Finite-Horizon Problems

1996 ◽  
pp. 23-42
Author(s):  
Onésimo Hernández-Lerma ◽  
Jean Bernard Lasserre
Keyword(s):  
Finite Horizon ◽  
Horizon Problems

scholarly journals Annualization of Renewable Investment Costs for Finite Horizon Electricity Pricing and Cost Recovery

2021 ◽  
Vol 13 (4) ◽  
pp. 1993
Author(s):  
Fco. Alberto Campos ◽  
José Villar ◽  
Efraim Centeno
Keyword(s):  
Cost Minimization ◽  
Infinite Horizon ◽  
Finite Horizon ◽  
Electricity Pricing ◽  
Renewable Electricity ◽  
Novel Approach ◽  
Renewable Electricity Generation ◽  
Horizon Problems ◽  
Fuel Costs

The increasing penetration of renewable electricity generation is complicating the bidding and estimating processes of electricity prices, partly due to the shift of the overall cost sensitivity from operation (fuel) costs to investment costs. However, cost minimization models for capacity expansion are frequently based on the principle that, for a perfectly adapted system allowing non-served energy, marginal remuneration allows overall operation and investments costs recovery. In addition, these models are usually formulated as finite-horizon problems when they should be theoretically solved for infinite horizons under the assumption of companies’ infinite lifespan, but infinite horizon cannot be dealt with mathematical programming since it requires finite sets. Previous approaches have tried to overcome this drawback with finite horizon models that tend asymptotically to the original infinite ones and, in many cases, the investment costs are annualized based on the plants’ lifespan, sometimes including a cost residual value. This paper proposes a novel approach with a finite horizon that guarantees the investment costs’ recovery. It is also able to obtain the marginal electricity costs of the original infinite horizon model, without the need for residual values or non-served energy. This new approach is especially suited for long-term electricity pricing with investments in renewable assets when non-served demand is banned or when no explicit capacity remuneration mechanisms are considered.

scholarly journals Efficient simulation of finite horizon problems in queueing and insurance risk

2007 ◽  
Vol 57 (2-3) ◽  
pp. 85-97
Author(s):  
Leonardo Rojas-Nandayapa ◽  
Søren Asmussen
Keyword(s):  
Finite Horizon ◽  
Insurance Risk ◽  
Efficient Simulation ◽  
Horizon Problems

scholarly journals Point-Based Value Iteration for Finite-Horizon POMDPs

2019 ◽  
Vol 65 ◽  
pp. 307-341 ◽  
Author(s):  
Erwin Walraven ◽  
Matthijs T. J. Spaan
Keyword(s):  
Planning Horizon ◽  
Finite Horizon ◽  
Iteration Algorithm ◽  
General Point ◽  
Value Iteration ◽  
Sequential Decision ◽  
Solution Quality ◽  
Markov Decision ◽  
Horizon Problems ◽  
Partially Observable

Partially Observable Markov Decision Processes (POMDPs) are a popular formalism for sequential decision making in partially observable environments. Since solving POMDPs to optimality is a difficult task, point-based value iteration methods are widely used. These methods compute an approximate POMDP solution, and in some cases they even provide guarantees on the solution quality, but these algorithms have been designed for problems with an infinite planning horizon. In this paper we discuss why state-of-the-art point-based algorithms cannot be easily applied to finite-horizon problems that do not include discounting. Subsequently, we present a general point-based value iteration algorithm for finite-horizon problems which provides solutions with guarantees on solution quality. Furthermore, we introduce two heuristics to reduce the number of belief points considered during execution, which lowers the computational requirements. In experiments we demonstrate that the algorithm is an effective method for solving finite-horizon POMDPs.

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