Decomposition of large-scale stochastic optimal control problems
Optimization and Control
2009-03-09 v1
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.
Cite
@article{arxiv.0903.1148,
title = {Decomposition of large-scale stochastic optimal control problems},
author = {Kengy Barty and Pierre Carpentier and Pierre Girardeau},
journal= {arXiv preprint arXiv:0903.1148},
year = {2009}
}