A Limited-Feedback Approximation Scheme for Optimal Switching Problems with Execution Delays

TL;DR

This paper introduces an approximation scheme for optimal switching problems with execution delays, reducing computational complexity by limiting state information, and demonstrates its effectiveness through numerical examples.

Contribution

It presents a novel approximation scheme that limits state feedback information for solving optimal switching problems with delays, improving computational efficiency.

Findings

The approximation scheme significantly enhances computational performance.

The method effectively handles non-uniform execution delays and ramping.

Numerical results show comparable accuracy to conventional algorithms.

Abstract

We consider a type of optimal switching problems with non-uniform execution delays and ramping. Such problems frequently occur in the operation of economical and engineering systems. We first provide a solution to the problem by applying a probabilistic method. The main contribution is, however, a scheme for approximating the optimal control by limiting the information in the state-feedback. In a numerical example the approximation routine gives a considerable computational performance enhancement, when compared to a conventional algorithm.