Optimal control of electricity input given an uncertain demand

Simone Göttlich (), Ralf Korn () and Kerstin Lux ()
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Simone Göttlich: University of Mannheim
Ralf Korn: TU Kaiserslautern
Kerstin Lux: University of Mannheim

Mathematical Methods of Operations Research, 2019, vol. 90, issue 3, No 1, 328 pages

Abstract: Abstract We consider the problem of determining an optimal strategy for electricity injection that faces an uncertain power demand stream. This demand stream is modeled via an Ornstein–Uhlenbeck process with an additional jump component, whereas the power flow is represented by the linear transport equation. We analytically determine the optimal amount of power supply for different levels of available information and compare the results to each other. For numerical purposes, we reformulate the original problem in terms of the cost function such that classical optimization solvers can be directly applied. The computational results are illustrated for different scenarios.

Keywords: Stochastic optimal control; Jump diffusion processes; Transport equation; 93E20; 60H10; 65C20 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s00186-019-00678-6

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