The effects of uncertainty and irreversibility on land management are examined in an infinite horizon Arrow-Fisher-Henry conservation model with non-linear land-use welfare function which accounts for the possible rol...
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The effects of uncertainty and irreversibility on land management are examined in an infinite horizon Arrow-Fisher-Henry conservation model with non-linear land-use welfare function which accounts for the possible role of breakthrough benefits stemming from the genetic resources of wilderness. The effects of uncertainty on optimality and certainty-equivalent development strategies are examined. Crucially, "jump' decision rules are shown to be generally non-optimal for managing wilderness areas. -Authors
A model is proposed to study the risk management problem of designing optimal trading strategies in a limit order book. The execution of limit orders is uncertain, which leads to a stochastic control problem. In contr...
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A model is proposed to study the risk management problem of designing optimal trading strategies in a limit order book. The execution of limit orders is uncertain, which leads to a stochastic control problem. In contrast to previous literature, we allow the agents to choose both the quotes and the sizes of their submitted orders. Attention is paid to how the trading strategy is affected by an order book's characteristics, market volatility and the trader's risk attitude. We prescribe an optimal splitting of the order size for the trades with limit orders, while the existing literature offers a solution to this problem with market orders, and, at the same time, we provide guidelines to optimally place orders further behind the best price or to (re) position them more aggressively. Thus this paper is an attempt towards a more realistic modeling of optimal liquidation throughout limit orders.
Hydro-dominated systems are characterized by uncertainty on the inflows to the reservoirs. Driven by both technological advances and environmental awareness, the share of renewables in the energy production mix has be...
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Hydro-dominated systems are characterized by uncertainty on the inflows to the reservoirs. Driven by both technological advances and environmental awareness, the share of renewables in the energy production mix has been increasing over the past decades. However, due to their intermittent nature, the integration of renewables entails additional uncertainty, which may negatively impact the operation of the system if the overall risk is not properly appraised. This work analyzes the impact of short-term wind variability on the long-term operation of a hydro-dominated power system based upon two risk measure approaches, namely (i) chance constrained programming, and (ii) conditional value-at-risk. Both approaches are formulated under the framework of stochastic dual dynamicprogramming. The proposals are tested on a portion of the Colombian power system, in the presence of wind energy and storage units.
This paper presents an agent-based simulator for examination of a secondary control market dominated by hydro power producer as decision support for one of the market participants. Proposed is a Q-learning algorithm f...
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ISBN:
(纸本)9781479925582
This paper presents an agent-based simulator for examination of a secondary control market dominated by hydro power producer as decision support for one of the market participants. Proposed is a Q-learning algorithm for determining possible strategic behavior. Adaptive learning is made possible by application of certain characteristics to agents quantity price pairs bids. Considered are for each agent its portfolio of different hydro power plants with their water values estimated by a stochastic dynamic programming scheme. The simulator is applied to the Swiss system where strategic behavior will be shown. Additionally it is analyzed how single agents could make use of strategic behavior in case of special occurrences in the market.
Incorporation of energy storage units with wind farms is being considered critical for wind farms to address variability in wind power generation and meeting committed generation schedules. However, operational constr...
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ISBN:
(纸本)9781612847894
Incorporation of energy storage units with wind farms is being considered critical for wind farms to address variability in wind power generation and meeting committed generation schedules. However, operational constraints such as limited energy of storage units, in addition to the inherent variability of wind power, limit the maximum generation commitment that can be met reliably by a wind farm operating in combination with a storage plant. This paper presents a method for computing an optimal storage dispatch for a storage unit coupled with a wind farm over the period of one hour with the objective of minimizing generation schedule deviations and taking into consideration the uncertainties involved in wind power predictions. The optimization uses a stochastic dynamic programming framework in discrete time. The algorithm minimizes the total expected deviations from a steady power delivery schedule of the combined wind farm-energy storage plant. Tests on a simplified model of a wind-storage plant connected to a load verify the desired objectives. The deviations when generated wind power is known accurately are also presented as a special case. Results provide insights about the maximum generation commitment the combined wind-storage unit can meet without deviations over the scheduling horizon given the probabilities of power generation from wind.
We consider the optimal wagers to be made by a gambler who starts with a given initial wealth. The gambler faces a sequence of two‐outcome games, i.e., “win” vs. “lose,” and wishes to maximize the expected value ...
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