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27 results on '"Hinz, Juri"'

1. rcss: Subgradient and duality approach for dynamic programming

Author

Hinz, Juri and Yee, Jeremy

Subjects
Computer Science - Mathematical Software
Abstract

This short paper gives an introduction to the \emph{rcss} package. The R package \emph{rcss} provides users with a tool to approximate the value functions in the Bellman recursion using convex piecewise linear functions formed using operations on tangents. A pathwise method is then used to gauge the quality of the numerical results., Comment: 13 pages

Published
2018

2. Optimal Forward Trading and Battery Control Under Renewable Electricity Generation

Author

Hinz, Juri and Yee, Jeremy

Subjects
Mathematics - Optimization and Control
Abstract

The increased market penetration of renewable energy sources and the rapid development of electric battery storage technologies yield a potential for reducing electricity price volatility while maintaining stability of the power grid. This work presents an algorithmic approach to control battery levels and forward positions to optimally manage power output fluctuations caused by intermittent renewable energy generation. This paper will also explore the effect of battery technology on the firm's optimal trading behaviour in the electricity spot market.

Published
2017

3. Commodity Resource Valuation And Extraction: A Pathwise Programming Approach

Author

Hinz, Juri, Tarnopolskaya, Tanya, and Yee, Jeremy

Subjects
Mathematics - Optimization and Control
Abstract

Complexity and uncertainty associated with commodity resource valuation and extraction requires stochastic control methods suitable for high dimensional states. Recent progress in duality and trajectory-wise techniques has introduced a variety of fresh ideas to this field with surprising results. This paper presents a first application of this promising development to commodity extraction problems. We introduce efficient algorithms for obtaining approximate solutions along with a diagnostic technique, which provides a quantitative measure for solution performance in terms of the distance between the approximate and the optimal control policy., Comment: 17 pages, 5 figures and 5 tables. Fixed some minor typos

Published
2016

5. On fair pricing of emission-related derivatives

Author

Hinz, Juri and Novikov, Alex

Subjects
Mathematics - Statistics Theory, Quantitative Finance - Pricing of Securities
Abstract

Tackling climate change is at the top of many agendas. In this context, emission trading schemes are considered as promising tools. The regulatory framework for an emission trading scheme introduces a market for emission allowances and creates a need for risk management by appropriate financial contracts. In this work, we address logical principles underlying their valuation., Comment: Published in at http://dx.doi.org/10.3150/09-BEJ242 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)

Published
2010
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20. rcss: R package for optimal convex stochastic switching.

Author

Hinz, Juri and Yee, Jeremy

Subjects
*MARKOV processes, *MATHEMATICAL optimization
Abstract

The R package rcss provides users with a tool to approximate the value functions in the Bellman recursion under certain assumptions that guarantee desirable convergence properties. This R package represents the first software implementation of these methods using matrices and nearest neighbors. This package also employs a pathwise dynamic method to gauge the quality of these value function approximations. Statistical analysis can be performed on the results to obtain other useful practical insights. This paper describes rcss version 1.6. [ABSTRACT FROM AUTHOR]

Published
2018

21. Hypergroup Actions and Wavelets

Author

Hinz, Juri

Abstract

In analogy to wavelet transforms, we use group-like structures in order to introduce a class of integral transformations. We consider them in the context of Hilbert spaces and study their inversion., This is the proceedings of the 2nd Japanese-German Symposium on Infinite Dimensional Harmonic Analysis held from September 20th to September 24th 1999 at the Department of Mathematics of Kyoto University., この論文集は, 1999年9月20日から9月24日の日程で京都大学理学研究科数学教室において開催された第2回日独セミナー「無限次元調和解祈」の成果をもとに編集されたものである., 編集 : ハーバート・ハイヤー, 平井 武, 尾畑 信明, Editors: Herbert Heyer, Takeshi Hirai, Nobuaki Obata #en

Published
2000

24. A martingale method of portfolio optimization for unobservable mean rate of return

Author

Hinz, Juri and Korn, Ralf

Subjects
ddc:510
Abstract

In the Black-Scholes type financial market, the risky asset S 1 ( ) is supposed to satisfy dS 1 ( t ) = S 1 ( t )( b ( t ) dt + Sigma ( t ) dW ( t ) where W ( ) is a Brownian motion. The processes b ( ), Sigma ( ) are progressively measurable with respect to the filtration generated by W ( ). They are known as the mean rate of return and the volatility respectively. A portfolio is described by a progressively measurable processes Pi1 ( ), where Pi1 ( t ) gives the amount invested in the risky asset at the time t. Typically, the optimal portfolio Pi1 ( ) (that, which maximizes the expected utility), depends at the time t, among other quantities, on b ( t ) meaning that the mean rate of return shall be known in order to follow the optimal trading strategy. However, in a real-world market, no direct observation of this quantity is possible since the available information comes from the behavior of the stock prices which gives a noisy observation of b ( ). In the present work, we consider the optimal portfolio selection which uses only the observation of stock prices.

Published
2000

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