A limited-feedback approximation scheme for optimal switching problems with execution delays |
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Authors: | Magnus Perninge |
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Institution: | 1.Department of Physics and Electrical Engineering,Linnaeus University,V?xj?,Sweden |
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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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