Partial differential equation methods for stochastic dynamic optimization: an application to wind power generation with energy storage

DOI10.1098/rsta.2016.0301zbMath1404.90142OpenAlexW2608271676WikidataQ47289738 ScholiaQ47289738MaRDI QIDQ4561724

Peter W. Duck, Paul Johnson, Sydney D. Howell

Publication date: 13 December 2018

Published in: Philosophical Transactions of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1098/rsta.2016.0301

zbMATH Keywords

arbitrageinvestmentwind energydynamic optimal controlbattery storage

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Stochastic programming (90C15) Financial applications of other theories (91G80) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Uses Software

• WindFarmESDValuation

Cites Work

• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• Real option valuation for reserve capacity
• A partial differential equation system for modelling stochastic storage in physical systems with applications to wind power generation
• Natural gas storage valuation and optimization: A real options application
• Stochastic differential equations. An introduction with applications.