Stochastic optimization with dynamic probabilistic forecasts

DOI10.1007/S10479-022-04913-YzbMATH Open1537.91189MaRDI QIDQ6549609FDOQ6549609

Authors: Peter Tankov, Laura Tinsi 

Publication date: 4 June 2024

Published in: Annals of Operations Research (Search for Journal in Brave)

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zbMATH Keywords

stochastic controlprobabilistic forecastingensemble forecastingwind power trading

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Optimal stochastic control (93E20)

Cites Work

• Probabilistic Forecasts, Calibration and Sharpness
• Processes of normal inverse Gaussian type
• An optimal trading problem in intraday electricity markets
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
• Mathematical methods for financial markets.
• Valuing American options by simulation: a simple least-squares approach
• Uncertainty quantification in complex simulation models using ensemble copula coupling
• Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
• Wind energy: forecasting challenges for its operational management
• Regression methods for stochastic control problems and their convergence analysis
• Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods
• Probabilistic wind speed forecasting using Bayesian model averaging with truncated normal components
• Intraday renewable electricity trading: advanced modeling and numerical optimal control
• Optimal trading policies for wind energy producer
• Price formation and optimal trading in intraday electricity markets
• Mixture EMOS model for calibrating ensemble forecasts of wind speed
• DYNAMIC PROBABILISTIC FORECASTING WITH UNCERTAINTY

Cited In (2)

• Predicer: abstract stochastic optimisation model framework for multi-market operation
• Online decision making for trading wind energy

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