Portfolio Management and Stochastic Optimization in Discrete Time: An Application to Intraday Electricity Trading and Water Values for Hydroassets
| Autor: | Luisa Tibiletti, Simone Farinelli |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2017 |
| Předmět: |
Stochastic market
Mathematical optimization 021103 operations research Logarithm Stochastic multiperiod optimization 020209 energy Diagonal MathematicsofComputing_NUMERICALANALYSIS 0211 other engineering and technologies Blomvall and Lindberg interior point model Logarithmic barrier approach Energy Markets Spot and Intraday Prices 02 engineering and technology Function (mathematics) Newton's method in optimization symbols.namesake Discrete time and continuous time 0202 electrical engineering electronic engineering information engineering Taylor series symbols Stochastic optimization Interior point method Mathematics |
| Zdroj: | Operations Research Proceedings ISBN: 9783319429014 OR |
| Popis: | Hydro storage system optimization is becoming one of the most challenging task in Energy Finance. Following the Blomvall and Lindberg (2002) interior point model, we set up a stochastic multiperiod optimization procedure by means of a “bushy” recombining tree that provides fast computational results. Inequality constraints are packed into the objective function by the logarithmic barrier approach and the utility function is approximated by its second order Taylor polynomial. The optimal solution for the original problem is obtained as a diagonal sequence where the first diagonal dimension is the parameter controlling the logarithmic penalty and the second is the parameter for the Newton step in the construction of the approximated solution. Optimimal intraday electricity trading and water values for hydroassets are computed. The algorithm is implemented in Mathematica. |
| Databáze: | OpenAIRE |
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