41 research outputs found
A Control-variable Regression Monte Carlo Technique for Short-term Electricity Generation Planning
In the day-to-day operation of a power system, the system operator repeatedly
solves short-term generation planning problems. When formulating these problems
the operators have to weigh the risk of costly failures against increased
production costs. The resulting problems are often high-dimensional and various
approximations have been suggested in the literature.
In this article we formulate the short-term planning problem as an optimal
switching problem with delayed reaction. Furthermore, we proposed a control
variable technique that can be used in Monte Carlo regression to obtain a
computationally efficient numerical algorithm.Comment: 50 pages, 6 figure
A Limited-Feedback Approximation Scheme for Optimal Switching Problems with Execution Delays
We consider a type of optimal switching problems with non-uniform execution
delays and ramping. Such problems frequently occur in the operation of
economical and engineering systems. We first provide a solution to the problem
by applying a probabilistic method. The main contribution is, however, a scheme
for approximating the optimal control by limiting the information in the
state-feedback. In a numerical example the approximation routine gives a
considerable computational performance enhancement, when compared to a
conventional algorithm
Optimal Stopping of BSDEs with Constrained Jumps and Related Zero-Sum Games
In this paper, we introduce a non-linear Snell envelope which at each time
represents the maximal value that can be achieved by stopping a BSDE with
constrained jumps. We establish the existence of the Snell envelope by
employing a penalization technique and the primary challenge we encounter is
demonstrating the regularity of the limit for the scheme. Additionally, we
relate the Snell envelope to a finite horizon, zero-sum stochastic differential
game, where one player controls a path-dependent stochastic system by invoking
impulses, while the opponent is given the opportunity to stop the game
prematurely. Importantly, by developing new techniques within the realm of
control randomization, we demonstrate that the value of the game exists and is
precisely characterized by our non-linear Snell envelope
Дополнительные критерии для дифференцировки в психоневрологической практике
ПСИХИАТРИЯПСИХИЧЕСКИЕ РАССТРОЙСТВАНЕВРОТИЧЕСКИЕ СОСТОЯНИЯШИЗОФРЕНИЯЭПИЛЕПСИ
Approximating the Loadability Surface in the Presence of SNB-SLL Corner Points
Power system voltage security assessment is generally applied by considering the power system loadability surface. For a large power system, the loadability surface is a complicated hyper-surface in parameter space, and local approximations are a necessity for any analysis. Unfortunately, inequality constraints due to for example generator overexitation limiters, and higher codimension bifurcations, makes the loadability surface non-smooth. One situation that is particularly difficult to handle is when a saddle-node bifurcation surface intersects a switching loadability limit surface. In this article we intend to investigate how several local approximations can be combined to obtain an adequate approximation of the loadability surface near such intersections