Sensitivity Analysis of Energy Contracts by Stochastic Programming Techniques

DOI10.1007/978-3-642-25746-9_15zbMath1269.90070OpenAlexW2133755802MaRDI QIDQ2917446

Thibault Christel, Zhihao Cen, Joseph Frédéric Bonnans

Publication date: 28 September 2012

Published in: Springer Proceedings in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-25746-9_15

zbMATH Keywords

stochastic programmingsensitivity analysisdual dynamic programmingdanskin theorem

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Dynamic programming in optimal control and differential games (49L20) Sensitivity, stability, parametric optimization (90C31) Stochastic programming (90C15) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Sensitivity analysis for optimization problems on manifolds (49Q12) Actuarial science and mathematical finance (91G99)

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Cut-sharing across trees and efficient sequential sampling for SDDP with uncertainty in the RHS ⋮ Pricing and risk of swing contracts in natural gas markets ⋮ Duality and sensitivity analysis of multistage linear stochastic programs

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