Increasing renewable generation results in growing supply uncertainty. By now hydrostorages are the most efficient way of smoothing uncertain power supply. In liberalized and competitive markets the valuation of hydro storages investment projects needs to take the market information and...

An optimising model is developed to determine the .sequence of total allowable catches of western mackerel which would result in the maximum present value of the stream of annual rents. It is found that the optimal steady state fishing mortality would be one half to one third of recent levels....

Optimal control of dynamic econometric models has a wide variety of applications including economic policy relevant issues. There are several algorithms extending the basic case of a linear-quadratic optimization and taking nonlinearity and stochastics into account, but being still limited in a...

It is argued in this paper that static approaches to weed management, where the benefits and costs are only considered within a single season, are inappropriate for assessing the economic benefits of weed control technologies. There are carryover effects from weed management as weeds that escape...

This paper proposes a solution method for the discrete-time long-term dynamic portfolio optimization problem with state and asset allocation constraints. We use the ideas of Model Predictive Control (MPC) to solve the constrained stochastic control problem. MPC is a solution technique which was...

In this paper we argue that differences in the investment projects’ features can help to explain the observed differentials in output growth and in output volatility across countries. This result is achieved by studying analytically an endogenous growth model where investments are...

The paper presents mathematical methods of deterministic optimal control in continuous time and stochastic dynamic programming in discrete time, and computational techniques for their implementation in the General Algebraic Modeling System (GAMS). The methods and their computational...

We review an emerging application field to parabolic partial differential equations (PDEs), that's economic growth theory. After a short presentation of concrete applications, we highlight the peculiarities of optimal control problems of parabolic PDEs with infinite time horizons. In particular,...

We introduce the pathwise optimization (PO) method, a new convex optimization procedure to produce upper and lower bounds on the optimal value (the "price") of a high-dimensional optimal stopping problem. The PO method builds on a dual characterization of optimal stopping problems as...

We review an emerging application field to parabolic partial differential equations (PDEs), that's economic growth theory. After a short presentation of concrete applications, we highlight the peculiarities of optimal control problems of parabolic PDEs with infinite time horizons. In particular,...