Irreversible investments with delayed reaction: an application to generation re-dispatch in power system operation

DOI10.1007/S00186-013-0459-0zbMATH Open1303.91086OpenAlexW2122490312MaRDI QIDQ2454075FDOQ2454075

Authors Magnus Perninge, Lennart Söder

Publication date 12 June 2014

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

Full work available at URL https://doi.org/10.1007/s00186-013-0459-0

zbMATH Keywords

numerical solutionirreversible investmentimpulse controlSnell envelopereflected BSDEdelayed reactionpower system operation

Mathematics Subject Classification ID

Dynamic programming (90C39) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic network models in operations research (90B15) Optimal stochastic control (93E20)

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Cites work

• A finite horizon optimal multiple switching problem
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• Discrete-time approximation of multidimensional BSDEs with oblique reflections
• Martingale estimation functions for discretely observed diffusion processes
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• ON A FINITE HORIZON STARTING AND STOPPING PROBLEM WITH RISK OF ABANDONMENT
• On the Starting and Stopping Problem: Application in Reversible Investments
• Optimal stochastic impulse control with delayed reaction
• Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
• Pricing Asset Scheduling Flexibility using Optimal Switching
• 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
• Valuation of power plants by utility indifference and numerical computation
• Valuing American options by simulation: a simple least-squares approach

Cited in

(8)

• A discrete model for optimal operation of fossil-fuel generators of electricity
• A full balance sheet two-mode optimal switching problem
• scientific article; zbMATH DE number 3869053 (Why is no real title available?)
• On the finite horizon optimal switching problem with random lag
• Transmission and generation investment in electricity markets: the effects of market splitting and network fee regimes
• On the equality of solutions of max-min and min-max systems of variational inequalities with interconnected bilateral obstacles
• A limited-feedback approximation scheme for optimal switching problems with execution delays
• Pricing Asset Scheduling Flexibility using Optimal Switching

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