A stochastic minimum principle and an adaptive pathwise algorithm for stochastic optimal control
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Webster_A stochastic minimum.pdf
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Author(s)
Parpas, Panos
Webster, Mort
Date Issued
April 2013
Journal
Automatica
Publisher
Elsevier
Citation
Parpas, Panos, and Mort Webster. “A Stochastic Minimum Principle and an Adaptive Pathwise Algorithm for Stochastic Optimal Control.” Automatica 49, no. 6 (June 2013): 1663–1671.
Version
Author's final manuscript
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.
MIT Department
Massachusetts Institute of Technology. Engineering Systems Division
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Creative Commons Attribution-Noncommercial-NoDerivatives
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DOI of Published Version
https://doi.org/10.1016/j.automatica.2013.02.053
