The value of rolling-horizon policies for risk-averse hydro-thermal planning
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Publication:439342
DOI10.1016/J.EJOR.2011.08.017zbMATH Open1244.90264OpenAlexW2082571530MaRDI QIDQ439342FDOQ439342
Claudia Sagastizábal, Vincent Guigues
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
Cites Work
- Coherent measures of risk
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- On the convergence of stochastic dual dynamic programming and related methods
- Multi-stage stochastic optimization applied to energy planning
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- Convergent cutting-plane and partial-sampling algorithm for multistage stochastic linear programs with recourse
- Introduction to Stochastic Programming
- Analysis of stochastic dual dynamic programming method
- Robust convex optimization
- Adjustable robust solutions of uncertain linear programs
- A model for dynamic chance constraints in hydro power reservoir management
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- SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning
- A Robust Optimization Approach to Inventory Theory
- On a time consistency concept in risk averse multistage stochastic programming
- Polyhedral risk measures in electricity portfolio optimization
- Robust mid-term power generation management
- Robust production management
- A stabilized model and an efficient solution method for the yearly optimal power management
Cited In (16)
- Robust management and pricing of liquefied natural gas contracts with cancelation options
- Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion
- Robust optimization of uncertain multistage inventory systems with inexact data in decision rules
- Divide to conquer: decomposition methods for energy optimization
- A stochastic multi-stage fixed charge transportation problem: worst-case analysis of the rolling horizon approach
- On conditional cuts for stochastic dual dynamic programming
- Exploiting the structure of autoregressive processes in chance-constrained multistage stochastic linear programs
- Optimal non-anticipative scenarios for nonlinear hydro-thermal power systems
- A moment and sum-of-squares extension of dual dynamic programming with application to nonlinear energy storage problems
- Non-anticipative risk-averse analysis with effective scenarios applied to long-term hydrothermal scheduling
- Risk-averse two-stage stochastic programs in furniture plants
- Risk-averse feasible policies for large-scale multistage stochastic linear programs
- SDDP for multistage stochastic linear programs based on spectral risk measures
- Portfolio optimization with irreversible long-term investments in renewable energy under policy risk: a mixed-integer multistage stochastic model and a moving-horizon approach
- SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning
- Two-stage network constrained robust unit commitment problem
Recommendations
- Risk-averse feasible policies for large-scale multistage stochastic linear programs 👍 👎
- A combined SDDP/Benders decomposition approach with a risk-averse surface concept for reservoir operation in long term power generation planning 👍 👎
- 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 👍 👎
- A risk-averse approach for the planning of a hybrid energy system with conventional hydropower 👍 👎
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