Regression based duality approach to optimal control with application to hydro electricity storage
| dc.bibliographicCitation.seriesTitle | WIAS Preprints | eng |
| dc.bibliographicCitation.volume | 2330 | |
| dc.contributor.author | Hildebrand, Roland | |
| dc.contributor.author | Schoenmakers, John | |
| dc.contributor.author | Zhang, Jianing | |
| dc.contributor.author | Dickmann, Fabian | |
| dc.date.accessioned | 2016-12-19T22:47:24Z | |
| dc.date.available | 2019-06-28T08:02:11Z | |
| dc.date.issued | 2016 | |
| dc.description.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. | |
| dc.description.version | publishedVersion | eng |
| dc.format | application/pdf | |
| dc.identifier.issn | 2198-5855 | |
| dc.identifier.uri | https://doi.org/10.34657/3063 | |
| dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/1752 | |
| dc.language.iso | eng | eng |
| dc.publisher | Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik | |
| dc.relation.issn | 0946-8633 | eng |
| dc.rights.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. | ger |
| dc.rights.license | 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. | eng |
| dc.subject.ddc | 510 | |
| dc.subject.other | Stochastic optimal control | eng |
| dc.subject.other | dual martingale method | eng |
| dc.subject.other | hydro electricity storage | eng |
| dc.title | Regression based duality approach to optimal control with application to hydro electricity storage | |
| dc.type | Report | eng |
| dc.type | Text | eng |
| tib.accessRights | openAccess | eng |
| wgl.contributor | WIAS | eng |
| wgl.subject | Mathematik | eng |
| wgl.type | Report / Forschungsbericht / Arbeitspapier | eng |
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