Volume 9, Issue 3 (September 2013)                   IJEEE 2013, 9(3): 150-157 | Back to browse issues page

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Haji Abadi M E, Rajabi Mashhadi H. Modeling of the Maximum Entropy Problem as an Optimal Control Problem and its Application to Pdf Estimation of Electricity Price. IJEEE 2013; 9 (3) :150-157
URL: http://ijeee.iust.ac.ir/article-1-510-en.html
Abstract:   (5670 Views)
In this paper, the continuous optimal control theory is used to model and solve the maximum entropy problem for a continuous random variable. The maximum entropy principle provides a method to obtain least-biased probability density function (Pdf) estimation. In this paper, to find a closed form solution for the maximum entropy problem with any number of moment constraints, the entropy is considered as a functional measure and the moment constraints are considered as the state equations. Therefore, the Pdf estimation problem can be reformulated as the optimal control problem. Finally, the proposed method is applied to estimate the Pdf of the hourly electricity prices of New England and Ontario electricity markets. Obtained results show the efficiency of the proposed method.
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Type of Study: Research Paper | Subject: Market Deregulation
Received: 2012/06/20 | Revised: 2014/09/28 | Accepted: 2013/07/22

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© 2022 by the authors. Licensee IUST, Tehran, Iran. This is an open access journal distributed under the terms and conditions of the Creative Commons Attribution-NonCommercial 4.0 International (CC BY-NC 4.0) license.