451 citations
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9 papers · 1 filter
An entropy penalized approach for stochastic optimization with marginal law constraints. Complete version
Thibaut Bourdais, Nadia Oudjane, Francesco Russo
This paper focuses on stochastic optimal control problems with constraints in law, which are rewritten as optimization (minimization) of probability measures problem on the canonic…
Verification theorem related to a zero sum stochastic differential game, based on a chain rule for non-smooth functions
Carlo Ciccarella, Francesco Russo
In the framework of stochastic zero-sum differential games, we establish a verification theorem, inspired by those existing in stochastic control, to provide sufficient conditions…
An entropy penalized approach for stochastic control problems. Complete version
Thibaut Bourdais, Nadia Oudjane, Francesco Russo
In this paper, we propose an original approach to stochastic control problems. We consider a weak formulation that is written as an optimization (minimization) problem on the space…
Contributions on complexity bounds for Deterministic Partially Observed Markov Decision Process
Cyrille Vessaire, Jean-Philippe Chancelier, Michel de Lara +2
Markov Decision Processes (Mdps) form a versatile framework used to model a wide range of optimization problems. The Mdp model consists of sets of states, actions, time steps, rewa…
Time Consistency for Multistage Stochastic Optimization Problems under Constraints in Expectation
Pierre Carpentier, Jean-Philippe Chancelier, Michel de Lara
We consider sequences-indexed by time (discrete stages)-of families of multistage stochastic optimization problems. At each time, the optimization problems in a family are paramete…
Optimization of a domestic microgrid equipped with solar panel and battery: Model Predictive Control and Stochastic Dual Dynamic Programming approaches
François Pacaud, Pierre Carpentier, Jean-Philippe Chancelier +1
In this study, a microgrid with storage (battery, hot water tank) and solar panel is considered. We benchmark two algorithms, MPC and SDDP, that yield online policies to manage the…