# 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

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topBarty, 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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