Decomposition of large-scale stochastic optimal control problems
| dc.creator | Barty, Kengy | |
| dc.creator | Carpentier, Pierre | |
| dc.creator | Girardeau, Pierre | |
| dc.date | 2009-03-06 | |
| dc.date.accessioned | 2026-07-07T12:49:36Z | |
| dc.date.available | 2026-07-07T12:49:36Z | |
| dc.description | 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. | |
| dc.identifier | https://arxiv.org/abs/0903.1148 | |
| dc.identifier | http://arxiv.org/abs/0903.1148 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/222457 | |
| dc.subject | Optimization and Control | |
| dc.subject | 93E20, 49M27, 49L20 | |
| dc.title | Decomposition of large-scale stochastic optimal control problems | |
| dc.type | text |