Regression based duality approach to optimal control with application to hydro electricity storage
Loading...
Date
Editor
Advisor
Volume
2330
Issue
Journal
Series Titel
WIAS Preprints
Book Title
Publisher
Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik
Supplementary Material
Other Versions
Link to publishers' Version
Abstract
In this paper we consider the problem of optimal control of stochastic processes. We employ the dual martingale method brought forward in [Brown, Smith, and Sun, 2010]. The martingale constituting the solution of the dual problem is determined by linear regression within a Monte-Carlo approach. We apply the solution algorithm to a model of a hydro electricity storage and production system coupled with a model of the electricity wholesale market.
Description
Keywords GND
Conference
Publication Type
Report
Version
publishedVersion
Collections
License
Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden.
This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties.
This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties.