Electricity Swing Option Pricing By Stochastic Bilevel Optimization A Survey And New Approaches

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Bilevel Optimization

Author : Stephan Dempe
Publisher : Springer Nature
ISBN 13 : 3030521192
Total Pages : 679 pages
Book Rating : 4.0/5 (35 download)

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Book Synopsis Bilevel Optimization by : Stephan Dempe

Download or read book Bilevel Optimization written by Stephan Dempe and published by Springer Nature. This book was released on 2020-11-23 with total page 679 pages. Available in PDF, EPUB and Kindle. Book excerpt: 2019 marked the 85th anniversary of Heinrich Freiherr von Stackelberg’s habilitation thesis “Marktform und Gleichgewicht,” which formed the roots of bilevel optimization. Research on the topic has grown tremendously since its introduction in the field of mathematical optimization. Besides the substantial advances that have been made from the perspective of game theory, many sub-fields of bilevel optimization have emerged concerning optimal control, multiobjective optimization, energy and electricity markets, management science, security and many more. Each chapter of this book covers a specific aspect of bilevel optimization that has grown significantly or holds great potential to grow, and was written by top experts in the corresponding area. In other words, unlike other works on the subject, this book consists of surveys of different topics on bilevel optimization. Hence, it can serve as a point of departure for students and researchers beginning their research journey or pursuing related projects. It also provides a unique opportunity for experienced researchers in the field to learn about the progress made so far and directions that warrant further investigation. All chapters have been peer-reviewed by experts on mathematical optimization.

Handbook of Risk Management in Energy Production and Trading

Author : Raimund M. Kovacevic
Publisher : Springer Science & Business Media
ISBN 13 : 1461490359
Total Pages : 506 pages
Book Rating : 4.4/5 (614 download)

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Book Synopsis Handbook of Risk Management in Energy Production and Trading by : Raimund M. Kovacevic

Download or read book Handbook of Risk Management in Energy Production and Trading written by Raimund M. Kovacevic and published by Springer Science & Business Media. This book was released on 2013-11-27 with total page 506 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents an overview of the risks involved in modern electricity production, delivery and trading, including technical risk in production, transportation and delivery, operational risk for the system operators, market risks for traders, and political and other long term risks in strategic management. Using decision making under uncertainty as a methodological background, the book is divided into four parts, with Part I focusing on energy markets, particularly electricity markets. Topics include a nontechnical overview of energy markets and their main properties, basic price models for energy commodity prices, and modeling approaches for electricity price processes. Part II looks at optimal decisions in managing energy systems, including hydropower dispatch models, cutting plane algorithms and approximative dynamic programming; hydro-thermal production; renewable; stochastic investments and operational optimization models for natural gas transport; decision making in operating electricity networks; and investment in extending energy production systems. Part III explores pricing, including electricity swing options and the pricing of derivatives with volume control. Part IV looks at long-term and political risks, including energy systems under aspects of climate change, and catastrophic operational risks, particularly risks from terrorist attacks.

Decision Making under Uncertainty in Financial Markets

Author : Jonas Ekblom
Publisher : Linköping University Electronic Press
ISBN 13 : 9176852024
Total Pages : 52 pages
Book Rating : 4.1/5 (768 download)

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Book Synopsis Decision Making under Uncertainty in Financial Markets by : Jonas Ekblom

