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Variables Reduction in Sequential Resource Allocation Problems

Author

Listed:
  • Juri Hinz
  • Tiziano Vargiolu

Abstract

This paper presents a general framework to address diverse notoriously difficult problems arising in the area of optimal resource management, exploitation of natural reserves, pension fund valuation, environmental protection, and storage operation. Using some common abstract features of this problem class, we present a technique which provides a significant reduction of decision variables. As an application, we discuss a battery storage control to show how a decision problem, which is practically unsolvable in the original formulation, can be treated by our method.

Suggested Citation

  • Juri Hinz & Tiziano Vargiolu, 2020. "Variables Reduction in Sequential Resource Allocation Problems," Research Paper Series 406, Quantitative Finance Research Centre, University of Technology, Sydney.
    • Handle: RePEc:uts:rpaper:406
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    References listed on IDEAS

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