24,695 research outputs found
Uniqueness of Viscosity Solutions for Optimal Multi-Modes Switching Problem with Risk of default
In this paper we study the optimal m-states switching problem in finite
horizon as well as infinite horizon with risk of default. We allow the
switching cost functionals and cost of default to be of polynomial growth and
arbitrary. We show uniqueness of a solution for a system of m variational
partial differential inequalities with inter-connected obstacles. This system
is the deterministic version of the Verification Theorem of the Markovian
optimal m-states switching problem with risk of default. This problem is
connected with the valuation of a power plant in the energy market.Comment: 25 pages; Real options, Backward stochastic differential equations,
Snell envelope, Stopping times, Switching, Viscosity solution of PDEs,
Variational inequalities. arXiv admin note: text overlap with arXiv:0805.1306
and arXiv:0904.070
Reliability of Dynamic Load Scheduling with Solar Forecast Scenarios
This paper presents and evaluates the performance of an optimal scheduling
algorithm that selects the on/off combinations and timing of a finite set of
dynamic electric loads on the basis of short term predictions of the power
delivery from a photovoltaic source. In the algorithm for optimal scheduling,
each load is modeled with a dynamic power profile that may be different for on
and off switching. Optimal scheduling is achieved by the evaluation of a
user-specified criterion function with possible power constraints. The
scheduling algorithm exploits the use of a moving finite time horizon and the
resulting finite number of scheduling combinations to achieve real-time
computation of the optimal timing and switching of loads. The moving time
horizon in the proposed optimal scheduling algorithm provides an opportunity to
use short term (time moving) predictions of solar power based on advection of
clouds detected in sky images. Advection, persistence, and perfect forecast
scenarios are used as input to the load scheduling algorithm to elucidate the
effect of forecast errors on mis-scheduling. The advection forecast creates
less events where the load demand is greater than the available solar energy,
as compared to persistence. Increasing the decision horizon leads to increasing
error and decreased efficiency of the system, measured as the amount of power
consumed by the aggregate loads normalized by total solar power. For a
standalone system with a real forecast, energy reserves are necessary to
provide the excess energy required by mis-scheduled loads. A method for battery
sizing is proposed for future work.Comment: 6 pager, 4 figures, Syscon 201
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