Sebastian Maier

Guaranteed bounds for optimal stopping problems using kernel-based non-asymptotic uniform confidence bands

  • Martin Glanzer
  • Sebastian Maier
  • Georg Ch. Pflug
    • Categories Dynamic Programming, Optimization in Data Science, Stochastic Programming Tags , , , ,

    In this paper, we introduce an approach for obtaining probabilistically guaranteed upper and lower bounds on the true optimal value of stopping problems. Bounds of existing simulation-and-regression approaches, such as those based on least squares Monte Carlo and information relaxation, are stochastic in nature and therefore do not come with a finite sample guarantee. Our … Read more

    Risk-averse portfolio selection of renewable electricity generator investments in Brazil: An optimised multi-market commercialisation strategy

  • Sebastian Maier
  • Kenneth McKinnon
  • Alexandre Street
    • Categories Applications - Science and Engineering, Finance and Economics, Stochastic Programming Tags , , , ,

    Investment decisions in renewable energy sources such as small hydro, wind power, biomass and solar are frequently made in the context of enormous uncertainty surrounding both intermittent generation and the highly volatile electricity spot prices that are used for clearing of trades. This paper presents a new portfolio-based approach for selecting long-term investments in small-scale … Read more