Download or read book Decision Making under Uncertainty in Financial Markets written by Jonas Ekblom and published by Linköping University Electronic Press. This book was released on 2018-09-13 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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. Stochastic optimization provides the tools to determine optimal decisions in uncertain environments, and the optimality conditions of these models produce insights into how financial markets work. To be more concrete, a great deal of financial theory is based on optimality conditions derived from stochastic optimization models. Therefore, an important part of the development of financial theory is to study stochastic optimization models that step-by-step better capture the essence of reality. This is the motivation behind the focus of this thesis, which is to study methods that in relation to prevailing models that underlie financial theory allow additional real-world complexities to be properly modeled. The overall purpose of this thesis is to develop and evaluate stochastic optimization models that support improved decisions under uncertainty on financial markets. The research into stochastic optimization in financial literature has traditionally focused on problem formulations that allow closed-form or `exact' numerical solutions; typically through the application of dynamic programming or optimal control. The focus in this thesis is on two other optimization methods, namely stochastic programming and approximate dynamic programming, which open up opportunities to study new classes of financial problems. More specifically, these optimization methods allow additional and important aspects of many real-world problems to be captured. This thesis contributes with several insights that are relevant for both financial and stochastic optimization literature. First, we show that the modeling of several real-world aspects traditionally not considered in the literature are important components in a model which supports corporate hedging decisions. Specifically, we document the importance of modeling term premia, a rich asset universe and transaction costs. Secondly, we provide two methodological contributions to the stochastic programming literature by: (i) highlighting the challenges of realizing improved decisions through more stages in stochastic programming models; and (ii) developing an importance sampling method that can be used to produce high solution quality with few scenarios. Finally, we design an approximate dynamic programming model that gives close to optimal solutions to the classic, and thus far unsolved, portfolio choice problem with constant relative risk aversion preferences and transaction costs, given many risky assets and a large number of time periods.

Principles of Financial Engineering

Author : Robert Kosowski
Publisher : Academic Press
ISBN 13 : 0123870070
Total Pages : 893 pages
Book Rating : 4.1/5 (238 download)

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Book Synopsis Principles of Financial Engineering by : Robert Kosowski

Download or read book Principles of Financial Engineering written by Robert Kosowski and published by Academic Press. This book was released on 2014-11-26 with total page 893 pages. Available in PDF, EPUB and Kindle. Book excerpt: Principles of Financial Engineering, Third Edition, is a highly acclaimed text on the fast-paced and complex subject of financial engineering. This updated edition describes the "engineering" elements of financial engineering instead of the mathematics underlying it. It shows how to use financial tools to accomplish a goal rather than describing the tools themselves. It lays emphasis on the engineering aspects of derivatives (how to create them) rather than their pricing (how they act) in relation to other instruments, the financial markets, and financial market practices. This volume explains ways to create financial tools and how the tools work together to achieve specific goals. Applications are illustrated using real-world examples. It presents three new chapters on financial engineering in topics ranging from commodity markets to financial engineering applications in hedge fund strategies, correlation swaps, structural models of default, capital structure arbitrage, contingent convertibles, and how to incorporate counterparty risk into derivatives pricing. Poised midway between intuition, actual events, and financial mathematics, this book can be used to solve problems in risk management, taxation, regulation, and above all, pricing. A solutions manual enhances the text by presenting additional cases and solutions to exercises. This latest edition of Principles of Financial Engineering is ideal for financial engineers, quantitative analysts in banks and investment houses, and other financial industry professionals. It is also highly recommended to graduate students in financial engineering and financial mathematics programs. - The Third Edition presents three new chapters on financial engineering in commodity markets, financial engineering applications in hedge fund strategies, correlation swaps, structural models of default, capital structure arbitrage, contingent convertibles and how to incorporate counterparty risk into derivatives pricing, among other topics - Additions, clarifications, and illustrations throughout the volume show these instruments at work instead of explaining how they should act - The solutions manual enhances the text by presenting additional cases and solutions to exercises

Stochastic Modelling of Electricity and Related Markets

Author : Fred Espen Benth
Publisher : World Scientific
ISBN 13 : 981281230X
Total Pages : 352 pages
Book Rating : 4.8/5 (128 download)

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Book Synopsis Stochastic Modelling of Electricity and Related Markets by : Fred Espen Benth

