| Ser. |
|
504
|
| Title |
|
Stochastic Optimization of Electricity Portfolios: Scenario Tree Modeling and Risk Management
|
| Abstract |
|
We present recent developments in the field of stochastic programming with regard to application in power management. In particular we discuss issues of scenario tree modeling, i.e., appropriate discrete approximations of the underlying stochastic parameters. Moreover, we suggest risk avoidance strategies via the incorporation of
so-called polyhedral risk functionals into stochastic programs. This approach, motivated through tractability of the resulting problems, is a constructive framework providing particular flexibility with respect to the dynamic aspects of risk.
|
| Author(s) |
|
Andreas Eichhorn, Holger Heitsch, Werner Römisch
|
| PS-File |
|
EichHeiRoemPSH.ps
|
| PDF-File |
|
EichHeiRoemPSH.pdf
|
| Reviewing Referee |
|
Prof. Dr. Fredi Tröltzsch |
| Projects |
|
C7 |
| |
|
|
