Stochastic optimization with dynamic probabilistic forecasts
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Publication:6549609
DOI10.1007/S10479-022-04913-YzbMATH Open1537.91189MaRDI QIDQ6549609
Publication date: 4 June 2024
Published in: Annals of Operations Research (Search for Journal in Brave)
Applications of statistics to economics (62P20) Optimal stochastic control (93E20) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)
Cites Work
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- Regression Methods for Stochastic Control Problems and Their Convergence Analysis
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- Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
- Optimal Trading Policies for Wind Energy Producer
- DYNAMIC PROBABILISTIC FORECASTING WITH UNCERTAINTY
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- Probabilistic Forecasts, Calibration and Sharpness
- Wind energy: forecasting challenges for its operational management
- Uncertainty quantification in complex simulation models using ensemble copula coupling
- Price formation and optimal trading in intraday electricity markets
- Mixture EMOS model for calibrating ensemble forecasts of wind speed
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