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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

Citation:

Download: [PDF]

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

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