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A limited-feedback approximation scheme for optimal switching problems with execution delays
Linnaeus University, Faculty of Technology, Department of Physics and Electrical Engineering. (Stochastic Analysis and Stochastic Processes)ORCID iD: 0000-0003-3111-4820
2018 (English)In: Mathematical Methods of Operations Research, ISSN 1432-2994, E-ISSN 1432-5217, Vol. 87, no 3, p. 347-382Article in journal (Refereed) Published
Abstract [en]

We consider a type of optimal switching problems with non-uniform execution delays and ramping. Such problems frequently occur in the operation of economical and engineering systems. We first provide a solution to the problem by applying a probabilistic method. The main contribution is, however, a scheme for approximating the optimal control by limiting the information in the state-feedback. In a numerical example the approximation routine gives a considerable computational performance enhancement when compared to a conventional algorithm.

Place, publisher, year, edition, pages
Springer, 2018. Vol. 87, no 3, p. 347-382
Keywords [en]
Optimal switching, Impulse control, Real options, Delivery lag, Execution delay, Stopping time, Snell envelope, Numerical algorithm
National Category
Probability Theory and Statistics Control Engineering
Research subject
Mathematics, Applied Mathematics
Identifiers
URN: urn:nbn:se:lnu:diva-68962DOI: 10.1007/s00186-017-0620-2ISI: 000435382800002Scopus ID: 2-s2.0-85033478526OAI: oai:DiVA.org:lnu-68962DiVA, id: diva2:1159771
Funder
Swedish Research Council, 2014-03774Available from: 2017-11-23 Created: 2017-11-23 Last updated: 2019-08-29Bibliographically approved

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Perninge, Magnus

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