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Decomposition of large-scale stochastic optimal control problems

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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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Dates and versions

hal-00362135 , version 1 (17-02-2009)
hal-00362135 , version 2 (06-03-2009)

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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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