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A limited-feedback approximation scheme for optimal switching problems with execution delays

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  • Magnus Perninge

    (Linnaeus University)

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.

Suggested Citation

  • Magnus Perninge, 2018. "A limited-feedback approximation scheme for optimal switching problems with execution delays," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 87(3), pages 347-382, June.
    • Handle: RePEc:spr:mathme:v:87:y:2018:i:3:d:10.1007_s00186-017-0620-2
    DOI: 10.1007/s00186-017-0620-2
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    References listed on IDEAS

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