A limited-feedback approximation scheme for optimal switching problems with execution delays

DOI10.1007/S00186-017-0620-2MaRDI QIDQ1650845zbMATH OpenOpenAlexWikidataFDO

Authors Magnus Perninge

Publication date 13 July 2018

Published in Mathematical Methods of Operations Research (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1605.00606

zbMATH Keywords

delivery lagexecution delayimpulse controlnumerical algorithmoptimal switchingreal optionsSnell envelopestopping time

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Abstract: We consider a type of optimal switching problems with non-uniform execution delays and ramping. Such problems frequently occur in the operation of economical and engineering systems. We first provide a solution to the problem by applying a probabilistic method. The main contribution is, however, a scheme for approximating the optimal control by limiting the information in the state-feedback. In a numerical example the approximation routine gives a considerable computational performance enhancement, when compared to a conventional algorithm.

Review text

Motivated by applications to economical and engineering systems, the author considers a class of optimal switching problems with non-uniform execution delays and ramping, for which solutions are obtained via a probabilistic method, the state space augmentation. A scheme for approximating the optimal control by limiting the information in the state-feedback is provided, too, while the corresponding approximation routine turns out to perform better than the conventional algorithms in case of a concrete tracking problem that is investigated as a numerical example.

Recommendations

• A two-scale scheme for finite horizon switching problems with delays
• On the finite horizon optimal switching problem with random lag
• A finite horizon optimal switching problem with memory and application to controlled SDDEs
• Optimal control of switched systems with time delay
• Stochastic optimal control problem of constrained switching system with delay

Cites work

• A finite horizon optimal multiple switching problem
• A probabilistic numerical method for optimal multiple switching problems in high dimension
• Dynamic programming and optimal control. Vol. 1.
• Explicit investment rules with time-to-build and uncertainty
• Explicit Solution of Inventory Problems with Delivery Lags
• scientific article; zbMATH DE number 1577097 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 1325009 (Why is no real title available?)
• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• Impulse control problem on finite horizon with execution delay
• Irreversible investments with delayed reaction: an application to generation re-dispatch in power system operation
• Optimal stochastic impulse control with delayed reaction
• Pricing Asset Scheduling Flexibility using Optimal Switching
• Probability: A Graduate Course
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• The finite horizon optimal multi-modes switching problem: the viscosity solution approach
• Time-to-build and capacity choice
• Valuing American options by simulation: a simple least-squares approach

Cited in

(4)

• An algorithm for hazard-free minimization of incompletely specified switching function
• On the finite horizon optimal switching problem with random lag
• Management strategies for run-of-river hydropower plants: an optimal switching approach
• A two-scale scheme for finite horizon switching problems with delays

This page was built for publication: A limited-feedback approximation scheme for optimal switching problems with execution delays

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1650845)