Mixed Spatial and Temporal Decompositions for Large-Scale Multistage Stochastic Optimization Problems

  title={Mixed Spatial and Temporal Decompositions for Large-Scale Multistage Stochastic Optimization Problems},
  author={P. Carpentier and J. Chancelier and M. Lara and F. Pacaud},
  journal={J. Optim. Theory Appl.},
We consider multistage stochastic optimization problems involving multiple units. Each unit is a (small) control system. Static constraints couple units at each stage. We present a mix of spatial and temporal decompositions to tackle such large scale problems. More precisely, we obtain theoretical bounds and policies by means of two methods, depending on whether the coupling constraints are handled by prices or by resources. We study both centralized and decentralized information structures. We… Expand

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