Optimal heating or cooling of a building space under continuous time uncertainty

PL Johnson, SD Howell, PW Duck

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

A single PDE models the economics and dynamics, in continuous time, of how a building space responds to a stochastic external temperature and to a heating or cooling system. A quadratic function models user discomfort (during intermittent occupation) and we assume a daily cycle of electricity prices (stepwise or continuous). We can rapidly compute the time-varying optimal temperature control rule (the precision of control varies optimally with variations in the cost of control). We can also rapidly compute a purely physical performance parameter (mean or variance) for any variable, over any region of the problem space, plus the time to first exit from that region.
Original languageEnglish
Title of host publicationhost publication
Publication statusPublished - 25 Aug 2009
Event20th International Symposium on Mathematical Programming (ISMP09) - Chicago, Marriott Hotel and Booth School of Business
Duration: 24 Aug 200928 Aug 2009

Conference

Conference20th International Symposium on Mathematical Programming (ISMP09)
CityChicago, Marriott Hotel and Booth School of Business
Period24/08/0928/08/09

Keywords

  • Financial mathematics, partial differntial equations, stochastic dynamic optimisation, emperature control

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