Partially observable stochastic optimal control problems for an energy storage

DOI10.1080/17442508.2016.1166506zbMath1364.49033OpenAlexW2493253782MaRDI QIDQ2974866

Ralf Wunderlich, Anton A. Shardin

Publication date: 11 April 2017

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2016.1166506

zbMATH Keywords

dynamic programmingregularizationstochastic optimal controlhidden Markov modelHJB equationenergy marketsenergy storagehydro-electric pump station

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Dynamic programming in optimal control and differential games (49L20) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Optimality conditions for problems involving randomness (49K45)

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