Original title: Solution of Emission Management Problem
Authors: Šmíd, Martin ; Kozmík, Václav
Document type: Papers
Conference/Event: 9th International Scientific Conference Managing and Modelling of Financial Risks, Ostrava (CZ), 20180905
Year: 2018
Language: eng
Abstract: Optimal covering of emissions stemming from random production is a multistage stochastic programming problem. Solving it in a usual way - by means of deterministic equivalent - is possible only given an unrealistic approximation of random parameters. There exists an efficient way of solving multistage problems - stochastic dual dynamic programming (SDDP), however, it requires the inter-stage independence of random parameters, which is not the case which our problem. In the paper, we discuss a modified version of SDDP, allowing for some form of interstage dependence.
Keywords: Emission management; Multi-stage stochastic programming; SDDP; time dependence
Project no.: GA16-01298S (CEP)
Funding provider: GA ČR
Host item entry: MANAGING AND MODELLING OF FINANCIAL RISKS : proceedings of the 9th International Scienti c Conference Managing and Modelling of Financial Risks, ISSN 2464-6970

Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2018/E/smid-0495435.pdf
Original record: http://hdl.handle.net/11104/0288954

Permalink: http://www.nusl.cz/ntk/nusl-387681


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