Polyhedral risk measures in electricity portfolio optimization
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Publication:2954559
DOI10.1002/pamm.200410002zbMath1354.91172OpenAlexW2002532738MaRDI QIDQ2954559
Andreas Eichhorn, Isabel Wegner, Werner Römisch
Publication date: 24 January 2017
Published in: PAMM (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/pamm.200410002
Related Items (17)
Are quasi-Monte Carlo algorithms efficient for two-stage stochastic programs? ⋮ Robust production management ⋮ Stability of multistage stochastic programs incorporating polyhedral risk measures ⋮ Mean-risk optimization of electricity portfolios ⋮ Randomized QMC Methods for Mixed-Integer Two-Stage Stochastic Programs with Application to Electricity Optimization ⋮ Risk-averse feasible policies for large-scale multistage stochastic linear programs ⋮ The value of rolling-horizon policies for risk-averse hydro-thermal planning ⋮ Recent Progress in Two-stage Mixed-integer Stochastic Programming with Applications to Power Production Planning ⋮ A Multi-stage Stochastic Programming Model for Managing Risk-optimal Electricity Portfolios ⋮ Stochastic Optimization of Electricity Portfolios: Scenario Tree Modeling and Risk Management ⋮ Scenario Tree Generation for Multi-stage Stochastic Programs ⋮ Medium-term planning for thermal electricity production ⋮ Polyhedral coherent risk measures and optimal portfolios on the reward-risk ratio ⋮ Robust mid-term power generation management ⋮ Scenario tree modeling for multistage stochastic programs ⋮ Valuation and pricing of electricity delivery contracts: the producer's view ⋮ Quasi-Monte Carlo methods for linear two-stage stochastic programming problems
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