A stochastic minimum principle and an adaptive pathwise algorithm for stochastic optimal control
نویسندگان
چکیده
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.Wepresent results froma standard linear quadratic controlmodel, and a realistic case study that captures the stochastic dynamics of intermittent power generation in the context of optimal economic dispatch models. © 2013 Elsevier Ltd. All rights reserved.
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ورودعنوان ژورنال:
- Automatica
دوره 49 شماره
صفحات -
تاریخ انتشار 2013