A stochastic minimum principle and an adaptive pathwise algorithm for stochastic optimal control

Authors:
Panos Parpas;Mort Webster
Affiliations:
-;-
Venue:
Automatica (Journal of IFAC)
Year:
2013

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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.