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
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numerical solutionirreversible investmentimpulse controlSnell envelopereflected BSDEdelayed reactionpower system operation
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)
Cites Work
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- Valuation of power plants by utility indifference and numerical computation
- Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
- Optimal stochastic impulse control with delayed reaction
- A finite horizon optimal multiple switching problem
- Discrete-time approximation of multidimensional BSDEs with oblique reflections
- The finite horizon optimal multi-modes switching problem: the viscosity solution approach
- ON A FINITE HORIZON STARTING AND STOPPING PROBLEM WITH RISK OF ABANDONMENT
- Time-to-build and capacity choice
- Modeling electricity loads in California: ARMA models with hyperbolic noise
Cited In (8)
- A full balance sheet two-mode optimal switching problem
- Title not available (Why is that?)
- A discrete model for optimal operation of fossil-fuel generators of electricity
- On the finite horizon optimal switching problem with random lag
- On the equality of solutions of max-min and min-max systems of variational inequalities with interconnected bilateral obstacles
- Transmission and generation investment in electricity markets: the effects of market splitting and network fee regimes
- A limited-feedback approximation scheme for optimal switching problems with execution delays
- Pricing Asset Scheduling Flexibility using Optimal Switching
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