3 papers
math.OC2023
Decomposition Methods for Dynamically Monotone Two-Time-Scale Stochastic Optimization Problems
Tristan Rigaut, Pierre Carpentier, Jean-Philippe Chancelier +1
In energy management, it is common that strategic investment decisions (storage capacity, production units) are made at a slow time scale, whereas operational decisions (storage, p…
math.OC2022
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…
math.OC2010
Dynamic consistency for Stochastic Optimal Control problems
Pierre Carpentier, Jean-Philippe Chancelier, Guy Cohen +2
For a sequence of dynamic optimization problems, we aim at discussing a notion of consistency over time. This notion can be informally introduced as follows. At the very first time…