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Medium Term Hydroelectric Production Planning - A Multistage Stochastic Optimization Model | ||
| Civil Engineering Infrastructures Journal | ||
| مقاله 10، دوره 47، شماره 1، شهریور 2014، صفحه 139-152 اصل مقاله (762.8 K) | ||
| نوع مقاله: Research Papers | ||
| شناسه دیجیتال (DOI): 10.7508/ceij.2014.01.010 | ||
| نویسندگان | ||
| BITA ANALUI* 1؛ Raimund Kovacevic2 | ||
| 1PhD Candidate, Institute of Statistics and Operations Research (ISOR), University of Vienna, Vienna, Austria. | ||
| 2PhD, Institute of Statistics and Operations Research (ISOR), University of Vienna, Vienna,Austria. | ||
| چکیده | ||
| Multistage stochastic programming is a key technology for making decisions over time in an uncertain environment. One of the promising areas in which this technology is implementable, is medium term planning of electricity production and trading where decision makers are typically faced with uncertain parameters (such as future demands and market prices) that can be described by stochastic processes in discrete time. We apply this methodology to hydrosystem operation assuming random electricity prices and random inflows to the reservoir system. After describing the multistage stochastic model a simple case study is presented. In particular we use the model for pricing an electricity delivery contract in the framework of indifference pricing. | ||
| کلیدواژه‌ها | ||
| Hydroelectric Operation؛ Multistage Stochastic Programming؛ Risk Management | ||
| مراجع | ||
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Kovacevic, R.M. and Paraschiv, F. (2013). “Medium-Term planning for thermal electricity production”, OR Spectrum, DOI:10.1007/s00291-013-0340-9.
Kovacevic, R.M. and Pflug, G.C. (2013). “Pricing of energy contracts - from replication pricing to swing options”, In: R.M. Kovacevic, G.C. Pflug and M.T. Vespucci (eds.), Handbook of Risk Management for Energy Production and Trading, New York: Springer, pp. 393-418.
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Ruszczynski, A. and Shapiro, A. (2003). Stochastic programming, 1st Edition, Handbooks in Operations Research and Management Science, Amsterdam: Elsevier. | ||
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