Decomposition of large-scale stochastic optimal control problems - ENSTA Paris - École nationale supérieure de techniques avancées Paris Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2009

Decomposition of large-scale stochastic optimal control problems

Résumé

In this paper, we present an Uzawa-based heuristic that is adapted to some type of stochastic optimal control problems. More precisely, we consider dynamical systems that can be divided into small-scale independent subsystems, though 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.
Fichier principal
Vignette du fichier
acroread.pdf (302.67 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-00362135 , version 1 (17-02-2009)
hal-00362135 , version 2 (06-03-2009)

Identifiants

  • HAL Id : hal-00362135 , version 1

Citer

Kengy Barty, Pierre Carpentier, Pierre Girardeau. Decomposition of large-scale stochastic optimal control problems. 2009. ⟨hal-00362135v1⟩

Collections

ENSTA CERMICS
147 Consultations
218 Téléchargements

Partager

Gmail Facebook X LinkedIn More