英文标题：
《Optimal Control of an Energy Storage Facility Under a Changing Economic
Environment and Partial Information》
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作者：
Anton A. Shardin, Michaela Sz\\\"olgyenyi
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最新提交年份：
2016
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英文摘要：
In this paper we consider an energy storage optimization problem in finite time in a model with partial information that allows for a changing economic environment. The state process consists of the storage level controlled by the storage manager and the energy price process, which is a diffusion process the drift of which is assumed to be unobservable. We apply filtering theory to find an alternative state process which is adapted to our observation filtration. For this alternative state process we derive the associated Hamilton-Jacobi-Bellman equation and solve the optimization problem numerically. This results in a candidate for the optimal policy for which it is a-priori not clear whether the controlled state process exists. Hence, we prove an existence and uniqueness result for a class of time-inhomogeneous stochastic differential equations with discontinuous drift and singular diffusion coefficient. Finally, we apply our result to prove admissibility of the candidate optimal control.
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中文摘要：
在本文中，我们考虑了一个有限时间内的能量存储优化问题，该问题是一个考虑了经济环境变化的部分信息模型。状态过程包括由存储管理器控制的存储水平和能源价格过程，这是一个扩散过程，其漂移被认为是不可观测的。我们应用过滤理论来寻找一个适合我们观察过滤的替代状态过程。对于这种交替状态过程，我们推导了相关的Hamilton-Jacobi-Bellman方程，并用数值方法解决了优化问题。这就导致了一个最优策略的候选者，对于这个候选者，事先不清楚受控状态过程是否存在。因此，我们证明了一类具有不连续漂移和奇异扩散系数的时间非齐次随机微分方程解的存在唯一性。最后，我们应用我们的结果证明了候选最优控制的可容许性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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