We introduce a novel simulated certainty equivalent approximation (SCEQ) method for solving dynamic stochastic problems. Our examples show that SCEQ can quickly solve high-dimensional finite- or infinite-horizon, stationary or non- stationary dynamic stochastic problems with hundreds of state...

Flood protection is of major importance to many flood-prone regions and involves substantial investment and maintenance costs. Modern flood risk management requires often to determine a cost-efficient protection strategy, i.e., one with lowest possible long run cost and satisfying flood...

This paper determines the optimal timing of dike heightenings as well as the corresponding optimal dike heightenings to protect against floods. To derive the optimal policy we design an algorithm based on the Impulse Control Maximum Principle. In this way the paper presents one of the first real...

Dynamic programming is the essential tool in dynamic economic analysis. Problems such as portfolio allocation for individuals and optimal economic growth are typical examples. Numerical methods typically approximate the value function. Recent work has focused on making numerical methods more...

To mitigate the high variability of wind and make it a more viable renewable energy source, observers recommend greater integration of spatially-separated electrical grids, with high transmission lines linking load centers, scattered wind farms and hydro storage sites. In this study, we examine...

Energy from the biomass of perennial crops can offset emissions of greenhouse gases from fossil fuel combustion and increase energy self sufficiency. This study uses a dynamic, multi-farm, mathematical programming model to analyze the impact of the Common Agricultural Policy reform in 2003 on...

This paper by using Long-range Energy Alternatives Planning System (LEAP) constructs four different renewable energy scenarios for the Greek transport, energy, and industry sectors. By projecting the demand for renewable energy and the associated resulting carbon dioxide emissions up to the...

Markets for natural resources and commodities are often oligopolistic. In these markets, production capacities are key for strategic interaction between the oligopolists. We analyze how different market structures influence oligopolistic capacity investments and thereby affect supply, prices and...

Mathematical programming (MP) is a widespread approach to depict production and investment decisions of agents in agent-based models (ABM) related to agriculture. However, introducing dynamics and indivisibilities in MP models renders their solution computing time intensive. We present a...

The profitable exploitation of asset portfolios in the European electricity markets has become more challenging in recent years. This is particularly true for combined heat and power (CHP) generation units that are often facing must-run conditions due to heat demands that need to be satisfied....