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arXiv · 1605.00606

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

Magnus Perninge
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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 gives a considerable computational performance enhancement, when compared to a conventional algorithm.

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Magnus Perninge. 2017-02-14. A Limited-Feedback Approximation Scheme for Optimal Switching Problems with Execution Delays. https://arxiv.org/abs/1605.00606

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