| Autor: |
Hildebrand, Roland, Schoenmakers, John G. M., Zhang, Jianing, Dickmann, Fabian |
| Rok vydání: |
2016 |
| Předmět: |
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| DOI: |
10.20347/wias.preprint.2330 |
| Popis: |
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. |
| Databáze: |
OpenAIRE |
| Externí odkaz: |
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