4 citations · 4 across the 3 of their papers we have counts for
4 papers
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…
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…
A comparison of sample-based Stochastic Optimal Control methods
Pierre Girardeau
In this paper, we compare the performance of two scenario-based numerical methods to solve stochastic optimal control problems: scenario trees and particles. The problem consists i…
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…