Solution of Emission Management Problem

0495435 - ÚTIA 2019 RIV CZ eng C - Konferenční příspěvek (zahraniční konf.)
Šmíd, Martin - Kozmík, Václav
Solution of Emission Management Problem.
MANAGING AND MODELLING OF FINANCIAL RISKS : proceedings of the 9th International Scienti c Conference Managing and Modelling of Financial Risks. Ostrava: VŠB-Technical University of Ostrava, 2018. ISSN 2464-6970. E-ISSN 2464-6989.
[9th International Scientific Conference Managing and Modelling of Financial Risks. Ostrava (CZ), 05.09.2018-06.09.2018]
Grant CEP: GA ČR(CZ) GA16-01298S
Institucionální podpora: RVO:67985556
Klíčová slova: Multi-stage stochastic programming * Emission management * SDDP * time dependence
Obor OECD: Statistics and probability
http://library.utia.cas.cz/separaty/2018/E/smid-0495435.pdf

Optimal covering of emissions stemming from random production is a multistage stochastic programming problem. Solving it in a usual way - by means of deterministic equivalent - is possible only given an unrealistic approximation of random parameters. There exists an efficient way of solving multistage problems - stochastic dual dynamic programming (SDDP), however, it requires the inter-stage independence of random parameters, which is not the case which our problem. In the paper, we discuss a modified version of SDDP, allowing for some form of interstage dependence.
Trvalý link: http://hdl.handle.net/11104/0288954