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The value of information in a long-term hydro-thermal electrical planning model

International Transactions in Operational Research 2003年第1期10卷 89-100页

作者： Contesse, Luis Donoso, Patricio Prina, José Pontificia Universidad Católica de Chile Chile

This article presents the analysis, comparison, and application of two alternative models to the optimal long-term operation planning of an hydro-thermal power system under conditions of uncertainty. The electrical system considered comprises one large reservoir, with interannual regulation capacity, and several smaller ones. The analyzed models employ stochastic dynamic programming as the solution methodology. The fundamental problem is to decide, on every temporal stage, how much water to use for generating purposes and how much to store, in order to minimize the total thermal and shortage costs. The original version of the studied model, created originally to forecast fuel consumption, assumes that the decision regarding the water release from the main reservoir is taken knowing the future hydrologic conditions. This criterion is known as wait-and-see. On the contrary, the new versions of the model, proposed in this article, consider a here-and-now criterion. Specifically, it is assumed that the future hydrologic conditions are not known at the time of making the operational decisions. The difference between the optimal cost of the proposed models and the original model defines the value of having the information regarding future hydrologic conditions before taking any decision. This value is generally known as the expected value of perfect information. © 2003 International Federation of Operational Research Societies.

关键词： Hydro-thermal power system planning Long-term planning under uncertainty stochastic dynamic programming

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The Effects of Multi-temporal Electricity Markets on Short- and Long-Term Bidding

The Effects of Multi-temporal Electricity Markets on Short- ...

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General Meeting of the IEEE-Power-and-Energy-Society

作者： Wu, Zhiyong Ilic, Marija Carnegie Mellon Univ Dept Engn & Publ Policy Pittsburgh PA 15213 USA Carnegie Mellon Univ Dept Elect & Comp Engn Dept Engn & Publ Policy Pittsburgh PA 15213 USA

ISBN: (纸本)9781424419050

In this paper we discuss the generator investment problem for a newly proposed energy-only market structure comprising both spot and forward sub-markets as an alternative long-term resource adequacy solution. The investment problem is modeled as stochastic dynamic programming problem for a profit maximizing generator over a long time horizon. The long-term growth and short-term deviation of demand are represented as stochastic processes. The spot market is modeled as bilevel noncooperative game and the forward market is formulated based on mean-variance criteria and market equilibrium arguments. The interrelated dynamics of different markets and its effect on investment decision and profitability of market participants are analyzed and comparisons with other market structures such as spot only energy markets are investigated as well.

关键词： Forward markets for electricity stochastic dynamic programming resource adequacy optimal investments market design

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Playing the lottery or dressing up? A model of firm-level heterogeneity and the decision to export

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QUARTERLY REVIEW OF ECONOMICS AND FINANCE 2015年 58卷 1-17页

作者： Naude, Wim Gries, Thomas Bilkic, Natasa Maastricht Univ Sch Business & Econ Maastricht Sch Management Maastricht Netherlands Inst Study Labor IZA Bonn Germany Univ Paderborn Dept Econ Paderborn Germany Univ Paderborn Ctr Int Econ Paderborn Germany

In models of firm heterogeneity whether firms export or not depends on their productivity. These models assume that firms enter a market only to find their productivity levels revealed to them as in a lottery. However, if productivity is not determined as in a lottery, why do some firms export early and some late? In this paper we propose a model of firm heterogeneity to address this question. In our model exporting is an investment decision with a real option value. Our model illustrates that whether not a firm exports is a matter of timing. Some firms may always find it more worthwhile to postpone exporting, depending on the nature of the product, the target market, and firm-level characteristics. For instance, our model shows that firms evaluating exporting to a volatile, or two foreign market, will need more time to dress up (prepare) for this. We derive implications for policies to support exporting. (C) 2015 The Board of Trustees of the University of Illinois. Published by Elsevier B.V. All rights reserved.

关键词： International entrepreneurship Firm-level heterogeneity Start-ups Real options stochastic dynamic programming

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An approximate dynamic programming framework for modeling global climate policy under decision-dependent uncertainty

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COMPUTATIONAL MANAGEMENT SCIENCE 2012年第3期9卷 339-362页

作者： Webster, Mort Santen, Nidhi Parpas, Panos MIT Engn Syst Div 77 Massachusetts Ave Cambridge MA 02139 USA Imperial Coll London Dept Comp London SW7 2AZ England

Analyses of global climate policy as a sequential decision under uncertainty have been severely restricted by dimensionality and computational burdens. Therefore, they have limited the number of decision stages, discrete actions, or number and type of uncertainties considered. In particular, two common simplifications are the use of two-stage models to approximate a multi-stage problem and exogenous formulations for inherently endogenous or decision-dependent uncertainties (in which the shock at time t+1 depends on the decision made at time t). In this paper, we present a stochastic dynamic programming formulation of the dynamic Integrated Model of Climate and the Economy (DICE), and the application of approximate dynamic programming techniques to numerically solve for the optimal policy under uncertain and decision-dependent technological change in a multi-stage setting. We compare numerical results using two alternative value function approximation approaches, one parametric and one non-parametric. We showt hat increasing the variance of a symmetric mean-preserving uncertainty in abatement costs leads to higher optimal first-stage emission controls, but the effect is negligible when the uncertainty is exogenous. In contrast, the impact of decision-dependent cost uncertainty, a crude approximation of technology R&D, on optimal control is much larger, leading to higher control rates (lower emissions). Further, we demonstrate that themagnitude of this effect grows with the number of decision stages represented, suggesting that for decision-dependent phenomena, the conventional two-stage approximation will lead to an underestimate of the effect of uncertainty.

