Fast dynamic programming with application to storage planning

Abstract : In this paper we propose a new class of algorithms that allows to solve a class of optimization problems including that of finding an optimal storage policy. The proposed algorithm is fast with a quadratic time or even quasi linear time in some cases. The gain in term of complexity with regard to the use of a commercial linear solver is shown empirically. A freely available package in the R statistical software has been implemented and is presented here. Possible extension to more complex framework are presented. This paper ends with an example of application for the determination of the market revenue of a storage device in a local price market as a function of location, energy capacity and power limits.