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Journal Articles RAIRO - Operations Research Year : 2010

Decomposition of large-scale stochastic optimal control problems

(1) , ,
1
Pierre Carpentier
Kengy Barty
  • Function : Author
Pierre Girardeau
  • Function : Author
  • PersonId : 764150
  • IdRef : 151159351

Abstract

In this paper, we present an Uzawa-based heuristic that is adapted to certain type of stochastic optimal control problems. More precisely, we consider dynamical systems that can be divided into smallscale subsystems 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.

Dates and versions

hal-01232179 , version 1 (23-11-2015)

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Pierre Carpentier, Kengy Barty, Pierre Girardeau. Decomposition of large-scale stochastic optimal control problems. RAIRO - Operations Research, 2010, 44, pp.167-183. ⟨10.1051/ro/2010013⟩. ⟨hal-01232179⟩
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