Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
696590 | Automatica | 2013 | 9 Pages |
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.
Related Topics
Physical Sciences and Engineering
Engineering
Control and Systems Engineering
Authors
Panos Parpas, Mort Webster,