Optimal Commodity Trading with a Capacitated Storage Asset
From MaRDI portal
Publication:3117275
DOI10.1287/mnsc.1090.1049zbMath1232.90089OpenAlexW1967196371MaRDI QIDQ3117275
Publication date: 27 February 2012
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/b03a5f32991580db1db7696c62b3946f704eea0f
Related Items (22)
Optimal Hour-Ahead Bidding in the Real-Time Electricity Market with Battery Storage Using Approximate Dynamic Programming ⋮ Inventory control in dual sourcing commodity procurement with price correlation ⋮ Optimal operation of pumped-hydro storage plants with continuous time-varying power prices ⋮ A simulation-and-regression approach for stochastic dynamic programs with endogenous state variables ⋮ Heuristic decision rules for short-term trading of renewable energy with co-located energy storage ⋮ On the complexity of energy storage problems ⋮ A review of the operations literature on real options in energy ⋮ Gas storage valuation applying numerically constructed recombining trees ⋮ Approximate dynamic programming for stochastic \(N\)-stage optimization with application to optimal consumption under uncertainty ⋮ Relationship between least squares Monte Carlo and approximate linear programming ⋮ Approximation algorithms for optimal purchase/inventory policy when purchase price and demand are stochastic ⋮ A general storage model with applications to energy systems ⋮ Impact of storage competition on energy markets ⋮ Comparison of least squares Monte Carlo methods with applications to energy real options ⋮ Real options in operations research: a review ⋮ Convex hull results for the warehouse problem ⋮ Gas storage valuation in incomplete markets ⋮ Merchant Commodity Storage Practice Revisited ⋮ An Approximate Dynamic Programming Algorithm for Monotone Value Functions ⋮ Optimal policies for simultaneous energy consumption and ancillary service provision for flexible loads under stochastic prices and no capacity reservation constraint ⋮ Control of Energy Storage with Market Impact: Lagrangian Approach and Horizons ⋮ Bayesian Exploration for Approximate Dynamic Programming
This page was built for publication: Optimal Commodity Trading with a Capacitated Storage Asset
