%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 comité 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