Abstract
Dispersed power generation is the source of many challenging optimization problems with uncertain data. We review algorithmic approaches to risk aversion with stochastic dominance constraints. Dispersed power generation provides the practical background for illustration and comparison of the methods.
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Drapkin, D., Gollmer, R., Gotzes, U., Neise, F., Schultz, R. (2011). Risk Management with Stochastic Dominance Models in Energy Systems with Dispersed Generation. In: Bertocchi, M., Consigli, G., Dempster, M. (eds) Stochastic Optimization Methods in Finance and Energy. International Series in Operations Research & Management Science, vol 163. Springer, New York, NY. https://doi.org/10.1007/978-1-4419-9586-5_12
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