Some numerical methods for solving stochastic impulse control in natural gas storage facilities

The valuation of gas storage facilities is characterized as a stochastic impulse control problem with finite horizon resulting in Hamilton-Jacobi-Bellman (HJB) equations for the value function. In this context the two catagories of solving schemes for optimal switching are discussed in a stochastic control framework. We reviewed some numerical methods which include approaches related to partial differential equations (PDEs), Markov chain approximation, nonparametric regression, quantization method and some practitioners’ methods. This paper considers optimal switching problem arising in valuation of gas storage contracts for leasing the storage facilities, and investigates the recent developments as well as their advantages and disadvantages of each scheme based on dynamic programming principle (DPP

Towards Efficient Maximum Likelihood Estimation of LPV-SS Models

How to efficiently identify multiple-input multiple-output (MIMO) linear parameter-varying (LPV) discrete-time state-space (SS) models with affine dependence on the scheduling variable still remains an open question, as identification methods proposed in the literature suffer heavily from the curse of dimensionality and/or depend on over-restrictive approximations of the measured signal behaviors. However, obtaining an SS model of the targeted system is crucial for many LPV control synthesis methods, as these synthesis tools are almost exclusively formulated for the aforementioned representation of the system dynamics. Therefore, in this paper, we tackle the problem by combining state-of-the-art LPV input-output (IO) identification methods with an LPV-IO to LPV-SS realization scheme and a maximum likelihood refinement step. The resulting modular LPV-SS identification approach achieves statical efficiency with a relatively low computational load. The method contains the following three steps: 1) estimation of the Markov coefficient sequence of the underlying system using correlation analysis or Bayesian impulse response estimation, then 2) LPV-SS realization of the estimated coefficients by using a basis reduced Ho-Kalman method, and 3) refinement of the LPV-SS model estimate from a maximum-likelihood point of view by a gradient-based or an expectation-maximization optimization methodology. The effectiveness of the full identification scheme is demonstrated by a Monte Carlo study where our proposed method is compared to existing schemes for identifying a MIMO LPV system

Comparative study on the application of evolutionary optimization techniques to orbit transfer maneuvers

Orbit transfer maneuvers are here considered as benchmark cases for comparing performance of different optimization techniques in the framework of direct methods. Two different classes of evolutionary algorithms, a conventional genetic algorithm and an estimation of distribution method, are compared in terms of performance indices statistically evaluated over a prescribed number of runs. At the same time, two different types of problem representations are considered, a first one based on orbit propagation and a second one based on the solution of Lambert’s problem for direct transfers. In this way it is possible to highlight how problem representation affects the capabilities of the considered numerical approaches

Solving recent RBC models using linearization: further reserves

Through a simple example, we show that the successive sophistications introduced in the early RBC models in order to improve their internal propagation mechanisms have actually increased their non-linearities, even locally. Accordingly, linearization-based resolution methods become much more disputableı than they were for early RBC models. Simple comparative studies ofı impulse-response functions are used to illustrate this point. We conclude by pointing at sorne alternative resolution techniques that allow the model builder to take non-linearities into account and/or to handle with the presence of large state spaces

Dynamic sampling schemes for optimal noise learning under multiple nonsmooth constraints

We consider the bilevel optimisation approach proposed by De Los Reyes, Sch\"onlieb (2013) for learning the optimal parameters in a Total Variation (TV) denoising model featuring for multiple noise distributions. In applications, the use of databases (dictionaries) allows an accurate estimation of the parameters, but reflects in high computational costs due to the size of the databases and to the nonsmooth nature of the PDE constraints. To overcome this computational barrier we propose an optimisation algorithm that by sampling dynamically from the set of constraints and using a quasi-Newton method, solves the problem accurately and in an efficient way

A Unified Approach to Portfolio Optimization with Linear Transaction Costs

In this paper we study the continuous time optimal portfolio selection problem for an investor with a finite horizon who maximizes expected utility of terminal wealth and faces transaction costs in the capital market. It is well known that, depending on a particular structure of transaction costs, such a problem is formulated and solved within either stochastic singular control or stochastic impulse control framework. In this paper we propose a unified framework, which generalizes the contemporary approaches and is capable to deal with any problem where transaction costs are a linear/piecewise-linear function of the volume of trade. We also discuss some methods for solving numerically the problem within our unified framework.portfolio choice, transaction costs, stochastic singular control, stochastic impulse control, computational methods