4 citations · 6 across the 3 of their papers we have counts for
3 papers · 1 filter
Price decomposition in large-scale stochastic optimal control
Kengy Barty, Pierre Carpentier, Guy Cohen +1
We are interested in optimally driving a dynamical system that can be influenced by exogenous noises. This is generally called a Stochastic Optimal Control (SOC) problem and the Dy…
Particle Methods For Stochastic Optimal Control Problems
Pierre Carpentier, Guy Cohen, Anes Dallagi
To tackle the difficulties faced by both stochastic dynamic programming and scenario tree methods, we present some variational approach for numerical solution of stochastic optimal…
Decomposition of large-scale stochastic optimal control problems
Kengy Barty, Pierre Carpentier, Pierre Girardeau
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 di…