The value of rolling-horizon policies for risk-averse hydro-thermal planning

DOI10.1016/j.ejor.2011.08.017zbMath1244.90264OpenAlexW2082571530MaRDI QIDQ439342

J. Herrera, H. S. Yoon

Publication date: 16 August 2012

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2011.08.017

zbMATH Keywords

stochastic programmingchance constraintsrolling horizonhydro-thermal planninginterstage dependence

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Stochastic programming (90C15)

Related Items (16)

Optimal non-anticipative scenarios for nonlinear hydro-thermal power systems ⋮ Exploiting the structure of autoregressive processes in chance-constrained multistage stochastic linear programs ⋮ On conditional cuts for stochastic dual dynamic programming ⋮ Risk-averse feasible policies for large-scale multistage stochastic linear programs ⋮ Non-anticipative risk-averse analysis with effective scenarios applied to long-term hydrothermal scheduling ⋮ Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion ⋮ SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning ⋮ Risk-averse two-stage stochastic programs in furniture plants ⋮ Robust management and pricing of liquefied natural gas contracts with cancelation options ⋮ SDDP for multistage stochastic linear programs based on spectral risk measures ⋮ Divide to conquer: decomposition methods for energy optimization ⋮ A stochastic multi-stage fixed charge transportation problem: worst-case analysis of the rolling horizon approach ⋮ Portfolio optimization with irreversible long-term investments in renewable energy under policy risk: a mixed-integer multistage stochastic model and a moving-horizon approach ⋮ Robust optimization of uncertain multistage inventory systems with inexact data in decision rules ⋮ A moment and sum-of-squares extension of dual dynamic programming with application to nonlinear energy storage problems ⋮ Two-stage network constrained robust unit commitment problem

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