Výsledky vyhledávání - "Hinz *, Juri"

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rcss: Subgradient and duality approach for dynamic programming

Autor: Hinz, Juri, Yee, Jeremy

This short paper gives an introduction to the \emph{rcss} package. The R package \emph{rcss} provides users with a tool to approximate the value functions in the Bellman recursion using convex piecewise linear functions formed using operations on tan

Externí odkaz: http://arxiv.org/abs/1801.06029

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Optimal Forward Trading and Battery Control Under Renewable Electricity Generation

Autor: Hinz, Juri, Yee, Jeremy

The increased market penetration of renewable energy sources and the rapid development of electric battery storage technologies yield a potential for reducing electricity price volatility while maintaining stability of the power grid. This work prese

Externí odkaz: http://arxiv.org/abs/1706.03310

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Commodity Resource Valuation And Extraction: A Pathwise Programming Approach

Autor: Hinz, Juri, Tarnopolskaya, Tanya, Yee, Jeremy

Complexity and uncertainty associated with commodity resource valuation and extraction requires stochastic control methods suitable for high dimensional states. Recent progress in duality and trajectory-wise techniques has introduced a variety of fre

Externí odkaz: http://arxiv.org/abs/1602.00210

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On fair pricing of emission-related derivatives

Autor: Hinz, Juri, Novikov, Alex

Publikováno v: Bernoulli 2010, Vol. 16, No. 4, 1240-1261

Tackling climate change is at the top of many agendas. In this context, emission trading schemes are considered as promising tools. The regulatory framework for an emission trading scheme introduces a market for emission allowances and creates a need

Externí odkaz: http://arxiv.org/abs/1011.5792

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