Download or read book Stochastic Modelling of Electricity and Related Markets written by Fred Espen Benth and published by World Scientific. This book was released on 2008 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is known as spikes in the spot prices. The markets are also largely influenced by seasons, since power demand for heating and cooling varies over the year. The incompleteness of the markets, due to nonstorability of electricity and temperature as well as limited storage capacity of gas, makes spot-forward hedging impossible. Moreover, futures contracts are typically settled over a time period rather than at a fixed date. All these aspects of the markets create new challenges when analyzing price dynamics of spot, futures and other derivatives.This book provides a concise and rigorous treatment on the stochastic modeling of energy markets. Ornstein?Uhlenbeck processes are described as the basic modeling tool for spot price dynamics, where innovations are driven by time-inhomogeneous jump processes. Temperature futures are studied based on a continuous higher-order autoregressive model for the temperature dynamics. The theory presented here pays special attention to the seasonality of volatility and the Samuelson effect. Empirical studies using data from electricity, temperature and gas markets are given to link theory to practice.

Market Design for System Security in Low-carbon Electricity Grids

Author : Farhad Billimoria
Publisher :
ISBN 13 : 9781784671600
Total Pages : pages
Book Rating : 4.6/5 (716 download)

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Book Synopsis Market Design for System Security in Low-carbon Electricity Grids by : Farhad Billimoria

Download or read book Market Design for System Security in Low-carbon Electricity Grids written by Farhad Billimoria and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Genetic Algorithms in Search, Optimization, and Machine Learning

Author : David Edward Goldberg
Publisher : Addison-Wesley Professional
ISBN 13 :
Total Pages : 436 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis Genetic Algorithms in Search, Optimization, and Machine Learning by : David Edward Goldberg

Download or read book Genetic Algorithms in Search, Optimization, and Machine Learning written by David Edward Goldberg and published by Addison-Wesley Professional. This book was released on 1989 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt: A gentle introduction to genetic algorithms. Genetic algorithms revisited: mathematical foundations. Computer implementation of a genetic algorithm. Some applications of genetic algorithms. Advanced operators and techniques in genetic search. Introduction to genetics-based machine learning. Applications of genetics-based machine learning. A look back, a glance ahead. A review of combinatorics and elementary probability. Pascal with random number generation for fortran, basic, and cobol programmers. A simple genetic algorithm (SGA) in pascal. A simple classifier system(SCS) in pascal. Partition coefficient transforms for problem-coding analysis.

Cloud Data Centers and Cost Modeling

Author : Caesar Wu
Publisher : Morgan Kaufmann
ISBN 13 : 0128016884
Total Pages : 848 pages
Book Rating : 4.1/5 (28 download)

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Book Synopsis Cloud Data Centers and Cost Modeling by : Caesar Wu

Download or read book Cloud Data Centers and Cost Modeling written by Caesar Wu and published by Morgan Kaufmann. This book was released on 2015-02-27 with total page 848 pages. Available in PDF, EPUB and Kindle. Book excerpt: Cloud Data Centers and Cost Modeling establishes a framework for strategic decision-makers to facilitate the development of cloud data centers. Just as building a house requires a clear understanding of the blueprints, architecture, and costs of the project; building a cloud-based data center requires similar knowledge. The authors take a theoretical and practical approach, starting with the key questions to help uncover needs and clarify project scope. They then demonstrate probability tools to test and support decisions, and provide processes that resolve key issues. After laying a foundation of cloud concepts and definitions, the book addresses data center creation, infrastructure development, cost modeling, and simulations in decision-making, each part building on the previous. In this way the authors bridge technology, management, and infrastructure as a service, in one complete guide to data centers that facilitates educated decision making. - Explains how to balance cloud computing functionality with data center efficiency - Covers key requirements for power management, cooling, server planning, virtualization, and storage management - Describes advanced methods for modeling cloud computing cost including Real Option Theory and Monte Carlo Simulations - Blends theoretical and practical discussions with insights for developers, consultants, and analysts considering data center development

