Decomposition of convex high dimensional aggregative stochasticcontrol problems

DOI10.1007/S00245-023-09977-1MaRDI QIDQ6347543arXivFDO

Authors Adrien Seguret, Clémence Alasseur, J. Frédéric Bonnans, Antonio De Paola, Nadia Oudjane, Vincenzo Trovato

Publication date 22 August 2020

Published in arXiv

Full work available at URL https://doi.org/10.1007/S00245-023-09977-1

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Stochastic programming (90C15) Convex programming (90C25) Dynamic programming (90C39) Optimal stochastic control (93E20)

arXiv classification

math.OC

Abstract: We consider the framework of convex high dimensional stochastic control problems, in which the controls are aggregated in the cost function. As first contribution, we introduce a modified problem, whose optimal control is under some reasonable assumptions an $varepsilon$-optimal solution of the original problem. As second contribution, we present a decentralized algorithm whose convergence to the solution of the modified problem is established. Finally, we study the application of the developed tools in an engineering context, studying a coordination problem for large populations of domestic thermostatically controlled loads (TCLs)

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