Intraday renewable electricity trading: advanced modeling and numerical optimal control

DOI10.1186/s13362-020-0071-xzbMath1462.49056MaRDI QIDQ2022115

Yanyan Li

Publication date: 27 April 2021

Published in: Journal of Mathematics in Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13362-020-0071-x

zbMATH Keywords

Hamilton-Jacobi-Bellman equation; numerical optimization; intraday trading

Mathematics Subject Classification ID

65K10: Numerical optimization and variational techniques

91G80: Financial applications of other theories

35D40: Viscosity solutions to PDEs

35F21: Hamilton-Jacobi equations

49M41: PDE constrained optimization (numerical aspects)