{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,8,2]],"date-time":"2025-08-02T04:13:13Z","timestamp":1754107993666,"version":"3.37.3"},"reference-count":45,"publisher":"Springer Science and Business Media LLC","issue":"1-2","license":[{"start":{"date-parts":[[2022,8,16]],"date-time":"2022-08-16T00:00:00Z","timestamp":1660608000000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/www.springernature.com\/gp\/researchers\/text-and-data-mining"},{"start":{"date-parts":[[2022,8,16]],"date-time":"2022-08-16T00:00:00Z","timestamp":1660608000000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/www.springernature.com\/gp\/researchers\/text-and-data-mining"}],"funder":[{"DOI":"10.13039\/501100001665","name":"Agence Nationale de la Recherche","doi-asserted-by":"publisher","award":["ANR-19-CE05-0042"],"award-info":[{"award-number":["ANR-19-CE05-0042"]}],"id":[{"id":"10.13039\/501100001665","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Ann Oper Res"],"published-print":{"date-parts":[[2024,5]]},"DOI":"10.1007\/s10479-022-04913-y","type":"journal-article","created":{"date-parts":[[2022,8,16]],"date-time":"2022-08-16T14:05:04Z","timestamp":1660658704000},"page":"711-747","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":4,"title":["Stochastic optimization with dynamic probabilistic forecasts"],"prefix":"10.1007","volume":"336","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-4882-9806","authenticated-orcid":false,"given":"Peter","family":"Tankov","sequence":"first","affiliation":[]},{"given":"Laura","family":"Tinsi","sequence":"additional","affiliation":[]}],"member":"297","published-online":{"date-parts":[[2022,8,16]]},"reference":[{"key":"4913_CR1","doi-asserted-by":"publisher","first-page":"275","DOI":"10.1093\/jjfinec\/nbj006","volume":"4","author":"K Aas","year":"2006","unstructured":"Aas, K., & Haff, I. H. (2006). The generalized hyperbolic skew Student\u2019s t-distribution. Journal of Financial Econometrics, 4, 275\u2013309.","journal-title":"Journal of Financial Econometrics"},{"key":"4913_CR2","doi-asserted-by":"publisher","first-page":"49","DOI":"10.1007\/s11579-015-0150-8","volume":"10","author":"R A\u00efd","year":"2016","unstructured":"A\u00efd, R., Gruet, P., & Pham, H. (2016). An optimal trading problem in intraday electricity markets. Mathematics and Financial Economics, 10, 49\u201385.","journal-title":"Mathematics and Financial Economics"},{"key":"4913_CR3","doi-asserted-by":"crossref","unstructured":"Badosa, J., Gobet, E., Grangereau, M., & Kim, D. (2017). Day-ahead probabilistic forecast of solar irradiance: a stochastic differential equation approach. In Forecasting and risk management for renewable energy (pp.\u00a073\u201393). Springer","DOI":"10.1007\/978-3-319-99052-1_4"},{"key":"4913_CR4","doi-asserted-by":"publisher","first-page":"227","DOI":"10.1016\/j.csda.2014.02.013","volume":"75","author":"S Baran","year":"2014","unstructured":"Baran, S. (2014). Probabilistic wind speed forecasting using Bayesian model averaging with truncated normal components. Computational Statistics & Data Analysis, 75, 227\u2013238.","journal-title":"Computational Statistics & Data Analysis"},{"key":"4913_CR5","doi-asserted-by":"publisher","first-page":"2289","DOI":"10.1002\/qj.2521","volume":"141","author":"S Baran","year":"2015","unstructured":"Baran, S., & Lerch, S. (2015). Log-normal distribution based ensemble model output statistics models for probabilistic wind-speed forecasting. Quarterly Journal of the Royal Meteorological Society, 141, 2289\u20132299.","journal-title":"Quarterly Journal of the Royal Meteorological Society"},{"key":"4913_CR6","doi-asserted-by":"publisher","first-page":"116","DOI":"10.1002\/env.2380","volume":"27","author":"S Baran","year":"2016","unstructured":"Baran, S., & Lerch, S. (2016). Mixture EMOS model for calibrating ensemble forecasts of wind speed. Environmetrics, 27, 116\u2013130.","journal-title":"Environmetrics"},{"key":"4913_CR7","doi-asserted-by":"publisher","first-page":"401","DOI":"10.1098\/rspa.1977.0041","volume":"353","author":"O