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math.OC2026
On the Effectiveness of Classical Regression Methods for Optimal Switching Problems
Martin Andersson, Benny Avelin, Marcus Olofsson
Simple regression methods provide robust, near-optimal solutions for optimal switching problems, including high-dimensional ones (up to 50). While the theory requires solving intra…
math.OC2025
Management strategies for hydropower plants a simple dynamic programming approach
Marcus Olofsson, André Berg Niklas L. P. Lundström
We use a dynamic programming approach to construct management strategies for a hydropower plant with a dam and a continuously adjustable unit. Along the way, we estimate unknown va…