https://hal-ensta-paris.archives-ouvertes.fr/hal-01232179Carpentier, PierrePierreCarpentierOC - Optimisation et commande - UMA - Unité de Mathématiques Appliquées - ENSTA Paris - École Nationale Supérieure de Techniques AvancéesBarty, KengyKengyBartyGirardeau, PierrePierreGirardeauDecomposition of large-scale stochastic optimal control problemsHAL CCSD2010Stochastic optimal controldecomposition methodsdynamic programming[MATH.MATH-OC] Mathematics [math]/Optimization and Control [math.OC]Carpentier, Pierre2015-11-23 10:50:422022-05-17 12:36:012015-11-23 10:50:42enJournal articles10.1051/ro/20100131In this paper, we present an Uzawa-based heuristic that isadapted to certain type of stochastic optimal control problems. Moreprecisely, we consider dynamical systems that can be divided into smallscalesubsystems linked through a static almost sure coupling constraintat each time step. This type of problem is common in production/portfolio management where subsystems are, for instance, powerunits, and one has to supply a stochastic power demand at each timestep. We outline the framework of our approach and present promisingnumerical results on a simplified power management problem.