markov processes

Random-Sampling Monte-Carlo Tree Search Methods for Cost Approximation in Long-Horizon Optimal Control

  • Hans D Mittelmann
  • Shankarachary Ragi
    • Categories Applications - Science and Engineering, Control Applications Tags , , ,

    We develop Monte-Carlo based heuristic approaches to approximate the objective function in long horizon optimal control problems. In these approaches, to approximate the expectation operator in the objective function, we evolve the system state over multiple trajectories into the future while sampling the noise disturbances at each time-step, and find the average (or weighted average) … Read more

    Gas Storage Valuation in Incomplete Markets

  • Nils Löhndorf
  • David Wozabal
    • Categories Applications - OR and Management Sciences, Stochastic Programming Tags , , ,

    Natural gas storage valuation is an important problem in energy trading, yet most valuation approaches are based on heuristics or ignore that gas markets are incomplete. We propose an exact valuation model for incomplete gas markets based on multistage stochastic programming. Market incompleteness structurally changes the problem of storage valuation and asset backed trading and … Read more