Hydroassets投资组合管理，用于a公司的日内电力交易

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英文标题：
《Hydroassets Portfolio Management for Intraday Electricity Trading from a
  Discrete Time Stochastic Optimization Perspective》
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作者：
Simone Farinelli and Luisa Tibiletti
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最新提交年份：
2017
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英文摘要：
  Hydro storage system optimization is becoming one of the most challenging tasks in Energy Finance. While currently the state-of-the-art of the commercial software in the industry implements mainly linear models, we would like to introduce risk aversion and a generic utility function. At the same time, we aim to develop and implement a computational efficient algorithm, which is not affected by the curse of dimensionality and does not utilize subjective heuristics to prevent it. For the short term power market we propose a simultaneous solution for both dispatch and bidding problems.   Following the Blomvall and Lindberg (2002) interior point model, we set up a stochastic multiperiod optimization procedure by means of a \"bushy\" recombining tree that provides fast computational results. Inequality constraints are packed into the objective function by the logarithmic barrier approach and the utility function is approximated by its second order Taylor polynomial. The optimal solution for the original problem is obtained as a diagonal sequence where the first diagonal dimension is the parameter controlling the logarithmic penalty and the second is the parameter for the Newton step in the construction of the approximated solution. Optimal intraday electricity trading and water values for hydro assets as shadow prices are computed. The algorithm is implemented in Mathematica.
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中文摘要：
水力蓄能系统优化正成为能源金融领域最具挑战性的任务之一。虽然目前业界最先进的商业软件主要实现线性模型，但我们希望引入风险规避和通用效用函数。同时，我们的目标是开发和实现一种计算效率高的算法，该算法不受维数灾难的影响，也不使用主观启发式来防止维数灾难。对于短期电力市场，我们提出了一种同时解决调度和竞价问题的方法。根据Blomvall和Lindberg（2002）的内点模型，我们通过一个“浓密”的重组树建立了一个随机多周期优化过程，该重组树提供了快速的计算结果。利用对数障碍法将不等式约束压缩到目标函数中，利用二阶泰勒多项式逼近效用函数。原始问题的最优解以对角序列的形式获得，其中第一个对角维数是控制对数惩罚的参数，第二个是构造近似解的牛顿步的参数。计算作为影子价格的水电资产的最佳日内电力交易和水价。该算法在Mathematica中实现。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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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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关键词：Assets 投资组合管理 Asset 组合管理 Sets