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Subject: Stochastic optimal control × WGL Institute: WIAS ×

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    Regression based duality approach to optimal control with application to hydro electricity storage
    (Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2016) Hildebrand, Roland; Schoenmakers, John; Zhang, Jianing; Dickmann, Fabian
    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.