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math.OC2025
Optimal Operation and Valuation of Electricity Storages in Intraday Markets
Jean-Philippe Chancelier, Michel de Lara, François Pacaud +3
This paper applies computational techniques of convex stochastic optimization to optimal operation and valuation of electricity storages in the face of uncertain electricity prices…
math.OC2025
Dynamic programming and dimensionality in convex stochastic optimization and control
Teemu Pennanen, Ari-Pekka Perkkiö
This paper studies stochastic optimization problems and associated Bellman equations in formats that allow for reduced dimensionality of the cost-to-go functions. In particular, we…
math.OC2025
Optimal Operation and Valuation of Electricity Storages
Jean-Philippe Chancelier, Michel De Lara, François Pacaud +2
This paper applies computational techniques of convex stochastic optimization to optimal operation and valuation of electricity storages in the face of uncertain electricity prices…