Essays and Surveys in Global Optimization

Author : Charles Audet
Publisher : Springer Science & Business Media
ISBN 13 : 0387255702
Total Pages : 294 pages
Book Rating : 4.3/5 (872 download)

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Book Synopsis Essays and Surveys in Global Optimization by : Charles Audet

Download or read book Essays and Surveys in Global Optimization written by Charles Audet and published by Springer Science & Business Media. This book was released on 2005-12-05 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt: Global optimization aims at solving the most general problems of deterministic mathematical programming: to find the global optimum of a nonlinear, nonconvex, multivariate function of continuous and/or integer variables subject to constraints which may be themselves nonlinear and nonconvex. In addition, once the solutions are found, proof of its optimality is also expected from this methodology. Therefore, with these difficulties in mind, global optimization is becoming an increasingly powerful and important methodology. Essays and Surveys in Global Optimization is the most recent examination of its mathematical capability, power, and wide ranging solutions to many fields in the applied sciences.

Introduction to Optimum Design

Author : Jasbir Singh Arora
Publisher : Academic Press
ISBN 13 : 012381376X
Total Pages : 897 pages
Book Rating : 4.1/5 (238 download)

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Book Synopsis Introduction to Optimum Design by : Jasbir Singh Arora

Download or read book Introduction to Optimum Design written by Jasbir Singh Arora and published by Academic Press. This book was released on 2011-08-12 with total page 897 pages. Available in PDF, EPUB and Kindle. Book excerpt: Introduction to Optimum Design, Third Edition describes an organized approach to engineering design optimization in a rigorous yet simplified manner. It illustrates various concepts and procedures with simple examples and demonstrates their applicability to engineering design problems. Formulation of a design problem as an optimization problem is emphasized and illustrated throughout the text. Excel and MATLAB® are featured as learning and teaching aids. - Basic concepts of optimality conditions and numerical methods are described with simple and practical examples, making the material highly teachable and learnable - Includes applications of optimization methods for structural, mechanical, aerospace, and industrial engineering problems - Introduction to MATLAB Optimization Toolbox - Practical design examples introduce students to the use of optimization methods early in the book - New example problems throughout the text are enhanced with detailed illustrations - Optimum design with Excel Solver has been expanded into a full chapter - New chapter on several advanced optimum design topics serves the needs of instructors who teach more advanced courses

Computer Vision Metrics

Author : Scott Krig
Publisher : Apress
ISBN 13 : 1430259302
Total Pages : 498 pages
Book Rating : 4.4/5 (32 download)

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Book Synopsis Computer Vision Metrics by : Scott Krig

Download or read book Computer Vision Metrics written by Scott Krig and published by Apress. This book was released on 2014-06-14 with total page 498 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computer Vision Metrics provides an extensive survey and analysis of over 100 current and historical feature description and machine vision methods, with a detailed taxonomy for local, regional and global features. This book provides necessary background to develop intuition about why interest point detectors and feature descriptors actually work, how they are designed, with observations about tuning the methods for achieving robustness and invariance targets for specific applications. The survey is broader than it is deep, with over 540 references provided to dig deeper. The taxonomy includes search methods, spectra components, descriptor representation, shape, distance functions, accuracy, efficiency, robustness and invariance attributes, and more. Rather than providing ‘how-to’ source code examples and shortcuts, this book provides a counterpoint discussion to the many fine opencv community source code resources available for hands-on practitioners.

