Decomposition of large-scale stochastic optimal control problems

TL;DR

This paper introduces an Uzawa-based heuristic for large-scale stochastic optimal control problems with coupled subsystems, demonstrating promising results in power management scenarios.

Contribution

It proposes a novel decomposition approach tailored for stochastic control problems with static coupling constraints, applicable to complex systems like power units.

Findings

Effective decomposition of large stochastic control problems

Promising numerical results in power management case study

Potential for scalable solutions in complex systems

Abstract

In this paper, we present an Uzawa-based heuristic that is adapted to some type of stochastic optimal control problems. More precisely, we consider dynamical systems that can be divided into small-scale independent subsystems, though 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.