Barndorff-Nielsen","year":"1977","unstructured":"Barndorff-Nielsen, O. (1977). Exponentially decreasing distributions for the logarithm of particle size. Proceedings of the Royal Society of London A. Mathematical and Physical Sciences, 353, 401\u2013419.","journal-title":"Proceedings of the Royal Society of London A. Mathematical and Physical Sciences"},{"key":"4913_CR8","doi-asserted-by":"publisher","first-page":"41","DOI":"10.1007\/s007800050032","volume":"2","author":"OE Barndorff-Nielsen","year":"1997","unstructured":"Barndorff-Nielsen, O. E. (1997). Processes of normal inverse Gaussian type. Finance and Stochastics, 2, 41\u201368.","journal-title":"Finance and Stochastics"},{"key":"4913_CR9","doi-asserted-by":"publisher","first-page":"3562","DOI":"10.1137\/090752651","volume":"48","author":"D Belomestny","year":"2010","unstructured":"Belomestny, D., Kolodko, A., & Schoenmakers, J. (2010). Regression methods for stochastic control problems and their convergence analysis. SIAM Journal on Control and Optimization, 48, 3562\u20133588.","journal-title":"SIAM Journal on Control and Optimization"},{"key":"4913_CR10","doi-asserted-by":"publisher","first-page":"1355","DOI":"10.1002\/we.1896","volume":"19","author":"A Bensoussan","year":"2016","unstructured":"Bensoussan, A., & Brouste, A. (2016). Cox-Ingersoll-Ross model for wind speed modeling and forecasting. Wind Energy, 19, 1355\u20131365.","journal-title":"Wind Energy"},{"key":"4913_CR11","doi-asserted-by":"publisher","first-page":"2150034","DOI":"10.1142\/S0219024921500345","volume":"24","author":"FE Benth","year":"2021","unstructured":"Benth, F. E., Kutrolli, G., & Stefani, S. (2021). Dynamic probabilistic forecasting with uncertainty. International Journal of Theoretical and Applied Finance, 24, 2150034.","journal-title":"International Journal of Theoretical and Applied Finance"},{"key":"4913_CR12","doi-asserted-by":"crossref","unstructured":"Blattberg, R.\u00a0C., & Gonedes, N.\u00a0J. (2010). A comparison of the stable and student distributions as statistical models for stock prices. In Perspectives on promotion and database marketing: The collected works of Robert C Blattberg (pp.\u00a025\u201361). World Scientific.","DOI":"10.1142\/9789814287067_0003"},{"key":"4913_CR13","doi-asserted-by":"crossref","unstructured":"Bossy, M., Dupr\u00e9, A., Drobinski, P., Violeau, L., & Briard, C. (2017). Stochastic Lagrangian approach for wind farm simulation. In Forecasting and Risk Management for Renewable Energy (pp.\u00a045\u201371). Springer.","DOI":"10.1007\/978-3-319-99052-1_3"},{"key":"4913_CR14","doi-asserted-by":"crossref","unstructured":"Bouchard, B., & Warin, X. (2012). Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods. In Numerical Methods in Finance (pp.\u00a0215\u2013255). Springer.","DOI":"10.1007\/978-3-642-25746-9_7"},{"key":"4913_CR15","doi-asserted-by":"publisher","first-page":"15","DOI":"10.1016\/B978-0-12-812372-0.00002-9","volume-title":"Statistical postprocessing of ensemble forecasts","author":"R Buizza","year":"2018","unstructured":"Buizza, R. (2018). Ensemble forecasting and the need for calibration. In S. Vannitsem, D. S. Wilks, & J. W. Messner (Eds.), Statistical postprocessing of ensemble forecasts (pp. 15\u201348). Elsevier."},{"key":"4913_CR16","doi-asserted-by":"crossref","unstructured":"Collet, J., F\u00e9ron, O., & Tankov, P. (2017). Optimal management of a wind power plant with storage capacity. In Forecasting and risk management for renewable energy (pp.\u00a0229\u2013246). Springer.","DOI":"10.1007\/978-3-319-99052-1_12"},{"key":"4913_CR17","doi-asserted-by":"publisher","first-page":"39","DOI":"10.1080\/03461238.1990.10413872","volume":"1990","author":"D Dufresne","year":"1990","unstructured":"Dufresne, D. (1990). The distribution of a perpetuity, with applications to risk theory and pension funding. Scandinavian Actuarial Journal, 1990, 39\u201379.","journal-title":"Scandinavian Actuarial Journal"},{"key":"4913_CR18","doi-asserted-by":"publisher","first-page":"205","DOI":"10.1007\/s11579-021-00307-z","volume":"16","author":"O F\u00e9ron","year":"2021","unstructured":"F\u00e9ron, O., Tankov, P., & Tinsi, L. (2021). Price formation and optimal trading in intraday electricity markets. Mathematics and Financial Economics, 16, 205\u2013237.","journal-title":"Mathematics and Financial Economics"},{"key":"4913_CR19","unstructured":"Gevret, H., Langren\u00e9, N., Lelong, J., Warin, X., & Maheshwari, A. (2018) Stochastic optimization library in C++. hal-01361291v1."