Electric Power System Planning

Author : Hossein Seifi
Publisher : Springer Science & Business Media
ISBN 13 : 3642179894
Total Pages : 379 pages
Book Rating : 4.6/5 (421 download)

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Book Synopsis Electric Power System Planning by : Hossein Seifi

Download or read book Electric Power System Planning written by Hossein Seifi and published by Springer Science & Business Media. This book was released on 2011-06-24 with total page 379 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present book addresses various power system planning issues for professionals as well as senior level and postgraduate students. Its emphasis is on long-term issues, although much of the ideas may be used for short and mid-term cases, with some modifications. Back-up materials are provided in twelve appendices of the book. The readers can use the numerous examples presented within the chapters and problems at the end of the chapters, to make sure that the materials are adequately followed up. Based on what Matlab provides as a powerful package for students and professional, some of the examples and the problems are solved in using M-files especially developed and attached for this purpose. This adds a unique feature to the book for in-depth understanding of the materials, sometimes, difficult to apprehend mathematically. Chapter 1 provides an introduction to Power System Planning (PSP) issues and basic principles. As most of PSP problems are modeled as optimization problems, optimization techniques are covered in some details in Chapter 2. Moreover, PSP decision makings are based on both technical and economic considerations, so economic principles are briefly reviewed in Chapter 3. As a basic requirement of PSP studies, the load has to be known. Therefore, load forecasting is presented in Chapter 4. Single bus Generation Expansion Planning (GEP) problem is described in Chapter 5. This study is performed using WASP-IV, developed by International Atomic Energy Agency. The study ignores the grid structure. A Multi-bus GEP problem is discussed in Chapter 6 in which the transmission effects are, somehow, accounted for. The results of single bus GEP is used as an input to this problem. SEP problem is fully presented in Chapter 7. Chapter 8 devotes to Network Expansion Planning (NEP) problem, in which the network is planned. The results of NEP, somehow, fixes the network structure. Some practical considerations and improvements such as multi-voltage cases are discussed in Chapter 9. As NEP study is typically based on some simplifying assumptions and Direct Current Load Flow (DCLF) analysis, detailed Reactive Power Planning (RPP) study is finally presented in Chapter 10, to guarantee acceptable ACLF performance during normal as well as contingency conditions. This, somehow, concludes the basic PSP problem. The changing environments due to power system restructuring dictate some uncertainties on PSP issues. It is shown in Chapter 11 that how these uncertainties can be accounted for. Although is intended to be a text book, PSP is a research oriented topic, too. That is why Chapter 12 is devoted to research trends in PSP. The chapters conclude with a comprehensive example in Chapter 13, showing the step-by-step solution of a practical case.

Pricing of Derivatives on Mean-Reverting Assets

Author : Björn Lutz
Publisher : Springer Science & Business Media
ISBN 13 : 3642029094
Total Pages : 146 pages
Book Rating : 4.6/5 (42 download)

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Book Synopsis Pricing of Derivatives on Mean-Reverting Assets by : Björn Lutz

Download or read book Pricing of Derivatives on Mean-Reverting Assets written by Björn Lutz and published by Springer Science & Business Media. This book was released on 2009-09-19 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt: The topic of this book is the development of pricing formulae for European style derivatives on assets with mean-reverting behavior, especially commodity derivatives.

Autonomous and Autonomic Systems: With Applications to NASA Intelligent Spacecraft Operations and Exploration Systems

Author : Walt Truszkowski
Publisher : Springer Science & Business Media
ISBN 13 : 1846282330
Total Pages : 295 pages
Book Rating : 4.8/5 (462 download)

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Book Synopsis Autonomous and Autonomic Systems: With Applications to NASA Intelligent Spacecraft Operations and Exploration Systems by : Walt Truszkowski

