Kengy Barty,
Pierre Carpentier,
Pierre Girardeau
(2010)
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...