Martin Glanzer

Distributionally robust optimization with multiple time scales: valuation of a thermal power plant

  • Daniela Escobar
  • Martin Glanzer
  • Georg Ch. Pflug
  • Wim van Ackooij
    • Categories Dynamic Programming, Stochastic Programming Tags , , , , , ,

    The valuation of a real option is preferably done with the inclusion of uncertainties in the model, since the value depends on future costs and revenues, which are not perfectly known today. The usual value of the option is defined as the maximal expected (discounted) profit one may achieve under optimal management of the operation. … Read more

    Multiscale stochastic programming

  • Martin Glanzer
  • Georg Ch. Pflug
    • Categories Stochastic Programming

    Real-world multistage stochastic optimization problems are often characterized by the fact that the decision maker may take actions only at specific points in time, even if relevant data can be observed much more frequently. In such a case there are not only multiple decision stages present but also several observation periods between consecutive decisions where … Read more