Quantile Fourier regressions for decision making under uncertainty
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arXiv
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| Auteurs principaux: | , , |
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| Format: | Preprint |
| Publié: |
2024
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| _version_ | 1866909317461966848 |
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| author | Khojaste, Arash Pritchard, Geoffrey Zakeri, Golbon |
| author_facet | Khojaste, Arash Pritchard, Geoffrey Zakeri, Golbon |
| contents | Weconsider Markov decision processes arising from a Markov model of an underlying natural phenomenon. Such phenomena are usually periodic (e.g. annual) in time, and so the Markov processes modelling them must be time-inhomogeneous, with cyclostationary rather than stationary behaviour. We describe a technique for constructing such processes that allows for periodic variations both in the values taken by the process and in the serial dependence structure. We include two illustrative numerical examples: a hydropower scheduling problem and a model of offshore wind power integration. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2409_10455 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Quantile Fourier regressions for decision making under uncertainty Khojaste, Arash Pritchard, Geoffrey Zakeri, Golbon Optimization and Control Weconsider Markov decision processes arising from a Markov model of an underlying natural phenomenon. Such phenomena are usually periodic (e.g. annual) in time, and so the Markov processes modelling them must be time-inhomogeneous, with cyclostationary rather than stationary behaviour. We describe a technique for constructing such processes that allows for periodic variations both in the values taken by the process and in the serial dependence structure. We include two illustrative numerical examples: a hydropower scheduling problem and a model of offshore wind power integration. |
| title | Quantile Fourier regressions for decision making under uncertainty |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2409.10455 |