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

Panos Parpas, Mort Webster

Research output: Contribution to journalArticle

4 Citations (Scopus)

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 languageEnglish (US)
Pages (from-to)1663-1671
Number of pages9
JournalAutomatica
Volume49
Issue number6
DOIs
StatePublished - Jun 1 2013

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Adaptive algorithms
Numerical methods
Power generation
Interpolation
Economics

All Science Journal Classification (ASJC) codes

  • Control and Systems Engineering
  • Electrical and Electronic Engineering

Cite this

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A stochastic minimum principle and an adaptive pathwise algorithm for stochastic optimal control. / Parpas, Panos; Webster, Mort.

In: Automatica, Vol. 49, No. 6, 01.06.2013, p. 1663-1671.

Research output: Contribution to journalArticle

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