Decomposition of large-scale stochastic optimal control problems

july, 2010
Publication type:
Paper in peer-reviewed journals
RAIRO Operations Research, vol. 44, pp. 167-183
Keywords :
Stochastic optimal control - Decomposition methods - Dynamic programming
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.
    author={Kengy Barty and Pierre Carpentier and Pierre Girardeau },
    title={Decomposition of large-scale stochastic optimal control 
           problems },
    doi={10.1051/ro/2010013 },
    journal={RAIRO Operations Research },
    year={2010 },
    volume={44 },