A stochastic minimum principle and an adaptive pathwise algorithm for stochastic optimal control

Panos Parpas; Mort Webster

doi:10.1016/j.automatica.2013.02.053

A stochastic minimum principle and an adaptive pathwise algorithm for stochastic optimal control

Panos Parpas, Mort Webster

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Abstract

We present a numerical method for finite-horizon stochastic optimal control models. We derive a stochastic minimum principle (SMP) and then develop a numerical method based on the direct solution of the SMP. The method combines Monte Carlo pathwise simulation and non-parametric interpolation methods. We present results from a standard linear quadratic control model, and a realistic case study that captures the stochastic dynamics of intermittent power generation in the context of optimal economic dispatch models.

Original language	English (US)
Pages (from-to)	1663-1671
Number of pages	9
Journal	Automatica
Volume	49
Issue number	6
DOIs	https://doi.org/10.1016/j.automatica.2013.02.053
State	Published - Jun 2013

All Science Journal Classification (ASJC) codes

Control and Systems Engineering
Electrical and Electronic Engineering

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10.1016/j.automatica.2013.02.053

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title = "A stochastic minimum principle and an adaptive pathwise algorithm for stochastic optimal control",

abstract = "We present a numerical method for finite-horizon stochastic optimal control models. We derive a stochastic minimum principle (SMP) and then develop a numerical method based on the direct solution of the SMP. The method combines Monte Carlo pathwise simulation and non-parametric interpolation methods. We present results from a standard linear quadratic control model, and a realistic case study that captures the stochastic dynamics of intermittent power generation in the context of optimal economic dispatch models.",

author = "Panos Parpas and Mort Webster",

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AU - Webster, Mort

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AB - We present a numerical method for finite-horizon stochastic optimal control models. We derive a stochastic minimum principle (SMP) and then develop a numerical method based on the direct solution of the SMP. The method combines Monte Carlo pathwise simulation and non-parametric interpolation methods. We present results from a standard linear quadratic control model, and a realistic case study that captures the stochastic dynamics of intermittent power generation in the context of optimal economic dispatch models.

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SP - 1663

EP - 1671

JO - Automatica

JF - Automatica

IS - 6

ER -

A stochastic minimum principle and an adaptive pathwise algorithm for stochastic optimal control

Abstract

All Science Journal Classification (ASJC) codes

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