},{"key":"4913_CR20","doi-asserted-by":"publisher","first-page":"3","DOI":"10.1186\/s13362-020-0071-x","volume":"10","author":"S Glas","year":"2020","unstructured":"Glas, S., Kiesel, R., Kolkmann, S., Kremer, M., von Luckner, N. G., Ostmeier, L., Urban, K., & Weber, C. (2020). Intraday renewable electricity trading: Advanced modeling and numerical optimal control. Journal of Mathematics in Industry, 10, 3.","journal-title":"Journal of Mathematics in Industry"},{"key":"4913_CR21","doi-asserted-by":"publisher","first-page":"243","DOI":"10.1111\/j.1467-9868.2007.00587.x","volume":"69","author":"T Gneiting","year":"2007","unstructured":"Gneiting, T., Balabdaoui, F., & Raftery, A. E. (2007). Probabilistic forecasts, calibration and sharpness. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 69, 243\u2013268.","journal-title":"Journal of the Royal Statistical Society: Series B (Statistical Methodology)"},{"key":"4913_CR22","doi-asserted-by":"publisher","first-page":"1098","DOI":"10.1175\/MWR2904.1","volume":"133","author":"T Gneiting","year":"2005","unstructured":"Gneiting, T., Raftery, A. E., Westveld, A. H., III., & Goldman, T. (2005). Calibrated probabilistic forecasting using ensemble model output statistics and minimum CRPS estimation. Monthly Weather Review, 133, 1098\u20131118.","journal-title":"Monthly Weather Review"},{"key":"4913_CR23","doi-asserted-by":"publisher","first-page":"7436","DOI":"10.1002\/2014WR016473","volume":"51","author":"S Hemri","year":"2015","unstructured":"Hemri, S., Lisniak, D., & Klein, B. (2015). Multivariate postprocessing techniques for probabilistic hydrological forecasting. Water Resources Research, 51, 7436\u20137451.","journal-title":"Water Resources Research"},{"key":"4913_CR24","unstructured":"International Energy Agency (2014) The power of transformation."},{"key":"4913_CR25","doi-asserted-by":"publisher","first-page":"981","DOI":"10.1016\/j.ijforecast.2015.03.001","volume":"32","author":"EB Iversen","year":"2016","unstructured":"Iversen, E. B., Morales, J. M., M\u00f8ller, J. K., & Madsen, H. (2016). Short-term probabilistic forecasting of wind speed using stochastic differential equations. International Journal of Forecasting, 32, 981\u2013990.","journal-title":"International Journal of Forecasting"},{"key":"4913_CR26","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-84628-737-4","volume-title":"Mathematical methods for financial markets","author":"M Jeanblanc","year":"2009","unstructured":"Jeanblanc, M., Yor, M., & Chesney, M. (2009). Mathematical methods for financial markets. Springer."},{"key":"4913_CR27","doi-asserted-by":"publisher","first-page":"1","DOI":"10.18637\/jss.v090.i12","volume":"90","author":"A Jordan","year":"2019","unstructured":"Jordan, A., Kr\u00fcger, F., & Lerch, S. (2019). Evaluating probabilistic forecasts with scoring rules. Journal of Statistical Software, 90, 1\u201337.","journal-title":"Journal of Statistical Software"},{"key":"4913_CR28","doi-asserted-by":"publisher","first-page":"77","DOI":"10.1016\/j.eneco.2017.03.002","volume":"64","author":"R Kiesel","year":"2017","unstructured":"Kiesel, R., & Paraschiv, F. (2017). Econometric analysis of 15-minute intraday electricity prices. Energy Economics, 64, 77\u201390.","journal-title":"Energy Economics"},{"key":"4913_CR29","doi-asserted-by":"publisher","first-page":"21206","DOI":"10.3402\/tellusa.v65i0.21206","volume":"65","author":"S Lerch","year":"2013","unstructured":"Lerch, S., & Thorarinsdottir, T. L. (2013). Comparison of non-homogeneous regression models for probabilistic wind speed forecasting. Tellus A: Dynamic Meteorology and Oceanography, 65, 21206.","journal-title":"Tellus