Decomposition of convex high dimensional aggregative stochastic control problems
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Publication:2701085
DOI10.1007/s00245-023-09977-1OpenAlexW4363675700MaRDI QIDQ2701085
Vincenzo Trovato, Antonio De Paola, Clémence Alasseur, Adrien Seguret, Nadia Oudjane, Joseph Frédéric Bonnans
Publication date: 27 April 2023
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2008.09827
stochastic optimizationLagrangian decompositionUzawa's algorithmstochastic gradientthermostatically controlled loads
Convex programming (90C25) Numerical optimization and variational techniques (65K10) Stochastic programming (90C15) Dynamic programming (90C39) Optimal stochastic control (93E20)
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