Improved Dynamic Programming Methods for Optimal Control of Lumped-Parameter Stochastic Systems

DOI10.1287/OPRE.49.3.398.11219MaRDI QIDQ3635010zbMATH OpenOpenAlexFDO

Authors C. Russell Jun. Philbrick, Peter K. Kitanidis

Publication date 3 July 2009

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/opre.49.3.398.11219

zbMATH Keywords

algorithmsdynamic programmingnatural resourceswater resourcesefficient approximationoptimal reservoir operations

Mathematics Subject Classification ID

Dynamic programming (90C39) Optimal stochastic control (93E20)

Recommendations

• Dynamic programming for multidimensional stochastic control problems
• Dynamic programming for general linear quadratic optimal stochastic control with random coefficients
• Dynamic programming and error estimates for stochastic control problems with maximum cost
• LQG optimal control of discrete stochastic systems under parametric and noise uncertainties
• Publication:3026889
• Optimal LQG controller for linear stochastic systems with unknown parameters
• Dynamic programming in stochastic control of systems with delay
• Dynamic programming principle for stochastic control problems driven by general Lévy noise
• An LP approach to dynamic programming principles for stochastic control problems with state constraints

Cited in

(10)

• Approximate dynamic programming for stochastic \(N\)-stage optimization with application to optimal consumption under uncertainty
• Dynamic programming with Hermite approximation
• Suboptimal Policies for Stochastic $$N$$-Stage Optimization: Accuracy Analysis and a Case Study from Optimal Consumption
• Optimization of a large-scale water reservoir network by stochastic dynamic programming with efficient state space discretization
• Management of water resource systems in the presence of uncertainties by nonlinear approximation techniques and deterministic sampling
• Stochastic control via direct comparison
• The reliability importance of components and prime implicants in coherent and non-coherent systems including total-order interactions
• Stochastic dynamic programming approach to managing power system uncertainty with distributed storage
• Dynamic programming and value-function approximation in sequential decision problems: error analysis and numerical results
• A multi-parametric programming approach for constrained dynamic programming problems

Describes a project that uses

Uses Software

• NPSOL

This page was built for publication: Improved Dynamic Programming Methods for Optimal Control of Lumped-Parameter Stochastic Systems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3635010)