A reduced basis method for the Hamilton-Jacobi-Bellman equation within the European Union Emission Trading Scheme

DOI10.1515/9783110543599-009zbMATH Open1404.35099arXiv1503.07560OpenAlexW4213121792MaRDI QIDQ4557482FDOQ4557482

Authors: Sebastian Steck, Karsten Urban 

Publication date: 23 November 2018

Published in: Hamilton-Jacobi-Bellman Equations (Search for Journal in Brave)

Abstract: This paper draws on two sources of motivation: (1) The European Union Emission Trading Scheme (EU-ETS) aims at limiting the overall emissions of greenhouse gases. The optimal abatement strategy of companies for the use of emission permits can be described as the viscosity solution of a Hamilton-Jacobi-Bellman (HJB) equation. It is a question of general interest, how regulatory constraints can be set within the EU-ETS in order to reach certain political goals such as a good balance of emission reduction and economical growth. Such regulatory constraints can be modeled as parameters within the HJB equation. (2) The EU-ETS is just one example where one is interested in solving a parameterized HJB equation often for different values of the parameters (e.g. to optimize their values with respect to a given target functional). The Reduced Basis Method (RBM) is by now a well-established numerical method to efficiently solve parameterized partial differential equations. However, to the best of our knowledge, an RBM for the HJB equation is not known so far and of (mathematical) interest by its own, since the HJB equation is of hyperbolic type which is in general a nontrivial task for model reduction. We analyze and realize a RBM for the HJB equation. In particular, we construct an online-efficient error estimator for this nonlinear problem using the Brezzi-Rapaz-Raviart (RBB) theory as well as numerical algorithms for the involved parameter-dependent constants. Numerical experiments are presented.

Full work available at URL: https://arxiv.org/abs/1503.07560

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zbMATH Keywords

well-posedness

Mathematics Subject Classification ID

Hamilton-Jacobi equations (35F21) PDEs in connection with control and optimization (35Q93) Error bounds for boundary value problems involving PDEs (65N15) Financial applications of other theories (91G80)

Cited In (3)

• Rigorous and effective a-posteriori error bounds for nonlinear problems -- application to RB methods
• Intraday renewable electricity trading: advanced modeling and numerical optimal control
• The reduced basis method in space and time: challenges, limits and perspectives

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