94 citations · 145 across the 20 of their papers we have counts for
12 papers · 1 filter
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…
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…
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…
Dual solutions in convex stochastic optimization
Teemu Pennanen, Ari-Pekka Perkkiö
This paper studies duality and optimality conditions for general convex stochastic optimization problems. The main result gives sufficient conditions for the absence of a duality g…
Duality in convex stochastic optimization
Teemu Pennanen, Ari-Pekka Perkkiö
This paper studies duality and optimality conditions in general convex stochastic optimization problems introduced by Rockafellar and Wets in 1976. We derive an explicit dual probl…
Dynamic programming in convex stochastic optimization
Teemu Pennanen, Ari-Pekka Perkkiö
This paper studies the dynamic programming principle for general convex stochastic optimization problems introduced by Rockafellar and Wets in [30]. We extend the applicability of…