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

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Handbook of Power Systems II

Part of the book series: Energy Systems ((ENERGY))

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, that is, 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.

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Author information

Authors and Affiliations

  1. Humboldt University, 10099, Berlin, Germany

    Werner Römisch

Authors
  1. Andreas Eichhorn
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  2. Holger Heitsch
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  3. Werner Römisch
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Corresponding author

Correspondence to Werner Römisch .

Editor information

Editors and Affiliations

  1. , Division of Economics and Business, Colorado School of Mines, 15th Street 816, Golden, 80401, Colorado, USA

    Steffen Rebennack

  2. Dept. Industrial & Systems, Engineering, University of Florida, Weil Hall 303, Gainesville, 32611-6595, Florida, USA

    Panos M. Pardalos

  3. Rio Praia de Botafogo, Centro Empresarial, -A-Botafogo 2281701, Rio de Janeiro, 22250-040, Rio de Janeiro, Brazil

    Mario V. F. Pereira

  4. Research & Development, EnerCoRD - Energy Consulting,, Plastira Street 4, Athens, 171 21, Greece

    Niko A. Iliadis

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Eichhorn, A., Heitsch, H., Römisch, W. (2010). Stochastic Optimization of Electricity Portfolios: Scenario Tree Modeling and Risk Management. In: Rebennack, S., Pardalos, P., Pereira, M., Iliadis, N. (eds) Handbook of Power Systems II. Energy Systems. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-12686-4_15

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  • DOI: https://doi.org/10.1007/978-3-642-12686-4_15

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