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Valuation of multiple hyro reservoir storage systems in competitive electricity markets

Felix, Bastian Joachim; Weber, Christoph - 2014

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...

Persistent link: https://www.econbiz.de/10010433265

Solving nonlinear stochastic optimal control problems using evolutionary heuristic optimization

Blueschke, Dmitri; Savin, Ivan - 2013

Policy makers constantly face optimal control problems: what controls allow to achieve certain targets in, e.g., GDP growth or inflation? Conventionally this is done by applying certain linear-quadratic optimization algorithms to dynamic econometric models. Several algorithms extend this...

Persistent link: https://www.econbiz.de/10010252386

Sinking land : Optimal control of subsidence

Sen, Suphi; Verhoeven, Dewy; Weikard, Hans-Peter - 2023

Land subsidence threatens the living conditions of roughly 1.2 billion people worldwide in deltaic regions characterized by soft top soil. Economic activity in deltaic regions requires lowering the groundwater levels to keep the land sufficiently dry to maintain productivity, which, however,...

Persistent link: https://www.econbiz.de/10014382946

Third-degree price discrimination in the presence of congestion externality

Czerny, Achim Ingo; Zhang, Anming - 2014

passengers exhibit a higher time valuation, and a less price-elastic demand, than leisure passengers. Our main result is the … identification of the time-valuation effect of price discrimination, which can work in the opposite direction as the well …-known output effect on welfare. This time-valuation effect clearly explains why discriminating prices can improve welfare even when …

Persistent link: https://www.econbiz.de/10010421801

Third-Degree Price Discrimination in the Presence of Congestion Externality

Czerny, Achim Ingo - 2014

Persistent link: https://www.econbiz.de/10013045506

Implementing optimal control in cointegrated I(1) structural VAR models

Monti, Francesca V. - 2003

This paper examines the feasibility of implementing Linear Quadratic Gaussian (LQG) Control in structural cointegrated VAR models and sheds some light on the two major problems generated by such implementation. The first aspect to be taken into account is the effect of the presence of unit roots...

Persistent link: https://www.econbiz.de/10009635883

Stochastic optimal control modeling of debt crises

Stein, Jerome L. - 2003

What is an optimal or a sustainable external debt - for a country, region or sector? How should one monitor and evaluate debt to preclude a crisis? We use stochastic optimal control/dynamic programming to derive an optimal debt. The deviation of the actual from the optimal will serve as a...

Persistent link: https://www.econbiz.de/10011509487

Time-lagged accumulation of stock pollutants

Winkler, Ralph - 2004

In this paper I study the optimal control path for a (capital or pollution) stock which accumulates time with a lag to … generalizes the existing time-to-build literature, where time lagged capital accumulation is supposed to be sufficient for …

Persistent link: https://www.econbiz.de/10002189291

Wage bargaining in an optimal control framework : a dynamic version of the right-to-manage model

Guerrazzi, Marco (contributor) - 2007

implied by wage bargaining. -- Wage Bargaining ; Optimal Control Theory ; Right-to-Manage Model ; Numerical Solutions …

Persistent link: https://www.econbiz.de/10003486199

Regression methods for stochastic control problems and their convergence analysis

Belomestny, Denis; Kolodko, Anastasia; Schoenmakers, John - 2009

In this paper we develop several regression algorithms for solving general stochastic optimal control problems via Monte Carlo. This type of algorithms is particularly useful for problems with a highdimensional state space and complex dependence structure of the underlying Markov process with...

Persistent link: https://www.econbiz.de/10003835132