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Decomposition of high dimensional aggregative stochastic control problems

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 نشر من قبل Adrien Seguret
 تاريخ النشر 2020
  مجال البحث
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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 $varepsilon$-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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