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

DOI10.1007/S10957-020-01733-7MaRDI QIDQ2198541zbMATH OpenOpenAlexFDO

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

Publication date 10 September 2020

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

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

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)

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.

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Cited in

(4)

• Decomposition of large-scale stochastic optimal control problems
• Decomposition of convex high dimensional aggregative stochastic control problems
• scientific article; zbMATH DE number 7733435 (Why is no real title available?)
• Decomposition methods for monotone two-time-scale stochastic optimization problems

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Uses Software

• DSP
• Ipopt

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