Decomposition of large-scale stochastic optimal control problems

In this paper, we present an Uzawa-based heuristic that is adapted to certain type of stochastic optimal control problems. More precisely, we consider dynamical systems that can be divided into smallscale subsystems linked through a static almost sure coupling constraint at each time step. This type of problem is common in production/ portfolio management where subsystems are, for instance, power units, and one has to supply a stochastic power demand at each time step. We outline the framework of our approach and present promising numerical results on a simplified power management problem.

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