%0 Journal Article
%T Decomposition of large-scale stochastic optimal control problems
%+ Optimisation et commande (OC)
%A Carpentier, Pierre
%A Barty, Kengy
%A Girardeau, Pierre
%< avec comitÃ© de lecture
%@ 0399-0559
%J RAIRO - Operations Research
%I EDP Sciences
%V 44
%P 167-183
%8 2010
%D 2010
%R 10.1051/ro/2010013
%K Stochastic optimal control
%K decomposition methods
%K dynamic programming
%Z Mathematics [math]/Optimization and Control [math.OC]Journal articles
%X In this paper, we present an Uzawa-based heuristic that isadapted to certain type of stochastic optimal control problems. Moreprecisely, we consider dynamical systems that can be divided into smallscalesubsystems linked through a static almost sure coupling constraintat each time step. This type of problem is common in production/portfolio management where subsystems are, for instance, powerunits, and one has to supply a stochastic power demand at each timestep. We outline the framework of our approach and present promisingnumerical results on a simplified power management problem.
%G English
%L hal-01232179
%U https://ensta-paris.hal.science/hal-01232179
%~ ENSTA
%~ INSMI
%~ UMA_ENSTA
%~ TDS-MACS