Regression based duality approach to optimal control with application to hydro electricity storage
Date
2016
Volume
2330
Issue
Journal
Series Titel
Book Title
Publisher
Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik
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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
Stochastic optimal control, dual martingale method, hydro electricity storage
Citation
Hildebrand, R., Schoenmakers, J., Zhang, J., & Dickmann, F. (2016). Regression based duality approach to optimal control with application to hydro electricity storage (Vol. 2330). Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik.
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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.