Energy contracts management by stochastic programming techniques
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Cites work
- scientific article; zbMATH DE number 1321699 (Why is no real title available?)
- scientific article; zbMATH DE number 663895 (Why is no real title available?)
- A heuristic for moment-matching scenario generation
- A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
- An analysis of temporal-difference learning with function approximation
- An approximate dynamic programming approach to benchmark practice-based heuristics for natural gas storage valuation
- Analysis of stochastic dual dynamic programming method
- Average cost Markov control processes: Stability with respect to the Kantorovich metric
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Cut sharing for multistage stochastic linear programs with interstage dependency
- Error analysis of the optimal quantization algorithm for obstacle problems.
- Evaluation of scenario generation methods for stochastic programming
- Foundations of quantization for probability distributions
- Introduction to stochastic programming.
- Lectures on Stochastic Programming
- Multi-stage stochastic optimization applied to energy planning
- On the convergence of stochastic dual dynamic programming and related methods
- Optimal Quantization for the Pricing of Swing Options
- Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
- Scenario reduction algorithms in stochastic programming
- Scenario reduction in stochastic programming
- Scenario tree generation for multiperiod financial optimization of optimal discretization
- Stability and scenario trees for multistage stochastic programs
- Stability of Multistage Stochastic Programs
- Valuing American options by simulation: a simple least-squares approach
Cited in
(15)- Optimal deterministic and robust selection of electricity contracts
- Integrated day-ahead and intraday self-schedule bidding for energy storage systems using approximate dynamic programming
- Gas storage valuation in incomplete markets
- Sensitivity analysis of energy contracts by stochastic programming techniques
- A review of the operations literature on real options in energy
- Volatility uncertainty quantification in a stochastic control problem applied to energy
- Quantization meets Fourier: a new technology for pricing options
- Increasing reliability of price signals in long term energy management problems
- Modeling time-dependent randomness in stochastic dual dynamic programming
- Sharp rate for the dual quantization problem
- Stochastic programming models for replication of electricity forward contracts for industry
- MIDAS: a mixed integer dynamic approximation scheme
- Optimal design of bilateral contracts for energy procurement
- Risk neutral and risk averse approaches to multistage renewable investment planning under uncertainty
- Bounds on risk-averse mixed-integer multi-stage stochastic programming problems with mean-CVaR
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