VeranstaltungsortN.0.07Veranstalter Institut für StatistikBeschreibunghttps://www.math.aau.at/talks/27/pdfVortragende(r)Prof. Dr. Ralf Wunderlich von der Brandenburgischen Technischen Universität Cottbus – SenftenbergKontaktSimone Gahleitner (simone.gahleitner@aau.at)

VeranstaltungsortN.0.07Veranstalter Fakultät für Technische WissenschaftenBeschreibungWe address the valuation of an energy storage facility in the presence ofstochastic energy prices as it arises in the case of a hydro-electric pumpstation. The valuation problem is related to the problem of determining theoptimal charging/discharging strategy that maximizes the expected valueof the resulting discounted cash flows over the lifetime of the storage.We use a regime-switching model for the energy price which allows for achanging economic environment described by a finite state Markov chain.For the latter we consider the fully as well as the partially observed case.The valuation problem is formulated as a stochastic control problem withregimeswitching in continuous time. For this control problem we derive theassociated Hamilton-Jacobi-Bellman (HJB) equation which is not strictlyelliptic. Therefore we study the HJB equation using regularization arguments. We use numerical methods for computing approximations of thevalue function and the optimal strategy. Finally, we present some numericalresults. The talk is based on the paper Shardin, A. A., Wunderlich, R.:Partially Observable Stochastic Optimal Control Problems for an EnergyStorage. Stochastics, 89(1):280-310, 2017.Vortragende(r)Ralf WunderlichKontaktSimone Gahleitner (simone.gahleitner@aau.at)

VeranstaltungsortB04.1.06Lakeside Park Veranstalter Institut für Vernetzte und Eingebettete SystemeBeschreibungDer französische Mathematiker und Physiker Joseph Fourier (1768 – 1830) erkannte, dass jede mathematische Funktion in einem begrenzten Definitionsbereich durch eine Summe von sinus-Schwingungen approximierbar ist, was nicht zuletzt für die Ingenieurwissenschaften von eminenter Bedeutung ist. Im Vortrag wird zunächst versucht, die Grundaussagen der Theorie allgemeinverständlich zu veranschaulichen. Anmerkungen zum Empfinden von Wohlklang und Dissonanz in der Musik anhand der Fourier-Reihenentwicklung von Schallwellen sowie hochaktuelle Erkenntnisse von Fourier zum Treibhauseffekt der Erdatmosphäre aus dem Jahr 1827 ergänzen den Vortrag.Vortragende(r)Prof. Dr.-Ing. habil. Dr. h. c. Johannes HuberInstitute for Digital Communications (IDC)former: Institute(Chair) for Information Transmission (LIT)Department Electrical, Electronics, and Communication Engineering (EEI)Technical Faculty (School of Engineering)University of Erlangen-NurembergKontaktKornelia Lienbacher (Kornelia.Lienbacher@aau.at)

VeranstaltungsortLakeside B04, Eingang b, 1. Stock, Raum B04.1.114Veranstalter Institut für Vernetzte und Eingebettete SystemeLakeside Labs GmbHBeschreibungThe massive penetration of smart technology has changed energy systems and many other engineering applications such as transportation, logistics, and security. In all these contexts, one often observes a large number of machines and humans interacting with each other. Thus there is a need to redefine the boundaries of some engineering disciplines to accommodate both physical and socio-economic components. Control Engineering, the discipline which studies the ways in which one can control the evolution of a system is no exception. A core concept in control is ‘feedback’ whereby a machine (the controller) gets measurements from sensors about the state of the system one wishes to control and sets the inputs to the system. In the presence of numerous machines and humans, one observes the humans turning into strategic players who learn the environment and make decisions knowing that the environment (which is constituted by the other players) is at the same time learning about them and will react accordingly. This takes the concept of feedback to the next level and opens the floor to a number of game theoretic aspects (learning, incentives, pricing).In this tutorial I will present new perspectives and challenges arising when dealing with co-existing physical and socio-economic components. I will introduce dynamic games with a large number of players, (also known as mean-field games) and discuss recent trends. I will also discuss the role of strategic thinking and learning in competitive scenarios. The tutorial will conclude with a look at bio-inspired collective decision making problems and related evolutionary game models.Vortragende(r)Prof. Dario Bauso, Jan C. Willems Center for Systems and Control, ENTEG, Faculty of Science and Engineering, University of Groningen (The Netherlands), and Dipartimento di Ingegneria, University of Palermo (Italy)KontaktMelanie Schranz (schranz@lakeside-labs.com)