A Limited-Feedback Approximation Scheme for Optimal Switching Problems with Execution Delays
(2016) In Optimization and Control (math.OC)- Abstract
- We consider a type of optimal switching problems with non-uniform execution delays and ramping. Such problems frequently occur in the operation of economical and engineering systems. We first provide a solution to the problem by applying a probabilistic method. The main contribution is, however, a scheme for approximating the optimal control by limiting the information in the state-feedback. In a numerical example the approximation routine shows a considerable computational performance enhancement when compared to a conventional algorithm.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/9e6b4909-27e4-48f6-954a-7b23e8c5aba8
- author
- Perninge, Magnus LU
- organization
- publishing date
- 2016-09-22
- type
- Working paper/Preprint
- publication status
- published
- subject
- in
- Optimization and Control (math.OC)
- issue
- arXiv:1605.00606v2
- publisher
- arXiv.org
- project
- Stochastic Control Approach to Optimal Power System Operation
- language
- English
- LU publication?
- yes
- id
- 9e6b4909-27e4-48f6-954a-7b23e8c5aba8
- alternative location
- https://arxiv.org/abs/1605.00606
- date added to LUP
- 2017-02-14 12:21:53
- date last changed
- 2018-11-21 21:29:45
@misc{9e6b4909-27e4-48f6-954a-7b23e8c5aba8, abstract = {{We consider a type of optimal switching problems with non-uniform execution delays and ramping. Such problems frequently occur in the operation of economical and engineering systems. We first provide a solution to the problem by applying a probabilistic method. The main contribution is, however, a scheme for approximating the optimal control by limiting the information in the state-feedback. In a numerical example the approximation routine shows a considerable computational performance enhancement when compared to a conventional algorithm.}}, author = {{Perninge, Magnus}}, language = {{eng}}, month = {{09}}, note = {{Working Paper}}, number = {{arXiv:1605.00606v2}}, publisher = {{arXiv.org}}, series = {{Optimization and Control (math.OC)}}, title = {{A Limited-Feedback Approximation Scheme for Optimal Switching Problems with Execution Delays}}, url = {{https://arxiv.org/abs/1605.00606}}, year = {{2016}}, }