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hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
hal.structure.identifierLaboratoire de Finance des Marchés d'Energie [FiME Lab]
hal.structure.identifierOptimisation, Simulation, Risque et Statistiques pour les Marchés de l’Energie [EDF R&D OSIRIS]
dc.contributor.authorSeguret, Adrien
hal.structure.identifierDépartement d'informatique - ENS Paris [DI-ENS]
dc.contributor.authorLe Corre, Thomas
hal.structure.identifierLaboratoire de Finance des Marchés d'Energie [FiME Lab]
hal.structure.identifierOptimisation, Simulation, Risque et Statistiques pour les Marchés de l’Energie [EDF R&D OSIRIS]
dc.contributor.authorOudjane, Nadia
dc.date.accessioned2023-01-11T12:30:11Z
dc.date.available2023-01-11T12:30:11Z
dc.date.issued2022
dc.identifier.urihttps://basepub.dauphine.psl.eu/handle/123456789/23676
dc.language.isoenen
dc.subject.ddc515en
dc.titleA decentralized algorithm for a Mean Field Control problem of Piecewise Deterministic Markov Processesen
dc.typeDocument de travail / Working paper
dc.description.abstractenThis paper provides a decentralized approach for the control of a population of N agents to minimize an aggregate cost. Each agent evolves independently according to a Piecewise Deterministic Markov dynamics controlled via unbounded jumps intensities. The N-agent high dimensional stochastic control problem is approximated by the limiting mean field control problem. A Lagrangian approach is proposed. Although the mean field control problem is not convex, it is proved to achieve zero duality gap. A stochastic version of the Uzawa algorithm is shown to converge to the primal solution. At each dual iteration of the algorithm, each agent solves its own small dimensional sub problem by means of the Dynamic Programming Principal, while the dual multiplier is updated according to the aggregate response of the agents. Finally, this algorithm is used in a numerical simulation to coordinate the charging of a large fleet of electric vehicles (EVs for short) in order to track a target consumption profile. * This research benefited from the support of the FMJH Program Gaspard Monge for optimization and operations research and their interactions with data science.en
dc.publisher.cityParisen
dc.identifier.citationpages17en
dc.relation.ispartofseriestitleCahier de recherche CEREMADE, Université Paris Dauphine-PSLen
dc.subject.ddclabelAnalyseen
dc.identifier.citationdate2022
dc.description.ssrncandidatenon
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2023-01-11T12:25:30Z
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