A: Dynamic Meteorology and Oceanography"},{"key":"4913_CR30","doi-asserted-by":"publisher","first-page":"113","DOI":"10.1093\/rfs\/14.1.113","volume":"14","author":"FA Longstaff","year":"2001","unstructured":"Longstaff, F. A., & Schwartz, E. S. (2001). Valuing American options by simulation: A simple least-squares approach. The Review of Financial Studies, 14, 113\u2013147.","journal-title":"The Review of Financial Studies"},{"key":"4913_CR31","doi-asserted-by":"publisher","first-page":"211","DOI":"10.1002\/qj.3667","volume":"146","author":"A M\u00f6ller","year":"2020","unstructured":"M\u00f6ller, A., & Gro\u00df, J. (2020). Probabilistic temperature forecasting with a heteroscedastic autoregressive ensemble postprocessing model. Quarterly Journal of the Royal Meteorological Society, 146, 211\u2013224.","journal-title":"Quarterly Journal of the Royal Meteorological Society"},{"key":"4913_CR32","doi-asserted-by":"publisher","first-page":"1148","DOI":"10.1109\/TPWRS.2007.901117","volume":"22","author":"P Pinson","year":"2007","unstructured":"Pinson, P., Chevallier, C., & Kariniotakis, G. N. (2007). Trading wind generation from short-term probabilistic forecasts of wind power. IEEE Transactions on Power Systems, 22, 1148\u20131156.","journal-title":"IEEE Transactions on Power Systems"},{"key":"4913_CR33","doi-asserted-by":"publisher","first-page":"564","DOI":"10.1214\/13-STS445","volume":"28","author":"P Pinson","year":"2013","unstructured":"Pinson, P., et al. (2013). Wind energy: Forecasting challenges for its operational management. Statistical Science, 28, 564\u2013585.","journal-title":"Statistical Science"},{"key":"4913_CR34","doi-asserted-by":"publisher","first-page":"12","DOI":"10.1016\/j.apenergy.2011.11.004","volume":"96","author":"P Pinson","year":"2012","unstructured":"Pinson, P., & Girard, R. (2012). Evaluating the quality of scenarios of short-term wind power generation. Applied Energy, 96, 12\u201320.","journal-title":"Applied Energy"},{"key":"4913_CR35","doi-asserted-by":"publisher","first-page":"51","DOI":"10.1002\/we.284","volume":"12","author":"P Pinson","year":"2009","unstructured":"Pinson, P., Madsen, H., Nielsen, H. A., Papaefthymiou, G., & Kl\u00f6ckl, B. (2009). From probabilistic forecasts to statistical scenarios of short-term wind power production. Wind Energy: An International Journal for Progress and Applications in Wind Power Conversion Technology, 12, 51\u201362.","journal-title":"Wind Energy: An International Journal for Progress and Applications in Wind Power Conversion Technology"},{"key":"4913_CR36","doi-asserted-by":"publisher","first-page":"1155","DOI":"10.1175\/MWR2906.1","volume":"133","author":"AE Raftery","year":"2005","unstructured":"Raftery, A. E., Gneiting, T., Balabdaoui, F., & Polakowski, M. (2005). Using Bayesian model averaging to calibrate forecast ensembles. Monthly Weather Review, 133, 1155\u20131174.","journal-title":"Monthly Weather Review"},{"key":"4913_CR37","doi-asserted-by":"publisher","first-page":"616","DOI":"10.1214\/13-STS443","volume":"28","author":"R Schefzik","year":"2013","unstructured":"Schefzik, R., Thorarinsdottir, T. L., & Gneiting, T. (2013). Uncertainty quantification in complex simulation models using ensemble copula coupling. Statistical Science, 28, 616\u2013640.","journal-title":"Statistical Science"},{"key":"4913_CR38","doi-asserted-by":"publisher","first-page":"3029","DOI":"10.1002\/2016WR020133","volume":"53","author":"M Scheuerer","year":"2017","unstructured":"Scheuerer, M., Hamill, T. M., Whitin, B., He, M., & Henkel, A. (2017). A method for preferential selection of dates in the Schaake shuffle approach to constructing spatio-temporal forecast fields of temperature and precipitation. Water Resources Research, 53, 3029\u20133046.","journal-title":"Water Resources Research"},{"key":"4913_CR39","doi-asserted-by":"publisher","first-page":"3181","DOI":"10.1109\/TPWRS.2014.2377219","volume":"30","author":"A Skajaa","year":"2015","unstructured":"Skajaa, A., Edlund, K., & Morales, J. M. (2015). Intraday trading of wind energy. IEEE