Integrating multi-stage stochastic programming and machine learning for the evaluation of policies in the electricity portfolio problem

DOI10.1093/IMAMAN/DPV006zbMATH Open1433.90096OpenAlexW2318205285MaRDI QIDQ5382713

Simone Sbrilli, Gianluca Murgia

Publication date: 18 June 2019

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpv006

zbMATH Keywords

machine learningmulti-stage stochastic programminglarge consumerelectricity portfolio

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Stochastic programming (90C15) Portfolio theory (91G10)

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