A deep learning model for gas storage optimization

DOI10.1007/s10203-021-00363-6zbMath1480.91153arXiv2102.01980OpenAlexW3217014542MaRDI QIDQ2064630

Michael Kettler, Josef Teichmann, Xi Kleisinger-Yu, Nicolas Curin, Vlatka Komaric, Hanna Wutte, Thomas Krabichler

Publication date: 6 January 2022

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2102.01980

zbMATH Keywords

optimizationquantitative risk managementdeep hedginggas storageleast-squares Monte-Carlo

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Optimal stochastic control (93E20) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

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Cites Work

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• Valuation of energy storage: an optimal switching approach
• Natural gas storage valuation and optimization: A real options application
• Deep Neural Networks Algorithms for Stochastic Control Problems on Finite Horizon: Convergence Analysis
• Deep hedging

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