A forward dynamic optimization strategy under contango storage arbitrage with frictions

2017 ◽  
Vol 10 (3) ◽  
pp. 59-85 ◽  
Author(s):  
Behzad Ghafouri ◽  
Matt Davison
Keyword(s):  
Dynamic Optimization ◽  
Optimization Strategy

scholarly journals Optimal Economic Operation of Islanded Microgrid by Using a Modified PSO Algorithm

2015 ◽  
Vol 2015 ◽  
pp. 1-10 ◽  
Author(s):  
Yiwei Ma ◽  
Ping Yang ◽  
Zhuoli Zhao ◽  
Yuewu Wang
Keyword(s):  
Energy Source ◽  
Renewable Energy Source ◽  
Renewable Energy ◽  
Dynamic Optimization ◽  
Storage System ◽  
Optimization Strategy ◽  
Battery Storage ◽  
Diesel Generator ◽  
Economic Operation ◽  
Islanded Microgrid

An optimal economic operation method is presented to attain a joint-optimization of cost reduction and operation strategy for islanded microgrid, which includes renewable energy source, the diesel generator, and battery storage system. The optimization objective is to minimize the overall generating cost involving depreciation cost, operation cost, emission cost, and economic subsidy available for renewable energy source, while satisfying various equality and inequality constraints. A novel dynamic optimization process is proposed based on two different operation control modes where diesel generator or battery storage acts as the master unit to maintain the system frequency and voltage stability, and a modified particle swarm optimization algorithm is applied to get faster solution to the practical economic operation problem of islanded microgrid. With the example system of an actual islanded microgrid in Dongao Island, China, the proposed models, dynamic optimization strategy, and solution algorithm are verified and the influences of different operation strategies and optimization algorithms on the economic operation are discussed. The results achieved demonstrate the effectiveness and feasibility of the proposed method.

USE OF A BATCH REACTIVE DISTILLATION WITH DYNAMIC OPTIMIZATION STRATEGY TO ACHIEVE INDUSTRIAL GRADE ETHYL ACETATE

2011 ◽  
Author(s):  
Kwantip Konakom ◽  
Aritsara Saengchan ◽  
Paisan Kittisupakorn ◽  
Iqbal M. Mujtaba ◽  
Sio-Iong Ao
Keyword(s):  
Ethyl Acetate ◽  
Dynamic Optimization ◽  
Reactive Distillation ◽  
Optimization Strategy ◽  
Industrial Grade

A model-based dynamic optimization strategy for control of indoor air pollutants

2019 ◽  
Vol 195 ◽  
pp. 168-179 ◽  
Author(s):  
Hari S. Ganesh ◽  
Hagen E. Fritz ◽  
Thomas F. Edgar ◽  
Atila Novoselac ◽  
Michael Baldea
Keyword(s):  
Dynamic Optimization ◽  
Indoor Air ◽  
Air Pollutants ◽  
Optimization Strategy ◽  
Model Based ◽  
Indoor Air Pollutants

scholarly journals Dynamic risk-based optimization on cryptocurrencies

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Bayu Adi Nugroho
Keyword(s):  
Transaction Cost ◽  
Dynamic Optimization ◽  
Design Methodology ◽  
Minimum Variance ◽  
Multivariate Garch ◽  
Optimization Strategy ◽  
Content Type ◽  
Out Of Sample ◽  
Rolling Windows ◽  
Practical Implications

PurposeIt is crucial to find a better portfolio optimization strategy, considering the cryptocurrencies' asymmetric volatilities. Hence, this research aimed to present dynamic optimization on minimum variance (MVP), equal risk contribution (ERC) and most diversified portfolio (MDP).Design/methodology/approachThis study applied dynamic covariances from multivariate GARCH(1,1) with Student’s-t-distribution. This research also constructed static optimization from the conventional MVP, ERC and MDP as comparison. Moreover, the optimization involved transaction cost and out-of-sample analysis from the rolling windows method. The sample consisted of ten significant cryptocurrencies.FindingsDynamic optimization enhanced risk-adjusted return. Moreover, dynamic MDP and ERC could win the naïve strategy (1/N) under various estimation windows, and forecast lengths when the transaction cost ranging from 10 bps to 50 bps. The researcher also used another researcher's sample as a robustness test. Findings showed that dynamic optimization (MDP and ERC) outperformed the benchmark.Practical implicationsSophisticated investors may use the dynamic ERC and MDP to optimize cryptocurrencies portfolio.Originality/valueTo the best of the author’s knowledge, this is the first paper that studies the dynamic optimization on MVP, ERC and MDP using DCC and ADCC-GARCH with multivariate-t-distribution and rolling windows method.

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