Price decomposition in large-scale stochastic optimal control

Kengy Barty, Pierre Carpentier and Guy Cohen

december, 2010

Publication type:

Preprint

HAL:

hal-00545099

arXiv:

1012.2092

Keywords :

Stochastic optimal control; Decomposition methods; Dynamic Programming;

BibTeX:

@preprint{Bar-Car-Coh-2010,
    title={Price decomposition in large-scale stochastic optimal control },
    year={2010 },
    month={12},
    comment={{umatype:'preprint'}},
}