关键词： Climate policy analysis Approximate dynamic programming Decision dependent uncertainty stochastic dynamic programming Endogenous uncertainty

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Modelling water blending - sensitivity of optimal policies

Modelling water blending - sensitivity of optimal policies

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International Congress on Modelling and Simulation (MODSIM07)

作者： Webby, Brian Green, David Metcalfe, Andrew Univ Adelaide Sch Math Sci Fac Engn Comp & Math Sci Adelaide SA 5005 Australia

ISBN: (纸本)9780975840047

Throughout the world there is increased demand on freshwater resources. Such resources are limited in quantity and erratic in availability but are renewed over time through the water cycle. Planning for water management then has temporal scales and stochastic variation to consider. There may also be several sources of water suitable for non-potable purposes. Supplying these by supplementing higher quality water with sources of differing quality and availability is the blending problem studied in this paper. Consider a supplier in a non-potable use water market. The supplier obtains water from a range of sources and delivers it to a number of users. One such application, on which our model is loosely based, is the integrated water resource management project of the northern region of metropolitan Adelaide. Here the major potential sources are the stormwater harvesting and aquifer storage project of the City of Salisbury, recycled water from Bolivar water treatment plant and Adelaide's reticulated, potable water supply. Potential major users of the water (sinks) are a wool processing plant, a residential grey water network and council parks and gardens (Figure 1). [GRAPHICS] This is an optimisation problem of blending water from various sources to meet quantity and quality requirements of the sinks, with the objective of maximising expected profit from undertaking supply. The supplier undertakes to supply a guaranteed quantity of water to each sink in each time period and charges a premium for this water. There are further, preferred demands which are delivered at the supplier's discretion and for which a lesser cost applies, both amounts to meet salinity conditions. Profit is maximised if lowest cost sources are used to supply the firm demand and, perhaps, the preferred demand. The monetary value of the water resources is assessed by linear programming (LP) and by integer linear programming (ILP). The problem is solved over sequential time periods, that is, it is sol

关键词： Integer programming linear programming stochastic dynamic programming CVaR

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Regional demography of Icelandic rock ptarmigan and its implications for harvest management

ECOLOGICAL SOLUTIONS AND EVIDENCE

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ECOLOGICAL SOLUTIONS AND EVIDENCE 2024年第4期5卷

作者： Johnson, Fred Allen Nielsen, olafur Karl Aarhus Univ Dept Ecosci Aarhus Denmark Iceland Inst Nat Hist Gardabaer Iceland

The rock ptarmigan (Lagopus muta) is a popular game bird in Iceland, but management of hunting has tended to be controversial. We were interested in whether regional differences in ptarmigan demography exist, and if so, their implications for harvest management. We fit integrated population models (IPMs) to monitoring data from six hunting regions of Iceland during 2005-2023, and then examined equilibrium and non-equilibrium harvest strategies based on an objective to maximize sustainable harvest. Survival and reproductive rates tended to be similar amongst regions, except in the demographically important Northeast, where survival was lower and productivity was higher. There was a negative relationship between post-breeding age ratio (juveniles/adults) and spring abundance in all regions, although the strength of density dependence varied. Spring abundance was temporally stable in all regions, although harvest rates tended to decline, and adult survival rates tended to increase. Evidence for cyclical patterns in abundance was weak except in the Northeast, but this may be an artifact of the relatively short time series. Sustainable harvest potential varied amongst regions and was greatest in the East and Northeast. It appears that harvests during 2005-2022 were somewhat less than the sustainable maximum. Non-equilibrium harvest strategies, in which the allowable harvests depend on spring population size and anticipated productivity, are so-called 'bang-bang' strategies, meaning that no or very little harvest is optimal until the population is at or above its maximum level of net production. Practical implications. Regional differences in ptarmigan demography warrant different harvest strategies. Yet, the hunting season in Iceland historically has been regulated on a country-wide basis, with population abundance and dynamics in the Northeast playing a key role. To implement regional harvest management, decision makers must first agree on harvest management objectives

关键词： demography harvest Iceland integrated population model ptarmigan stochastic dynamic programming

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Farsighted sensor management for feature-aided tracking

Farsighted sensor management for feature-aided tracking

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Conference on Signal Processing, Sensor Fusion, and Target Recognition XV

作者： Nedich, Angelia Schneider, Michael K. Shen, Xinzhuo Lea, Djuana BAE Syst 6 New England Execut Pk Burlington MA 01803 USA US Air Force Res Lab Wright Patterson AFB OH 45433 USA

