A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems
DOI10.1515/mcma-2021-2095zbMath1480.60181arXiv2104.13641OpenAlexW3214233660WikidataQ114052802 ScholiaQ114052802MaRDI QIDQ2066980
Nadia Oudjane, Lucas Izydorczyk, Francesco Russo
Publication date: 17 January 2022
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2104.13641
stochastic controlHJB equationOrnstein-Uhlenbeck processesdemand-side managementprobabilistic representation of PDEsregression Monte-Carlo schemetime-reversal of diffusion
Monte Carlo methods (65C05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Semilinear parabolic equations (35K58)
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