Volume 44, Number 3, July-September 2010
|Page(s)||167 - 183|
|Published online||23 July 2010|
Decomposition of large-scale stochastic optimal control problems
EDF R&D, 1, avenue du Général de Gaulle, 92141 Clamart Cedex, France
2 ENSTA ParisTech, 32, boulevard Victor, 75739 Paris Cedex 15, France; firstname.lastname@example.org
3 Université Paris-Est, CERMICS, École des Ponts, Champs sur Marne, 77455 Marne la Vallée Cedex 2, France, also with EDF R&D and ENSTA
Accepted: 7 April 2010
In this paper, we present an Uzawa-based heuristic that is adapted to certain type of stochastic optimal control problems. More precisely, we consider dynamical systems that can be divided into small-scale subsystems 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.
Mathematics Subject Classification: 93E20 / 49M27 / 49L20
Key words: Stochastic optimal control / decomposition methods / dynamic programming
© EDP Sciences, ROADEF, SMAI, 2010
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