| Ser. |
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460
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| Title |
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Dynamic risk management in electricity portfolio optimization via polyhedral risk functionals
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| Abstract |
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We propose a methodology for combining risk management with optimal planning of power production and trading based on probabilistic knowledge about future uncertainties such as demands and spot prices. Typically, such a joint optimization of risk and (expected) revenue yields additional overall efficiency. Our approach is based on stochastic optimization (stochastic programming) with a risk functional as objective. The latter maps an uncertain cash flow to a real number. In particular, we employ so-called polyhedral risk functionals which, though being non-linear mappings, preserve linearity structures of optimization problems. Therefore, these are favorable to the numerical tractability of the optimization problems. The class of polyhedral risk functionals contains well-known risk functionals such as Average-Value-at-Risk and expected polyhedral utility. Moreover, it is also capable to model different dynamic risk mitigation strategies.
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| Author(s) |
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Andreas Eichhorn, Werner Römisch
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| PS-File |
|
EichRoem_IEEEPES.ps
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| PDF-File |
|
EichRoem_IEEEPES.pdf
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| Reviewing Referee |
|
Prof. Dr. Fredi Tröltzsch |
| Projects |
|
C7 |
| |
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