ISBN: (纸本)0819462918

We consider the sensor management problem arising in air-to-ground tracking of moving targets. The sensing-tracking system includes a radar and a feature-aided tracker. The radar collects target-signature data in high-resolution-radar (HRR) mode. The tracker is using the collected HRR-signature data to create and maintain target-track identification information. More specifically, the tracker is learning target-track profiles from the collected signature data, and is using these profiles to resolve the potential report-to-track or track-to-track association ambiguities. In this paper, we focus on the management of the HRR-signature data collection. Specifically, the sensor management problem is to determine where to collect signature data on targets in time so as to optimize the utility of the collected data. As with other sensor management problems, determining the optimal data collection is a hard combinatorial problem due to many factors including the large number of possible sensor actions and the complexity of the dynamics. The complexity of the dynamics stems in part from the presence of the sensor slew time. A distinguishing feature of the sensor management problem considered here is that the HRR-signature data collected during the learning phase has no immediate value. To optimize the data collections, a sensor manager must look sufficiently far into the future to adequately trade-off alternative plans. Here, we propose some farsighted algorithms, and evaluate them against a sequential scanning and a greedy algorithm. We present our simulation results obtained by applying these algorithms to a problem of managing a single sensor providing HRR-signature data.

关键词： feature-aided tracking HRR-signature data collection sensor management stochastic dynamic programming farsighted strategy

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dynamic optimal hedge ratio design when price and production are stochastic with jump

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ANNALS OF FINANCE 2022年第3期18卷 419-428页

作者： Clement, Nyassoke Titi Gaston Jules, Sadefo Kamdem Aime, Fono Louis Univ Douala Lab Math BP 24157 Douala Cameroon Univ Montpellier MRE Montpellier France Univ Montpellier Fac Econ Montpellier France

In this paper, we focus on the farmer's risk income when using commodity futures, when price and output processes are randomly correlated and represented by jump-diffusion models. We evaluate the expected utility of the farmer's wealth and determine the optimal consumption rate and hedging position at each point in time given the harvest timing and state variables. We find a closed form for the optimal consumption and positioning rate in the case of an investor with CARA utility. This result (see Table 3.3) is a generalization of the result of Ho (J Financ 39:351-376, 1984), which considers the special case in which price and output are diffusion models.

关键词： Jump-diffusion process Futures stochastic dynamic programming Levy measure Risk management

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Option Approach to Search for Threshold Rice Price Toward Sustainable Paddy Field Management

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ASIA-PACIFIC FINANCIAL MARKETS 2005年第2期12卷 181-198页

作者： Yoshimoto, Atsushi Tohoku Univ Grad Sch Environm Studies 6-6-20 Aoba Aramaki Sendai Miyagi 9808579 Japan

This paper applies an option approach to search for the threshold rice price toward the sustainable paddy field management under rice price stochasticity. Rice price is assumed to follow geometric Brownian motion. The management model for paddy fields is a discrete stochastic dynamic programming model with binomial approximation for geometric Brownian motion, where a control variable is a decision to sustain or terminate paddy yield management. Our computational experiments indicate that an increase in rice price volatility could lower the threshold rice price for farmers to continue rice production. It is also shown that depending on the degree of rice price volatility, even under a lower price level than production costs, maintaining the management could become beneficial. Considering an option to terminate production could make the higher expected value of rice production than without it. Using 12 sets of time series data on voluntarily marketed rice produced in Hokkaido, Aomori, Iwate, Miyagi, Akita, Yamagata, Fukui, Ibaragi, Chiba, Niigata, Toyama and Nagano, the minimum threshold rice price of 6,700 Yen/60 kg was found in Chiba with the largest volatility, and the maximum of 7,250 Yen/60 kg in Ibaragi with the smallest volatility. If the market price becomes lower than the threshold rice price, some policy measures would be necessary toward sustainable paddy field management by covering the difference between them.

关键词： agricultural economics paddy field rice market stochastic differential equation stochastic dynamic programming

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A general endogenous grid method for multi-dimensional models with non-convexities and constraints

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JOURNAL OF ECONOMIC dynamicS & CONTROL 2017年 74卷 87-107页

作者： Druedahl, Jeppe Jorgensen, Thomas Hogholm Univ Copenhagen Dept Econ Ctr Computat Econ Oster Farimagsgade 5Bldg 26 DK-1353 Copenhagen Denmark

The endogenous grid method (EGM) significantly speeds up the solution of stochastic dynamic programming problems by simplifying or completely eliminating root-finding. We propose a general and parsimonious EGM extended to handle (1) multiple continuous states and choices, (2) multiple occasionally binding constraints, and (3) non-convexities such as discrete choices. Our method enjoys the speed gains of the original one-dimensional EGM, while avoiding expensive interpolation on multi-dimensional irregular endogenous grids. We explicitly define a broad class of models for which our solution method is applicable, and illustrate its speed and accuracy using a consumption saving model with both liquid assets and illiquid pension assets and a discrete retirement choice. (C) 2016 Published by Elsevier B.V.

关键词： Endogenous grid method Post-decision states stochastic dynamic programming Continuous and discrete choices Occasionally binding constraints

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