Statistical learning for probability-constrained stochastic optimal control

DOI10.1016/j.ejor.2020.08.041zbMath1487.93009arXiv1905.00107MaRDI QIDQ2029386

Michael Ludkovski, Jan Palczewski, Alessandro Balata, Aditya Maheshwari

Publication date: 3 June 2021

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1905.00107

zbMATH Keywords

stochastic optimal control; machine learning; microgrid control; probabilistic constraints; regression Monte Carlo

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

68T05: Learning and adaptive systems in artificial intelligence

90C15: Stochastic programming

93E20: Optimal stochastic control

93-08: Computational methods for problems pertaining to systems and control theory

Uses Software

• Stata
• DiceKriging
• DiceOptim
• prvalue