Decomposition of large-scale stochastic optimal control problems

Abstract : In this paper, we present an Uzawa-based heuristic that is adapted to certain type of stochastic optimal control problems. More precisely, we consider dynamical systems that can be divided into smallscale subsystems 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.
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Article dans une revue
RAIRO - Operations Research, EDP Sciences, 2010, 44, pp.167-183. 〈10.1051/ro/2010013〉
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https://hal-ensta.archives-ouvertes.fr/hal-01232179
Contributeur : Pierre Carpentier <>
Soumis le : lundi 23 novembre 2015 - 10:50:42
Dernière modification le : jeudi 16 novembre 2017 - 17:15:02

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Pierre Carpentier, Kengy Barty, Pierre Girardeau. Decomposition of large-scale stochastic optimal control problems. RAIRO - Operations Research, EDP Sciences, 2010, 44, pp.167-183. 〈10.1051/ro/2010013〉. 〈hal-01232179〉

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