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math.OC2009★ 2 cited
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…
math.OC2009
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…