Optimization Online


Decomposition of large-scale stochastic optimal control problems

Kengy Barty (kengy.barty***at***edf.fr)
Pierre Carpentier (pierre.carpentier***at***ensta.fr)
Pierre Girardeau (pierre.girardeau***at***cermics.enpc.fr)

Abstract: 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.

Keywords: Stochastic optimal control, Decomposition methods, Dynamic programming

Category 1: Other Topics (Dynamic Programming )

Category 2: Stochastic Programming


Download: [PDF]

Entry Submitted: 02/12/2009
Entry Accepted: 02/12/2009
Entry Last Modified: 03/06/2009

Modify/Update this entry

  Visitors Authors More about us Links
  Subscribe, Unsubscribe
Digest Archive
Search, Browse the Repository


Coordinator's Board
Classification Scheme
Give us feedback
Optimization Journals, Sites, Societies
Mathematical Programming Society