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A Limited-Feedback Approximation Scheme for Optimal Switching Problems with Execution Delays

Perninge, Magnus LU (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.
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author
organization
publishing date
type
Working Paper
publication status
published
subject
in
Optimization and Control (math.OC)
issue
arXiv:1605.00606v2
publisher
arXiv.org
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
2017-02-14 12:21:53
@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},
  year         = {2016},
}