Finding a compromise between viability maximization and cost minimization: A stochastic dynamic programming algorithm - INRAE - Institut national de recherche pour l’agriculture, l’alimentation et l’environnement
Conference Papers Year : 2013

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

Trouver des compromis entre maximisation de la viabilité et minimisation du coût : un algorithme de programmation dynamique

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.
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Dates and versions

hal-02599048 , version 1 (16-05-2020)

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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⟩
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