Laurent Pfeiffer In this article, we study and compare two approaches to solving stochastic optimal control problems with an expectation constraint on the final state. The case of a probability constraint is included in this framework. The first approach is based on a dynamic programming principle and the second one uses Lagrange relaxation. These approaches can be … Read more
In this report, we state and prove first- and second-order necessary conditions in Pontryagin form for optimal control problems with pure state and mixed control-state constraints. We say that a Lagrange multiplier of an optimal control problem is a Pontryagin multiplier if it is such that Pontryagin’s minimum principle holds, and we call optimality conditions … Read more
In this report, given a reference feasible trajectory of an optimal control problem, we say that the quadratic growth property for bounded strong solutions holds if the cost function of the problem has a quadratic growth over the set of feasible trajectories with a bounded control and with a state variable sufficiently close to the … Read more
In this article, we describe a gas portfolio management problem, which is solved with the SDDP (Stochastic Dual Dynamic Programming) algorithm. We present some improvements of this algorithm and focus on methods of pruning Benders’ cuts, that is to say, methods of picking out the most relevant cuts among those which have been computed. Our … Read more
In this article, we compute a second-order expansion of the value function of a family of relaxed optimal control problems with final-state constraints, parameterized by a perturbation variable. The sensitivity analysis is performed for controls that we call R-strong solutions. They are optimal solutions with respect to the set of feasible controls with a uniform … Read more
Nuclear power plants must be regularly shut down in order to perform refueling and maintenance operations. The scheduling of the outages is the first problem to be solved in electricity production management. It is a hard combinatorial problem for which an exact solving is impossible. Our approach consists in modelling the problem by a two-level … Read more