Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Optimal Control of an Energy Storage Facility Under a Changing Economic
  Environment and Partial Information   In this paper we consider an energy storage optimization problem in finite
time in a model with partial information that allows for a changing economic
environment. The state process consists of the storage level controlled by the
storage manager and the energy price process, which is a diffusion process the
drift of which is assumed to be unobservable. We apply filtering theory to find
an alternative state process which is adapted to our observation filtration.
For this alternative state process we derive the associated
Hamilton-Jacobi-Bellman equation and solve the optimization problem
numerically. This results in a candidate for the optimal policy for which it is
a-priori not clear whether the controlled state process exists. Hence, we prove
an existence and uniqueness result for a class of time-inhomogeneous stochastic
differential equations with discontinuous drift and singular diffusion
coefficient. Finally, we apply our result to prove admissibility of the
candidate optimal control.

8
The categories of this paper are: hep-ex
27
The categories of this paper are: comp-gas
30
The categories of this paper are: q-alg
1
The categories of this paper are: cs
37
The categories of this paper are: supr-con
32
The categories of this paper are: atom-ph
31
The categories of this paper are: ao-sci
16
The categories of this paper are: stat
21
The categories of this paper are: adap-org
36
The categories of this paper are: cmp-lg
7
The categories of this paper are: hep-th
26
The categories of this paper are: bayes-an
4
The categories of this paper are: cond-mat
33
The categories of this paper are: plasm-ph
15
The categories of this paper are: nucl-ex
35
The categories of this paper are: mtrl-th