Transactions on Power Systems, 30, 3181\u20133189.","journal-title":"IEEE Transactions on Power Systems"},{"key":"4913_CR40","doi-asserted-by":"publisher","first-page":"315","DOI":"10.1137\/16M1093069","volume":"9","author":"Z Tan","year":"2018","unstructured":"Tan, Z., & Tankov, P. (2018). Optimal trading policies for wind energy producer. SIAM Journal on Financial Mathematics, 9, 315\u2013346.","journal-title":"SIAM Journal on Financial Mathematics"},{"key":"4913_CR41","doi-asserted-by":"publisher","first-page":"371","DOI":"10.1111\/j.1467-985X.2009.00616.x","volume":"173","author":"TL Thorarinsdottir","year":"2010","unstructured":"Thorarinsdottir, T. L., & Gneiting, T. (2010). Probabilistic forecasts of wind speed: Ensemble model output statistics by using heteroscedastic censored regression. Journal of the Royal Statistical Society: Series A (Statistics in Society), 173, 371\u2013388.","journal-title":"Journal of the Royal Statistical Society: Series A (Statistics in Society)"},{"key":"4913_CR42","doi-asserted-by":"publisher","first-page":"1840","DOI":"10.1109\/9.793723","volume":"44","author":"JN Tsitsiklis","year":"1999","unstructured":"Tsitsiklis, J. N., & Van Roy, B. (1999). Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives. IEEE Transactions on Automatic Control, 44, 1840\u20131851.","journal-title":"IEEE Transactions on Automatic Control"},{"key":"4913_CR43","volume-title":"Statistical postprocessing of ensemble forecasts","author":"S Vannitsem","year":"2018","unstructured":"Vannitsem, S., Wilks, D. S., & Messner, J. (2018). Statistical postprocessing of ensemble forecasts. Elsevier."},{"key":"4913_CR44","doi-asserted-by":"publisher","first-page":"2821","DOI":"10.1256\/qj.01.215","volume":"128","author":"DS Wilks","year":"2002","unstructured":"Wilks, D. S. (2002). Smoothing forecast ensembles with fitted probability distributions. Quarterly Journal of the Royal Meteorological Society: A Journal of the Atmospheric Sciences, Applied Meteorology and Physical Oceanography, 128, 2821\u20132836.","journal-title":"Quarterly Journal of the Royal Meteorological Society: A Journal of the Atmospheric Sciences, Applied Meteorology and Physical Oceanography"},{"key":"4913_CR45","doi-asserted-by":"publisher","first-page":"909","DOI":"10.1002\/we.1531","volume":"16","author":"M Zugno","year":"2013","unstructured":"Zugno, M., J\u00f3nsson, T., & Pinson, P. (2013). Trading wind energy on the basis of probabilistic forecasts both of wind generation and of market quantities. Wind Energy, 16, 909\u2013926.","journal-title":"Wind Energy"}],"container-title":["Annals of Operations Research"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-022-04913-y.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/link.springer.com\/article\/10.1007\/s10479-022-04913-y\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-022-04913-y.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,5,13]],"date-time":"2024-05-13T19:06:17Z","timestamp":1715627177000},"score":1,"resource":{"primary":{"URL":"https:\/\/link.springer.com\/10.1007\/s10479-022-04913-y"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2022,8,16]]},"references-count":45,"journal-issue":{"issue":"1-2","published-print":{"date-parts":[[2024,5]]}},"alternative-id":["4913"],"URL":"https:\/\/doi.org\/10.1007\/s10479-022-04913-y","relation":{},"ISSN":["0254-5330","1572-9338"],"issn-type":[{"type":"print","value":"0254-5330"},{"type":"electronic","value":"1572-9338"}],"subject":[],"published":{"date-parts":[[2022,8,16]]},"assertion":[{"value":"2 August 2022","order":1,"name":"accepted","label":"Accepted","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"16 August 2022","order":2,"name":"first_online","label":"First Online","group":{"name":"ArticleHistory","label":"Article History"}},{"order":1,"name":"Ethics","group":{"name":"EthicsHeading","label":"Declarations"}},{"value":"The authors have no competing interests to declare that are relevant to the content of this article.","order":2,"name":"Ethics","group":{"name":"EthicsHeading","label":"Conflicts of interest"}}]}}