Related papers: Storage option an Analytic approach
Users can arbitrage against Time-of-Use (ToU) pricing with storage by charging in off-peak period and discharge in peak periods. In this paper we design the optimal control policy and the solve optimal investment for general ToU scheme. We…
We present a novel particle filtering framework for continuous-time dynamical systems with continuous-time measurements. Our approach is based on the duality between estimation and optimal control, which allows reformulating the estimation…
We present an online stochastic model predictive control framework for demand charge management for a grid-connected consumer with attached electrical energy storage. The consumer we consider must satisfy an inflexible but stochastic…
In order to solve complex, long-horizon tasks, intelligent robots need to carry out high-level, abstract planning and reasoning in conjunction with motion planning. However, abstract models are typically lossy and plans or policies computed…
Energy storage promotes the integration of renewables by operating with charge and discharge policies that balance an intermittent power supply. A key challenge in this emerging sector is how to optimize the operation of storage assets…
We consider the problem of stochastic optimal control, where the state-feedback control policies take the form of a probability distribution and where a penalty on the entropy is added. By viewing the cost function as a Kullback- Leibler…
We use martingale and stochastic analysis techniques to study a continuous-time optimal stopping problem, in which the decision maker uses a dynamic convex risk measure to evaluate future rewards. We also find a saddle point for an…
In this paper we consider stochastic optimization problems for an ambiguity averse decision maker who is uncertain about the parameters of the underlying process. In a first part we consider problems of optimal stopping under drift…
This paper considers a class of stochastic control problems with implicitly defined objective functions, which are the sources of time-inconsistency. We study the closed-loop equilibrium solutions in a general controlled diffusion…
Scheduling and loading of chillers in a multi-chiller plant is considered. A new framework is introduced considering an extended set of independent variables for the optimization problem of energy consumption. In this way the number of…
In this paper, we consider two sequential decision making problems with a convexity structure, namely an energy storage optimization task and a multi-product assembly example. We formulate these problems in the stochastic programming…
This paper considers the problem of optimal liquidation of a position in a risky security in a financial market, where price evolution are risky and trades have an impact on price as well as uncertainty in the filling orders. The problem is…
We propose a new method for finding statistical arbitrages that can contain more assets than just the traditional pair. We formulate the problem as seeking a portfolio with the highest volatility, subject to its price remaining in a band…
In this paper, the optimal strong error estimates for stochastic parabolic optimal control problem with additive noise and integral state constraint are derived based on time-implicit and finite element discretization. The continuous and…
We investigate an optimal reinsurance problem for an insurance company facing a constant fixed cost when the reinsurance contract is signed. The insurer needs to optimally choose both the starting time of the reinsurance contract and the…
We consider the solution of a stochastic convex optimization problem $\mathbb{E}[f(x;\theta^*,\xi)]$ over a closed and convex set $X$ in a regime where $\theta^*$ is unavailable and $\xi$ is a suitably defined random variable. Instead,…
We consider the general class of time-homogeneous stochastic dynamical systems, both discrete and continuous, and study the problem of learning a representation of the state that faithfully captures its dynamics. This is instrumental to…
In this paper, a tractable methodology is proposed to approximate stochastic optimal feedback treatment in the context of mixed immuno-chemo therapy of cancer. The method uses a fixed-point value iteration that approximately solves a…
We propose a pairs trading model that incorporates a time-varying volatility of the Constant Elasticity of Variance type. Our approach is based on stochastic control techniques; given a fixed time horizon and a portfolio of two…
Electricity prices and the end user net load vary with time. Electricity consumers equipped with energy storage devices can perform energy arbitrage, i.e., buy when energy is cheap or when there is a deficit of energy, and sell it when it…