A Limited-Feedback Approximation Scheme for Optimal Switching Problems with Execution Delays
Optimization and Control
2017-02-15 v3
Abstract
We consider a type of optimal switching problems with non-uniform execution delays and ramping. Such problems frequently occur in the operation of economical and engineering systems. We first provide a solution to the problem by applying a probabilistic method. The main contribution is, however, a scheme for approximating the optimal control by limiting the information in the state-feedback. In a numerical example the approximation routine gives a considerable computational performance enhancement, when compared to a conventional algorithm.
Cite
@article{arxiv.1605.00606,
title = {A Limited-Feedback Approximation Scheme for Optimal Switching Problems with Execution Delays},
author = {Magnus Perninge},
journal= {arXiv preprint arXiv:1605.00606},
year = {2017}
}