We consider impulse control problems where the system controller can intervene in the state process by means of jumps in the underlying state space. So far, it has not been possible to efficiently solve these problems numerically in high dimensions due to the dreaded “curse of dimensionality.” To tackle this challenge, we introduce a novel deep-learning framework. Grounded in the theory of...
Context
In the context of the emerging risks faced by the electrical grid, a number of initiatives have been launched by major players to devise innovative ways of operating the power grid based on optimization and machine learning [1-3].
Among them, RTE, French TSO, is animating the L2RPN competition (Learning to Run a Power Network) [2] to encourage the development of solutions based...