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Decomposition of High Dimensional Aggregative Stochastic Control Problems

Abstract : We consider the framework of high dimensional stochastic control problem, in which the controls are aggregated in the cost function. As first contribution we introduce a modified problem, whose optimal control is under some reasonable assumptions an ε-optimal solution of the original problem. As second contribution, we present a decentralized algorithm whose convergence to the solution of the modified problem is established. Finally, we study the application to a problem of coordination of energy consumption and production of domestic appliances.
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Submitted on : Thursday, September 17, 2020 - 10:07:43 AM
Last modification on : Saturday, May 1, 2021 - 3:38:59 AM


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  • HAL Id : hal-02917014, version 3


Adrien Seguret, Clémence Alasseur, J Frédéric Bonnans, Antonio de Paola, Nadia Oudjane, et al.. Decomposition of High Dimensional Aggregative Stochastic Control Problems. 2020. ⟨hal-02917014v3⟩



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