMI-based solvers for SAREs). $\endgroup$
    – Federico Poloni
    Oct 30, 2014 at 8:34
  • $\begingroup$ OP followed @Dirk's advice and reasked this as a scicomp question. $\endgroup$
    – Federico Poloni
    Oct 30, 2014 at 13:57

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