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Decomposition of large-scale stochastic optimal control problems

Published online by Cambridge University Press:  23 July 2010

Kengy Barty ,
Pierre Carpentier  and
Pierre Girardeau
Kengy Barty
Affiliation:
EDF R&D, 1, avenue du Général de Gaulle, 92141 Clamart Cedex, France
Pierre Carpentier
Affiliation:
ENSTA ParisTech, 32, boulevard Victor, 75739 Paris Cedex 15, France; [email protected]
Pierre Girardeau
Affiliation:
Université Paris-Est, CERMICS, École des Ponts, Champs sur Marne, 77455 Marne la Vallée Cedex 2, France, also with EDF R&D and ENSTA
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Abstract

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.

Keywords

Stochastic optimal controldecomposition methodsdynamic programming
Type
Research Article
Information
RAIRO - Operations Research , Volume 44 , Issue 3 , July 2010 , pp. 167 - 183
Copyright
© EDP Sciences, ROADEF, SMAI, 2010

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