Particle Methods For Stochastic Optimal Control Problems

Abstract : To tackle the difficulties faced by both stochastic dynamic programming and scenario tree methods, we present some variational approach for numerical solution of stochastic optimal control problems. We consider two different interpretations of the control problem, an algebraic and a functional one from which we derive optimality conditions. An adaptative mesh discretization method will be used to propose a tractable solution algorithm. An application to a hydro-electric dam production management problem will be presented.
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Submitted on : Friday, March 21, 2014 - 1:23:44 PM
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Pierre Carpentier, Guy Cohen, Anes Dallagi. Particle Methods For Stochastic Optimal Control Problems. Computational Optimization and Applications, Springer Verlag, 2013, 56 (3), pp.635-674. ⟨10.1007/s10589-013-9579-y⟩. ⟨hal-00962484⟩

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