Skip to Main content Skip to Navigation
Conference papers

Finding a compromise between viability maximization and cost minimization: A stochastic dynamic programming algorithm

Abstract : In a stochastic controlled dynamical system, stochastic dynamic programming is used for either cost minimization or viability maximization. We propose a change in variables that enables the minimization of a linear combination of expected costs and exit probabilities, thus effectively combining the expected value and worst-case approaches to a problem. The resulting algorithm facilitates the discussion of the possible trade-offs between the two kind of objectives through an example of water supply from a reservoir.
Document type :
Conference papers
Complete list of metadata

https://hal.inrae.fr/hal-02599048
Contributor : Migration Irstea Publications <>
Submitted on : Saturday, May 16, 2020 - 1:24:01 AM
Last modification on : Wednesday, March 24, 2021 - 3:35:06 AM

Identifiers

  • HAL Id : hal-02599048, version 1
  • IRSTEA : PUB00039467

Collections

Citation

Charlène Rougé, Jean-Denis Mathias, Guillaume Deffuant. Finding a compromise between viability maximization and cost minimization: A stochastic dynamic programming algorithm. 2nd International Workshop "Aux frontières de la viabilité et de l'économie", Université Paris Dauphine, Nov 2013, Paris, France. ⟨hal-02599048⟩

Share

Metrics

Record views

11