Risk neutral and risk averse approaches to multistage renewable investment planning under uncertainty
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Publication:322602
DOI10.1016/J.EJOR.2015.10.013zbMATH Open1346.90636OpenAlexW1818156433MaRDI QIDQ322602FDOQ322602
Sergio Bruno, Alexandre Street, S. Ahmed, Alexander Shapiro
Publication date: 7 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2015.10.013
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integer programmingstochastic programmingstochastic dual dynamic programmingrenewable energy investment planningrisk averse
Dynamic programming (90C39) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76) Stochastic programming (90C15) Integer programming (90C10) Production theory, theory of the firm (91B38)
Cites Work
- Renewable energy investments under different support schemes: a real options approach
- On the convergence of stochastic dual dynamic programming and related methods
- Multi-stage stochastic optimization applied to energy planning
- Risk neutral and risk averse stochastic dual dynamic programming method
- Stochastic modeling of electricity and related markets.
- Lectures on Stochastic Programming
- Analysis of stochastic dual dynamic programming method
- Computability of global solutions to factorable nonconvex programs: Part I — Convex underestimating problems
- Electricity prices and power derivatives: evidence from the Nordic Power Exchange
- Energy contracts management by stochastic programming techniques
- On complexity of stochastic programming problems
- On the conditional value-at-risk probability-dependent utility function
Cited In (25)
- Multilevel Stochastic Gradient Methods for Nested Composition Optimization
- Operations research in optimal power flow: a guide to recent and emerging methodologies and applications
- Financial hedging in two-stage sustainable commodity supply chains
- Capacity, pricing and production under supply and demand uncertainties with an application in agriculture
- The structural impact of renewable portfolio standards and feed-in tariffs on electricity markets
- Investment Decisions Under Uncertainty Using Stochastic Dynamic Programming: A Case Study of Wind Power
- Electric power infrastructure planning under uncertainty: stochastic dual dynamic integer programming (SDDiP) and parallelization scheme
- Risk-averse model predictive control
- Optimal Independent Pricing Strategies of Dual-Channel Supply Chain Based on Risk-Aversion Attitudes
- Assessing the value of natural gas underground storage in the Brazilian system via stochastic dual dynamic programming
- Bounds on risk-averse mixed-integer multi-stage stochastic programming problems with mean-CVaR
- Renewable generation expansion under different support schemes: a stochastic equilibrium approach
- Scenario-dominance to multi-stage stochastic lot-sizing and knapsack problems
- Optimal investment strategies for renewable facilities
- Stochastic dual dynamic integer programming
- A risk-averse approach for the planning of a hybrid energy system with conventional hydropower
- Renewable auctions: bidding for real options
- Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns
- From scenarios to conditional scenarios in two‐stage stochastic MILP problems
- Crowdfunding mechanism comparison when product quality is uncertain
- Envelope Theorems for Multistage Linear Stochastic Optimization
- Planning low-carbon electricity systems under uncertainty considering operational flexibility and smart grid technologies
- Multi-objective mean-variance-skewness model for nonconvex and stochastic optimal power flow considering wind power and load uncertainties
- A review of the operations literature on real options in energy
- Zeroth-Order Stochastic Compositional Algorithms for Risk-Aware Learning
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