  In this paper, we present an Uzawa-based heuristic that is adapted to some
type of stochastic optimal control problems. More precisely, we consider
dynamical systems that can be divided into small-scale independent subsystems,
though linked through a static almost sure coupling constraint at each time
step. This type of problem is common in production/portfolio management where
subsystems are, for instance, power units, and one has to supply a stochastic
power demand at each time step. We outline the framework of our approach and
present promising numerical results on a simplified power management problem.

Optimization and Control