Sökning: "Stochastic Programming"

Visar resultat 1 - 5 av 54 uppsatser innehållade orden Stochastic Programming.

  1. 1. Evaluating Direct3D 12 GPU Resource Synchronization on Performance and Cache Operations

    Uppsats för yrkesexamina på avancerad nivå, Blekinge Tekniska Högskola/Fakulteten för datavetenskaper

    Författare :Nadhif Ginola; [2023]
    Nyckelord :Direct3D 12; Barrier; Cache; Data Hazard; Synchronization; Direct3D 12; Barriärer; Cache; Datarisk; Synkronisering;

    Sammanfattning : Background. Lower-level graphics programming interfaces such as Direct3D 12 re-quire synchronization and data hazards between dependent workloads to be resolvedmanually. A barrier is a primitive used to resolve synchronization and data hazardsin a manner to achieve correct behavior by allowing developers to define waits be-tween workloads. LÄS MER

  3. 2. Merton's Portfolio Problem under Jourdain--Sbai Model

    Master-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

    Författare :Sajedeh Saadat; [2023]
    Nyckelord :Merton’s Optimal Investment-Consumption Problem; Dynamic Programming; Hamilton-Jacobi-Bellman equation; Stochastic Volatility Model; Finite-difference method; Crank-Nicolson.;

    Sammanfattning : Portfolio selection has always been a fundamental challenge in the field of finance and captured the attention of researchers in the financial area. Merton's portfolio problem is an optimization problem in finance and aims to maximize an investor's portfolio. LÄS MER

  4. 3. Merton's Portfolio Problem under Grezelak-Oosterlee-Van Veeren Model

    Master-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

    Författare :Tara Romsäter; [2023]
    Nyckelord :Merton s Optimal Investment-Consumption Problem; Dynamic Programming; Hamilton-Jacobi-Bellman equation; Stochastic Volatility Model.;

    Sammanfattning : Merton’s Optimal Investment-Consumption Problem is a classic optimization problem in finance. It aims to find the optimal controls for a portfolio with both risky and risk-less assets, inorder to maximize an investor’s utility function. LÄS MER

  5. 4. Optimal Control of An Energy Storage System Providing Fast Charging and Ancillary Services

    Master-uppsats, KTH/Optimeringslära och systemteori

    Författare :Max Völcker; Hugo Rolff; [2023]
    Nyckelord :Optimal Control; Model Predictive Control; Dynamic Programming; State-Space Representation; Monte Carlo Simulation; Frequency Regulation; Fast Charging; Energy Storage Systems; Net Present Value; Optimal styrteori; Modell-prediktiv reglering; Dynamisk programmering; Frekvensreglering; Snabbladdning; Energilager; Nuvärde;

    Sammanfattning : In this thesis, we explore the potential of financing a fast charging system with energy storage by delivering ancillary services from the energy storage in an optimal way. Specifically, a system delivering frequency regulation services FCR-D Up and FCR-D Down in combination with energy arbitrage trading is considered. LÄS MER

  7. 5. Improving term structure measurements by incorporating steps in a multiple yield curve framework

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Gustav Villwock; Clara Rydholm; [2022]
    Nyckelord :Finance; Interest rates; Term structure measurement; Monte Carlo; Financial mathematics; Yield curve; Policy rates; Multiple yield curve framework; Stochastic programming; Risk factor modeling; Hedging; Performance attribution; Principle component analysis; GARCH; Maximum likelihood estimation; Copula;

    Sammanfattning : By issuing interest rate derivative contracts, market makers such as large banks are exposed to undesired risk. There are several methods for banks to hedge themselves against this type of risk; one such method is the stochastic programming model developed by Blomvall and Hagenbjörk (2022). LÄS MER