Search for dissertations about: "Stochastic Dynamic Programming"

Showing result 1 - 5 of 36 swedish dissertations containing the words Stochastic Dynamic Programming.

  2. 1. Decision Making under Uncertainty in Financial Markets : Improving Decisions with Stochastic Optimization

    Author : Jonas Ekblom; Jörgen Blomvall; Michal Kaut; Linköpings universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; Stochastic programming; Approximate dynamic programming; Financial optimization; Portfolio optimization; Corporate hedging; Scenario generation; Importance sampling;

    Abstract : This thesis addresses the topic of decision making under uncertainty, with particular focus on financial markets. The aim of this research is to support improved decisions in practice, and related to this, to advance our understanding of financial markets. READ MORE

  4. 2. Distributed Stochastic Programming with Applications to Large-Scale Hydropower Operations

    Author : Martin Biel; Mikael Johansson; Lennart Söder; David Woodruff; KTH; []
    Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; stochastic programming; distributed; algorithms; large-scale; optimization; hydropower; software; julia language; Electrical Engineering; Elektro- och systemteknik;

    Abstract : Stochastic programming is a subfield of mathematical programming concerned with optimization problems subjected to uncertainty. Many engineering problems with random elements can be accurately modeled as a stochastic program. In particular, decision problems associated with hydropower operations motivate the application of stochastic programming. READ MORE

  5. 3. Modeling Lateral Transshipments and Perishable Items in Inventory Systems

    Author : Fredrik Olsson; Produktionsekonomi; []
    Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Technological sciences; Teknik; Dynamic programming ; Inventory ; Perishable items ; Lateral transshipments ; Pooling ; Batch ordering ; Optimal policies ; Stochastic ;

    Abstract : This thesis deals with two main areas in the field of stochastic inventory theory; ateral transshipments and perishable items. In the first part of this thesis we give an introduction to the field of inventory theory, and discuss some previous literature connected to the research presented in this thesis. READ MORE

  6. 4. Efficient Trading in the Short-term Electricity Markets for Integration of Renewable Energy Sources : Multistage Stochastic and Agent-based Modeling Approaches for Continuous Intraday Electricity Market

    Author : Priyanka Shinde; Mikael Amelin; Lennart Söder; Nikolaos Paterakis; KTH; []
    Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Continuous intraday electricity market; Virtual power plant; Trading strategy; Stochastic dual dynamic program; Agent-based modeling; Adaptive learning; Renewable energy sources; Cross-border intraday trading; Flow-based market coupling; Balancing market; Imbalance settlement cost; Randomized progressive hedging; Multistage stochastic programming; Energy storage; Intraday prices; Intraday price analysis; Time series analysis; Kontinuerliga intradagmarknaden; Virtuellt kraftverk; Handelsstrategi; Stokastisk dual dynamisk programmering; Agentbaserad modellering; Adaptivt l¨arande; F¨ornybara energik¨allor; Gr¨ans¨overskridande intradaghandel; Fl¨odesbaserad marknadskoppling; Balansmarknaden; Balansavr¨akningskostnader; Randomiserad progressive hedging; Stokastisk multiskedesprogrammering; Energilagring; Intradagpriser; Intradagprisanalys; Tidsserieanalys; Electrical Engineering; Elektro- och systemteknik;

    Abstract : This thesis investigates the role of different short-term electricity market design aspects that can facilitate better coordination of resources within the power system. The work also emphasizes on better cross-border integration of the short-term markets to improve the market liquidity, competition, social welfare, and flexibility in the system, which is essential for facilitating the integration of renewable sources. READ MORE

  7. 5. Selected Topics in Mathematical Modelling: Machine Learning and Tugs-of-War

    Author : Carmina Fjellström; Kaj Nyström; Andrea Pascucci; Uppsala universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Machine learning; Neural networks; LSTM; Financial forecasting; Time series analysis; Stochastic gradient descent; Diffusion map; Dimension reduction; Tug-of-war games; Fractional heat operator; Mean value property; Infinity fractional heat operators; Dynamic programming principle; p-Laplacian; Infinity Laplacian; Kolmogorov equation; Stochastic games; Viscosity solutions; Tillämpad matematik och statistik; Applied Mathematics and Statistics;

    Abstract : This thesis concerns selected topics in mathematical modelling, namely in machine learning and stochastic games called tugs-of-war. It consists of four scientific articles. The first and second are about machine learning topics, while the third and fourth articles are about tug-of-war games. READ MORE