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most citedQuasi-Monte Carlo with Domain Transformation for Efficient Fourier Pricing of Multi-Asset Options

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math.OC2024

Lagrangian Relaxation for Continuous-Time Optimal Control of Coupled Hydrothermal Power Systems Including Storage Capacity and a Cascade of Hydropower Systems with Time Delays

Chiheb Ben Hammouda, Eliza Rezvanova, Erik von Schwerin +1

This work considers a short-term, continuous time setting characterized by a coupled power supply system controlled exclusively by a single provider and comprising a cascade of hyd…