Stochastic Optimization of Electricity Portfolios: Scenario Tree Modeling and Risk Management

Please always quote using this URN:urn:nbn:de:0296-matheon-5035
  • 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.

Download full text files

Export metadata

Additional Services

Share in Twitter Search Google Scholar
Metadaten
Author:Andreas Eichhorn, Holger Heitsch, Werner Römisch
URN:urn:nbn:de:0296-matheon-5035
Referee:Fredi Tröltzsch
Document Type:Preprint, Research Center Matheon
Language:English
Date of first Publication:2008/01/04
Release Date:2008/01/04
Institute:Humboldt-Universität zu Berlin
Weierstraß-Institut für Angewandte Analysis und Stochastik (WIAS)
Preprint Number:504
Verstanden ✔
Diese Webseite verwendet technisch erforderliche Session-Cookies. Durch die weitere Nutzung der Webseite stimmen Sie diesem zu. Unsere Datenschutzerklärung finden Sie hier.