hal-00362135
https://hal.science/hal-00362135
https://hal.science/hal-00362135v1/document
https://hal.science/hal-00362135v1/file/acroread.pdf
[ENSTA] ENSTA Paris
[CERMICS] Centre d'Enseignement et de Recherche en Mathématiques, Informatique et Calcul Scientifique
Decomposition of large-scale stochastic optimal control problems
Barty, Kengy
Carpentier, Pierre
Girardeau, Pierre
[MATH.MATH-OC] Mathematics [math]/Optimization and Control [math.OC]
UNDEFINED
Porgrammation dynamique
Contrôle optimal stochastique
méthodes de décomposition
Porgrammation dynamique.
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.
2009-02-12
2009-02-17
en