Decomposition of large-scale stochastic optimal control problems
RAIRO - Operations Research - Recherche Opérationnelle, Tome 44 (2010) no. 3, pp. 167-183.

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.

DOI : 10.1051/ro/2010013
Classification : 93E20, 49M27, 49L20
Mots-clés : stochastic optimal control, decomposition methods, dynamic programming 
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     author = {Barty, Kengy and Carpentier, Pierre and Girardeau, Pierre},
     title = {Decomposition of large-scale stochastic optimal control problems},
     journal = {RAIRO - Operations Research - Recherche Op\'erationnelle},
     pages = {167--183},
     publisher = {EDP-Sciences},
     volume = {44},
     number = {3},
     year = {2010},
     doi = {10.1051/ro/2010013},
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     language = {en},
     url = {http://www.numdam.org/articles/10.1051/ro/2010013/}
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Barty, Kengy; Carpentier, Pierre; Girardeau, Pierre. Decomposition of large-scale stochastic optimal control problems. RAIRO - Operations Research - Recherche Opérationnelle, Tome 44 (2010) no. 3, pp. 167-183. doi : 10.1051/ro/2010013. http://www.numdam.org/articles/10.1051/ro/2010013/

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