RR-FiME-12-07 René Aïd, Luciano Campi, Nicolas Langrené, Huyên Pham In this paper, we present a probabilistic numerical algorithm combining dynamic programming, Monte Carlo simulations and local basis regressions to solve non-stationary optimal multiple switching problems in infinite horizon. We provide the rate of convergence of the method in terms of the time step used to discretize the problem, of the size of the local hypercubes involved in the regressions, and of the truncating time horizon. Read more [...]