lnu.sePublications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
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
2017 (English)In: Mathematical Methods of Operations Research, ISSN 1432-2994, E-ISSN 1432-5217Article in journal (Refereed) Epub ahead of print
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
2017.
Keyword [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/s00186-017-0620-2OAI: oai:DiVA.org:lnu-68962DiVA: diva2:1159771
Funder
Swedish Research Council, 2014-03774
Available from: 2017-11-23 Created: 2017-11-23 Last updated: 2018-02-15

Open Access in DiVA

No full text in DiVA

Other links

Publisher's full text

Authority records BETA

Perninge, Magnus

Search in DiVA

By author/editor
Perninge, Magnus
By organisation
Department of Physics and Electrical Engineering
In the same journal
Mathematical Methods of Operations Research
Probability Theory and StatisticsControl Engineering

Search outside of DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric score

doi
urn-nbn
Total: 4 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf