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math.OC2019
Optimal management of pumped hydroelectric production with state constrained optimal control
Athena Picarelli, Tiziano Vargiolu
We present a novel technique to solve the problem of managing optimally a pumped hydroelectric storage system. This technique relies on representing the system as a stochastic opti…
math.PR2019
Improved order 1/4 convergence for piecewise constant policy approximation of stochastic control problems
Espen R. Jakobsen, Athena Picarelli, Christoph Reisinger
In N.V. Krylov, Approximating value functions for controlled degenerate diffusion processes by using piece-wise constant policies, Electron. J. Probab., 4(2), 1999, it is proved un…