WIAS Preprint No. 2330, (2016)

Regression based duality approach to optimal control with application to hydro electricity storage



Authors

  • Hildebrand, Roland
  • Schoenmakers, John G. M.
  • Zhang, Jianing
  • Dickmann, Fabian

2010 Mathematics Subject Classification

  • 49J21 65C05

Keywords

  • stochastic optimal control, dual martingale method, hydro electricity storage

DOI

10.5072/WIAS.PREPRINT.2330

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.

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