Upper and Lower Bounds for Large Scale Multistage Stochastic Optimization Problems: Decomposition Methods

We consider a large scale multistage stochastic optimization problem involving multiple units. Each unit is a (small) control system. Static constraints couple units at each stage. To tackle such large scale problems, we propose two decomposition methods, whether handling the coupling constraints by prices or by resources. We introduce the sequence (one per stage) of … Read more

Upper and Lower Bounds for Large Scale Multistage Stochastic Optimization Problems: Application to Microgrid Management

We consider a microgrid where different prosumers exchange energy altogether by the edges of a given network. Each prosumer is located to a node of the network and encompasses energy consumption, energy production and storage capacities (battery, electrical hot water tank). The problem is coupled both in time and in space, so that a direct … Read more

Exact converging bounds for Stochastic Dual Dynamic Programming via Fenchel duality

The Stochastic Dual Dynamic Programming (SDDP) algorithm has become one of the main tools to address convex multistage stochastic optimal control problem. Recently a large amount of work has been devoted to improve the convergence speed of the algorithm through cut-selection and regularization, or to extend the field of applications to non-linear, integer or risk-averse … Read more

Decomposition of large-scale stochastic optimal control problems

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 divided into small-scale independent subsystems, though linked through a static almost sure coupling constraint at each time step. This type of problem is common in production/portfolio management … Read more