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2005
Springer

Multi-Stage Stochastic Electricity Portfolio Optimization in Liberalized Energy Markets

10 years 8 months ago
Multi-Stage Stochastic Electricity Portfolio Optimization in Liberalized Energy Markets
In this paper we analyze the electricity portfolio problem of a big consumer in a multi-stage stochastic programming framework. Stochasticity enters the model via the uncertain spot price process and is represented by a scenario tree. The decision that has to be taken is how much energy should be bought in advance, and how large the exposition to the uncertain spot market, as well as the relatively expensive production with an own power plant should be. The risk is modeled using an Average Value-at-Risk (AVaR) term in the objective function. The results of the stochastic programming model are compared with classical fix mix strategies, which are outperformed. Furthermore, the influence of risk parameters is shown.
Ronald Hochreiter, Georg Ch. Pflug, David Wozabal
Added 27 Jun 2010
Updated 27 Jun 2010
Type Conference
Year 2005
Where IFIP
Authors Ronald Hochreiter, Georg Ch. Pflug, David Wozabal
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