A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems

DOI10.1515/MCMA-2021-2095MaRDI QIDQ2066980zbMATH OpenOpenAlexWikidataFDO

Authors Lucas Izydorczyk, Nadia Oudjane, Francesco Russo

Publication date 17 January 2022

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2104.13641

zbMATH Keywords

demand-side managementHJB equationOrnstein-Uhlenbeck processesprobabilistic representation of PDEsregression Monte-Carlo schemestochastic controltime-reversal of diffusion

Mathematics Subject Classification ID

Semilinear parabolic equations (35K58) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Monte Carlo methods (65C05)

Abstract: We propose a fully backward representation of semilinear PDEs with application to stochastic control. Based on this, we develop a fully backward Monte-Carlo scheme allowing to generate the regression grid, backwardly in time, as the value function is computed. This offers two key advantages in terms of computational efficiency and memory. First, the grid is generated adaptively in the areas of interest and second, there is no need to store the entire grid. The performances of this technique are compared in simulations to the traditional Monte-Carlo forward-backward approach on a control problem of thermostatic loads.

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Cited in

(4)

• scientific article; zbMATH DE number 6961023 (Why is no real title available?)
• Time Reversal of diffusion processes under a finite entropy condition
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