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

DOI10.1007/S00186-017-0620-2zbMATH Open1395.93579arXiv1605.00606OpenAlexW2964311229WikidataQ59612063 ScholiaQ59612063MaRDI QIDQ1650845FDOQ1650845

Authors: Magnus Perninge 

Publication date: 13 July 2018

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

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.

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

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zbMATH Keywords

stopping timereal optionsnumerical algorithmoptimal switchingimpulse controlSnell envelopeexecution delaydelivery lag

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)

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Cited In (4)

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

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