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Creators/Authors contains: "Nellis, April"

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  1. ; ; (, SIAM Journal on Financial Mathematics)
    Soner, Mete (Ed.)
    We develop a backward-in-time machine learning algorithm that uses a sequence of neural networks to solve optimal switching problems in energy production, where electricity and fossil fuel prices are subject to stochastic jumps. We then apply this algorithm to a variety of energy scheduling problems, including novel high-dimensional energy production problems. Our experimental results demonstrate that the algorithm performs with accuracy and experiences linear to sub-linear slowdowns as dimension increases, demonstrating the value of the algorithm for solving high-dimensional switching problem. Keywords. Deep neural networks, forward-backward systems of stochastic differential equations, optimal switching, Monte Carlo algorithm, optimal investment in power generation, planning problems 
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  2. ; ; ; ; (, SIAM/ASA Journal on Uncertainty Quantification)
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