Decomposition of large-scale stochastic optimal control problems

Kengy Barty; Pierre Carpentier; Pierre Girardeau

RAIRO - Operations Research (2010)

  • Volume: 44, Issue: 3, page 167-183
  • ISSN: 0399-0559

Abstract

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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 small-scale 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.

How to cite

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Barty, Kengy, Carpentier, Pierre, and Girardeau, Pierre. "Decomposition of large-scale stochastic optimal control problems." RAIRO - Operations Research 44.3 (2010): 167-183. <http://eudml.org/doc/250825>.

@article{Barty2010,
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 small-scale 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. },
author = {Barty, Kengy, Carpentier, Pierre, Girardeau, Pierre},
journal = {RAIRO - Operations Research},
keywords = {Stochastic optimal control; decomposition methods; dynamic programming; stochastic optimal control},
language = {eng},
month = {7},
number = {3},
pages = {167-183},
publisher = {EDP Sciences},
title = {Decomposition of large-scale stochastic optimal control problems},
url = {http://eudml.org/doc/250825},
volume = {44},
year = {2010},
}

TY - JOUR
AU - Barty, Kengy
AU - Carpentier, Pierre
AU - Girardeau, Pierre
TI - Decomposition of large-scale stochastic optimal control problems
JO - RAIRO - Operations Research
DA - 2010/7//
PB - EDP Sciences
VL - 44
IS - 3
SP - 167
EP - 183
AB - 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 small-scale 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.
LA - eng
KW - Stochastic optimal control; decomposition methods; dynamic programming; stochastic optimal control
UR - http://eudml.org/doc/250825
ER -

References

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