| bibtype |
C -
Conference Paper (international conference)
|
| ARLID |
0495435 |
| utime |
20240103220749.4 |
| mtime |
20181029235959.9 |
| title
(primary) (eng) |
Solution of Emission Management Problem |
| specification |
| page_count |
6 s. |
| media_type |
C |
|
| serial |
| ARLID |
cav_un_epca*0496142 |
| ISSN |
2464-6970 |
| title
|
MANAGING AND MODELLING OF FINANCIAL RISKS : proceedings of the 9th International Scienti c Conference Managing and Modelling of Financial Risks |
| publisher |
| place |
Ostrava |
| name |
VŠB-Technical University of Ostrava |
| year |
2018 |
|
|
| keyword |
Multi-stage stochastic programming |
| keyword |
Emission management |
| keyword |
SDDP |
| keyword |
time dependence |
| author
(primary) |
| ARLID |
cav_un_auth*0101206 |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| full_dept |
Department of Econometrics |
| share |
50 |
| name1 |
Šmíd |
| name2 |
Martin |
| institution |
UTIA-B |
| garant |
K |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0363894 |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| share |
50 |
| name1 |
Kozmík |
| name2 |
Václav |
| institution |
UTIA-B |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
GA16-01298S |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0341139 |
|
| abstract
(eng) |
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. |
| action |
| ARLID |
cav_un_auth*0366393 |
| name |
9th International Scientific Conference Managing and Modelling of Financial Risks |
| dates |
20180905 |
| place |
Ostrava |
| country |
CZ |
| mrcbC20-s |
20180906 |
|
| RIV |
BB |
| FORD0 |
10000 |
| FORD1 |
10100 |
| FORD2 |
10103 |
| reportyear |
2019 |
| num_of_auth |
2 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0288954 |
| mrcbC61 |
1 |
| confidential |
S |
| arlyear |
2018 |
| mrcbU14 |
SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
WOS |
| mrcbU63 |
cav_un_epca*0496142 MANAGING AND MODELLING OF FINANCIAL RISKS : proceedings of the 9th International Scienti c Conference Managing and Modelling of Financial Risks 2464-6970 2464-6989 Ostrava VŠB-Technical University of Ostrava 2018 |
|