A comparison of optimal control and stochastic programming from a formulation and computation perspective.
Lifei ChengEswaran SubrahmanianArthur WesterbergPublished in: Comput. Chem. Eng. (2004)
Keyphrases
- optimal control
- stochastic programming
- asset liability management
- multistage
- robust optimization
- dynamic programming
- chance constrained
- linear program
- control problems
- control strategy
- feedback control
- optimal control problems
- infinite horizon
- reinforcement learning
- machine learning
- mixed integer
- control law
- decision making
- real time