| dc.contributor.author | Parpas, Panos | |
| dc.contributor.author | Webster, Mort | |
| dc.date.accessioned | 2015-10-28T12:38:18Z | |
| dc.date.available | 2015-10-28T12:38:18Z | |
| dc.date.issued | 2013-04 | |
| dc.date.submitted | 2012-12 | |
| dc.identifier.issn | 00051098 | |
| dc.identifier.uri | http://hdl.handle.net/1721.1/99483 | |
| dc.description.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. | en_US |
| dc.description.sponsorship | National Science Foundation (U.S.) (Grant 1128147) | en_US |
| dc.description.sponsorship | United States. Dept. of Energy. Office of Science (Biological and Environmental Research Program Grant DE-SC0005171) | en_US |
| dc.description.sponsorship | United States. Dept. of Energy. Office of Science (Biological and Environmental Research Program Grant DE-SC0003906) | en_US |
| dc.language.iso | en_US | |
| dc.publisher | Elsevier | en_US |
| dc.relation.isversionof | http://dx.doi.org/10.1016/j.automatica.2013.02.053 | en_US |
| dc.rights | Creative Commons Attribution-Noncommercial-NoDerivatives | en_US |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/ | en_US |
| dc.source | MIT Web Domain | en_US |
| dc.title | A stochastic minimum principle and an adaptive pathwise algorithm for stochastic optimal control | en_US |
| dc.type | Article | en_US |
| dc.identifier.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. | en_US |
| dc.contributor.department | Massachusetts Institute of Technology. Engineering Systems Division | en_US |
| dc.contributor.mitauthor | Webster, Mort | en_US |
| dc.relation.journal | Automatica | en_US |
| dc.eprint.version | Author's final manuscript | en_US |
| dc.type.uri | http://purl.org/eprint/type/JournalArticle | en_US |
| eprint.status | http://purl.org/eprint/status/PeerReviewed | en_US |
| dspace.orderedauthors | Parpas, Panos; Webster, Mort | en_US |
| mit.license | PUBLISHER_CC | en_US |
| mit.metadata.status | Complete | |
