Regression based duality approach to optimal control with application to hydro electricity storage
- Hildebrand, Roland
- Schoenmakers, John G. M.
- Zhang, Jianing
- Dickmann, Fabian
2010 Mathematics Subject Classification
- 49J21 65C05
- stochastic optimal control, dual martingale method, hydro electricity storage
In this paper we consider the problem of optimal control of stochastic processes. We employ the dual martingale method brought forward in [Brown, Smith, and Sun, 2010]. The martingale constituting the solution of the dual problem is determined by linear regression within a Monte-Carlo approach. We apply the solution algorithm to a model of a hydro electricity storage and production system coupled with a model of the electricity wholesale market.