Mixed spatial and temporal decompositions for large-scale multistage stochastic optimization problems

DOI10.1007/S10957-020-01733-7zbMATH Open1448.93345arXiv1912.10901OpenAlexW3048027031MaRDI QIDQ2198541FDOQ2198541

François Pacaud, Pierre Carpentier, Michel De Lara, Jean-Philippe Chancelier

Publication date: 10 September 2020

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Abstract: We consider multistage stochastic optimization problems involving multiple units. Each unit is a (small) control system. Static constraints couple units at each stage. We present a mix of spatial and temporal decompositions to tackle such large scale problems. More precisely, we obtain theoretical bounds and policies by means of two methods, depending whether the coupling constraints are handled by prices or by resources. We study both centralized and decentralized information structures. We report the results of numerical experiments on the management of urban microgrids. It appears that decomposition methods are much faster and give better results than the standard Stochastic Dual Dynamic Programming method, both in terms of bounds and of policy performance.

Full work available at URL: https://arxiv.org/abs/1912.10901

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zbMATH Keywords

dynamic programmingdecomposition methodsdiscrete time stochastic optimal control

Mathematics Subject Classification ID

Dynamic programming (90C39) Large-scale systems (93A15) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

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Cited In (3)

• Title not available (Why is that?)
• Decomposition methods for monotone two-time-scale stochastic optimization problems
• Decomposition of convex high dimensional aggregative stochastic control problems

Uses Software

• Ipopt
• DSP

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