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Decomposition of large-scale stochastic optimal control problems

Abstract : In this paper, we present an Uzawa-based heuristic that is adapted to some type of stochastic optimal control problems. More precisely, we consider dynamical systems that can be divided into small-scale independent subsystems, though linked through a static almost sure coupling constraint at each time step. This type of problem is common in production/portfolio management where subsystems are, for instance, power units, and one has to supply a stochastic power demand at each time step. We outline the framework of our approach and present promising numerical results on a simplified power management problem.
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https://hal.archives-ouvertes.fr/hal-00362135
Contributor : Pierre Girardeau Connect in order to contact the contributor
Submitted on : Friday, March 6, 2009 - 12:04:26 PM
Last modification on : Wednesday, November 3, 2021 - 4:12:14 PM
Long-term archiving on: : Saturday, November 26, 2016 - 6:16:16 AM

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  • HAL Id : hal-00362135, version 2
  • ARXIV : 0903.1148

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Kengy Barty, Pierre Carpentier, Pierre Girardeau. Decomposition of large-scale stochastic optimal control problems. 2009. ⟨hal-00362135v2⟩

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