Regression Monte Carlo for microgrid management

DOI10.1051/proc/201965046zbMath1416.93097arXiv1802.10352OpenAlexW2963511991MaRDI QIDQ4967863

Alessandro Balata, Clémence Alasseur, Peter Tankov, Aditya Maheshwari, Xavier Warin, Sahar Ben Aziza

Publication date: 11 July 2019

Published in: ESAIM: Proceedings and Surveys (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1802.10352

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Adaptive control/observation systems (93C40)

Related Items (1)

Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications

Uses Software

• StOpt

Cites Work

• Stochastic optimal control. The discrete time case
• Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods
• Gas Storage Hedging
• Valuation of energy storage: an optimal switching approach

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