Particle methods for stochastic optimal control problems

DOI10.1007/S10589-013-9579-YMaRDI QIDQ2636612zbMATH OpenOpenAlexFDO

Authors Pierre Carpentier, Guy Cohen, Anes Dallagi

Publication date 30 January 2014

Published in Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0907.4663

zbMATH Keywords

numerical solutionoptimality conditionsfeedback synthesisstochastic dynamic programmingstochastic optimal control problemsadaptive mesh discretization method

Mathematics Subject Classification ID

Stochastic programming (90C15) Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Feedback control (93B52) Optimal stochastic control (93E20) Numerical methods based on necessary conditions (49M05)

Abstract: To tackle the difficulties faced by both stochastic dynamic programming and scenario tree methods, we present some variational approach for numerical solution of stochastic optimal control problems. We consider two different interpretations of the control problem, an algebraic and a functional one from which we derive optimality conditions. An adaptative mesh discretization method will be used to propose a tractable solution algorithm. An application to a hydro-electric dam production management problem will be presented.

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Cited in

(5)

• PF-MPC: particle filter-model predictive control
• Particle Algorithms for Optimization on Binary Spaces
• An efficient gradient projection method for stochastic optimal control problems
• Space mapping-based optimization with the macroscopic limit of interacting particle systems
• A stochastic minimum principle and an adaptive pathwise algorithm for stochastic optimal control

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