hal-00454394
https://hal.archives-ouvertes.fr/hal-00454394
https://hal.archives-ouvertes.fr/hal-00454394/document
https://hal.archives-ouvertes.fr/hal-00454394/file/091228_ConvScenBasedMethods.pdf
arxiv:1002.1812
[ENPC] Ecole des Ponts ParisTech
[CERMICS] Centre d'Enseignement et de Recherche en Mathématiques, Informatique et Calcul Scientifique
[INSMI] CNRS-INSMI - INstitut des Sciences Mathématiques et de leurs Interactions
[ENSTA] ENSTA Paris
[PARISTECH] ParisTech
[UMA_ENSTA] Unité de Mathématiques Appliquées (UMA)
[PREPRINT] Preprint HAL Ecole des Ponts ParisTech
[TDS-MACS] Réseau de recherche en Théorie des Systèmes Distribués, Modélisation, Analyse et Contrôle des Systèmes
[EDF] EDF
A comparison of sample-based Stochastic Optimal Control methods
Girardeau, Pierre
[MATH.MATH-OC] Mathematics [math]/Optimization and Control [math.OC]
UNDEFINED
Stochastic optimal control
Stochastic programming
Particle methods
In this paper, we compare the performance of two scenario-based numerical methods to solve stochastic optimal control problems: scenario trees and particles. The problem consists in finding strategies to control a dynamical system perturbed by exogenous noises so as to minimize some expected cost along a discrete and finite time horizon. We introduce the Mean Squared Error (MSE) which is the expected $L^2$-distance between the strategy given by the algorithm and the optimal strategy, as a performance indicator for the two models. We study the behaviour of the MSE with respect to the number of scenarios used for discretization. The first model, widely studied in the Stochastic Programming community, consists in approximating the noise diffusion using a scenario tree representation. On a numerical example, we observe that the number of scenarios needed to obtain a given precision grows exponentially with the time horizon. In that sense, our conclusion on scenario trees is equivalent to the one in the work by Shapiro (2006) and has been widely noticed by practitioners. However, in the second part, we show using the same example that, by mixing Stochastic Programming and Dynamic Programming ideas, the particle method described by Carpentier et al (2009) copes with this numerical difficulty: the number of scenarios needed to obtain a given precision now does not depend on the time horizon. Unfortunately, we also observe that serious obstacles still arise from the system state space dimension.
2010-02-08
2010-02-08
en