Regression based duality approach to optimal control with application to hydro electricity storage
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Date
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2330
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Journal
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WIAS Preprints
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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.
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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.