Prof. Dr. Vladimir Spokoiny

Projects as a project leader

• SE7

  Optimizing strategies in energy and storage markets

  PD Dr. John Schoenmakers / Prof. Dr. Vladimir Spokoiny

  Project heads: PD Dr. John Schoenmakers / Prof. Dr. Vladimir Spokoiny
  Project members: Roland Hildebrand
  Duration: -
  Status: completed
  Located at: Weierstraß-Institut
  

  Description

  The project aims at developing numerical methods for the solution of complex optimal control problems arising in energy production, storage, and trading on energy markets. As a first step, we implement a Monte-Carlo approach to a hydro-electricity production and storage problem coupled with a stochastic model of the electricity market. Further we develop algorithms for pricing of complex energy derivatives based on the dual martingale approach.
  
  http://www.wias-berlin.de/projects/ECMath-SE7/

• SE22

  Decisions in energy markets via deep learning and optimal control

  PD Dr. John Schoenmakers / Prof. Dr. Vladimir Spokoiny

  Project heads: PD Dr. John Schoenmakers / Prof. Dr. Vladimir Spokoiny
  Project members: Dr. Alexandra Suvorikova
  Duration: 01.06.2017 - 31.12.2018
  Status: completed
  Located at: Weierstraß-Institut
  

  Description

  One of the main goals in this project is a systematic numerical treatment of generic optimal decision problems in real-life applications that encounter in energy markets by incorporating ``deep Learning'', a recent concept for data analysis and prediction. Also it is intended to include principles of deep learning in methods for forecasting and estimating price distribution processes in a systematic way.
  
  https://www.wias-berlin.de/projects/ECMath-SE22/