Download or read book Autonomous and Autonomic Systems: With Applications to NASA Intelligent Spacecraft Operations and Exploration Systems written by Walt Truszkowski and published by Springer Science & Business Media. This book was released on 2009-11-12 with total page 295 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the early 1990s, NASA Goddard Space Flight Center started researching and developing autonomous and autonomic ground and spacecraft control systems for future NASA missions. This research started by experimenting with and developing expert systems to automate ground station software and reduce the number of people needed to control a spacecraft. This was followed by research into agent-based technology to develop autonomous ground c- trol and spacecraft. Research into this area has now evolved into using the concepts of autonomic systems to make future space missions self-managing and giving them a high degree of survivability in the harsh environments in which they operate. This book describes much of the results of this research. In addition, it aimstodiscusstheneededsoftwaretomakefutureNASAspacemissionsmore completelyautonomousandautonomic.Thecoreofthesoftwareforthesenew missions has been written for other applications or is being applied gradually in current missions, or is in current development. It is intended that this book should document how NASA missions are becoming more autonomous and autonomic and should point to the way of making future missions highly - tonomous and autonomic. What is not covered is the supporting hardware of these missions or the intricate software that implements orbit and at- tude determination, on-board resource allocation, or planning and scheduling (though we refer to these technologies and give references for the interested reader).

Project Management

Author : Jack R. Meredith
Publisher : John Wiley & Sons
ISBN 13 : 1119369096
Total Pages : 546 pages
Book Rating : 4.1/5 (193 download)

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Book Synopsis Project Management by : Jack R. Meredith

Download or read book Project Management written by Jack R. Meredith and published by John Wiley & Sons. This book was released on 2017-10-30 with total page 546 pages. Available in PDF, EPUB and Kindle. Book excerpt: Projects continue to grow larger, increasingly strategic, and more complex, with greater collaboration, instant feedback, specialization, and an ever-expanding list of stakeholders. Now more than ever, effective project management is critical for the success of any deliverable, and the demand for qualified Project Managers has leapt into nearly all sectors. Project Management provides a robust grounding in essentials of the field using a managerial approach to both fundamental concepts and real-world practice. Designed for business students, this text follows the project life cycle from beginning to end to demonstrate what successful project management looks like on the ground. Expert discussion details specific techniques and applications, while guiding students through the diverse skill set required to select, initiate, execute, and evaluate today's projects. Insightful coverage of change management provides clear guidance on handling the organizational, interpersonal, economic, and technical glitches that can derail any project, while in-depth cases and real-world examples illustrate essential concepts in action.

Soft Computing

Author : Mangey Ram
Publisher : Walter de Gruyter GmbH & Co KG
ISBN 13 : 3110625717
Total Pages : 209 pages
Book Rating : 4.1/5 (16 download)

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Book Synopsis Soft Computing by : Mangey Ram

Download or read book Soft Computing written by Mangey Ram and published by Walter de Gruyter GmbH & Co KG. This book was released on 2020-08-24 with total page 209 pages. Available in PDF, EPUB and Kindle. Book excerpt: Soft computing is used where a complex problem is not adequately specified for the use of conventional math and computer techniques. Soft computing has numerous real-world applications in domestic, commercial and industrial situations. This book elaborates on the most recent applications in various fields of engineering.

Microgrid Architectures, Control and Protection Methods

Author : Naser Mahdavi Tabatabaei
Publisher : Springer
ISBN 13 : 3030237230
Total Pages : 795 pages
Book Rating : 4.0/5 (32 download)

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Book Synopsis Microgrid Architectures, Control and Protection Methods by : Naser Mahdavi Tabatabaei

Download or read book Microgrid Architectures, Control and Protection Methods written by Naser Mahdavi Tabatabaei and published by Springer. This book was released on 2019-08-01 with total page 795 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents intuitive explanations of the principles of microgrids, including their structure and operation and their applications. It also discusses the latest research on microgrid control and protection technologies and the essentials of microgrids as well as enhanced communication systems. The book provides solutions to microgrid operation and planning issues using various methodologies including planning and modelling; AC and DC hybrid microgrids; energy storage systems in microgrids; and optimal microgrid operational planning. Written by specialists, it is filled in innovative solutions and research related to microgrid operation, making it a valuable resource for those interested in developing updated approaches in electric power analysis, design and operational strategies. Thanks to its in-depth explanations and clear, three-part structure, it is useful for electrical engineering students, researchers and technicians.