5 citations · 12 across the 21 of their papers we have counts for
Showing 2010Show all
2 papers · 1 filter
math.OC2010★ 4 cited
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…
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…