检索结果-内蒙古大学图书馆

Medium-term planning for thermal electricity production

OR SPECTRUM 2014年第3期36卷 723-759页

作者： Kovacevic, Raimund M. Paraschiv, Florentina Univ Vienna Dept Stat & Decis Support Syst A-1010 Vienna Austria Univ St Gallen Inst Operat Res & Computat Finance CH-9000 St Gallen Switzerland

In the present paper, we present a mid-term planning model for thermal power generation which is based on multistage stochastic optimization and involves stochastic electricity spot prices, a mixture of fuels with stochastic prices, the effect of CO emission prices and various types of further operating costs. Going from data to decisions, the first goal was to estimate simulation models for various commodity prices. We apply Geometric Brownian motions with jumps to model gas, coal, oil and emission allowance spot prices. Electricity spot prices are modeled by a regime switching approach which takes into account seasonal effects and spikes. Given the estimated models, we simulate scenario paths and then use a multiperiod generalization of the Wasserstein distance for constructing the stochastic trees used in the optimization model. Finally, we solve a 1-year planning problem for a fictitious configuration of thermal units, producing against the markets. We use the implemented model to demonstrate the effect of CO prices on cumulated emissions and to apply the indifference pricing principle to simple electricity delivery contracts.

关键词： multistage stochastic programming Tree generation Electricity production Modeling commodity spot prices

来源：评论

学校读者我要写书评

暂无评论

Step decision rules for multistage stochastic programming:: A heuristic approach

引用

AUTOMATICA 2008年第6期44卷 1569-1584页

作者： Thenie, J. Vial, J. -Ph. Univ Geneva HEC Logilab Dept Management Studies CH-1211 Geneva 4 Switzerland OREDCSYS Geneva Switzerland

stochastic programming with step decision rules (SPSDR) aims to produce efficient solutions to multistage stochastic optimization problems. SPSDR, like plain multistage stochastic programming (SP), operates on a Monte Carlo "computing sample" of moderate size that approximates the stochastic process. Unlike SP, SPSDR does not strive to build a balanced event tree out of that sample. Rather, it defines a solution as a special type of decision rule, with the property that the decisions at each stage are piecewise constant functions on the sample of scenarios. Those pieces define a partition of the set of scenarios at each stage t, but the partition at t + 1 need not be refinement of the partition at t. However, the rule is constructed so that the non-anticipativity condition is met, a necessary condition to make the rules operational. To validate the method we show how to extend a non-anticipatory decision rule to arbitrary scenarios within a very large validation sample of scenarios. We apply three methods, SPSDR, SP and Robust Optimization, to the same 12-stage problem in supply chain management, and compare them relatively to different objectives and performance criteria. It appears that SPSDR performs better than SP in that it produces a more accurate estimate (prediction) of the value achieved by its solution on the validation sample, and also that the achieved value is better. (c) 2008 Elsevier Ltd. All rights reserved.

关键词： multistage stochastic programming

来源：评论

学校读者我要写书评

暂无评论

Risk neutral and risk averse stochastic Dual Dynamic programming method

引用

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH 2013年第2期224卷 375-391页

作者： Shapiro, Alexander Tekaya, Wajdi da Costa, Joari Paulo Soares, Murilo Pereira Georgia Inst Technol Sch Ind & Syst Engn Atlanta GA 30332 USA ONS Operador Nacl Sistema Eletr BR-20091005 Ctr Rio De Janeiro RJ Brazil

In this paper we discuss risk neutral and risk averse approaches to multistage (linear) stochastic programming problems based on the stochastic Dual Dynamic programming (SDDP) method. We give a general description of the algorithm and present computational studies related to planning of the Brazilian interconnected power system. (C) 2012 Elsevier B.V. All rights reserved.

关键词： multistage stochastic programming Dynamic equations stochastic Dual Dynamic programming Sample average approximation Risk averse Average Value-at-Risk

来源：评论

学校读者我要写书评

暂无评论

Tree structure generation from ensemble forecasts for real time control

引用

HYDROLOGICAL PROCESSES 2013年第1期27卷 75-82页

作者： Raso, L. van de Giesen, N. Stive, P. Schwanenberg, D. van Overloop, P. J. Delft Univ Technol Dept Water Resources Management Delft Netherlands Deltares Dept Operat Water Management Delft Netherlands

This paper presents a new methodology to generate a tree from an ensemble. The reason to generate a tree is to use the ensemble in multistage stochastic programming. A correct tree structure is of critical importance because it strongly affects the performance of the optimization. A tree, in contrast to an ensemble, specifies when its trajectories diverge from each other. A tree can be generated from the ensemble data by aggregating trajectories over time until the difference between them becomes such that they can no longer be assumed to be similar, at such a point, the tree branches. The proposed method models the information flow: it takes into account which observations will become available, at which moment, and their level of uncertainty, i.e. their probability distributions (pdf). No conditions are imposed on those distributions. The method is well suited to trajectories that are close to each other at the beginning of the forecasting horizon and spread out going on in time, as ensemble forecasts typically are. Copyright (C) 2012 John Wiley & Sons, Ltd.

关键词： multistage stochastic programming ensemble forecasts tree structure information real time control optimal control

来源：评论

学校读者我要写书评

暂无评论

Computational strategies for non-convex multistage MINLP models with decision-dependent uncertainty and gradual uncertainty resolution

引用

ANNALS OF OPERATIONS RESEARCH 2013年第1期203卷 141-166页

作者： Tarhan, Bora Grossmann, Ignacio E. Goel, Vikas ExxonMobil Upstream Res Co Houston TX 77098 USA Carnegie Mellon Univ Dept Chem Engn Pittsburgh PA 15213 USA

In many planning problems under uncertainty the uncertainties are decision-dependent and resolve gradually depending on the decisions made. In this paper, we address a generic non-convex MINLP model for such planning problems where the uncertain parameters are assumed to follow discrete distributions and the decisions are made on a discrete time horizon. In order to account for the decision-dependent uncertainties and gradual uncertainty resolution, we propose a multistage stochastic programming model in which the non-anticipativity constraints in the model are not prespecified but change as a function of the decisions made. Furthermore, planning problems consist of several scenario subproblems where each subproblem is modeled as a nonconvex mixed-integer nonlinear program. We propose a solution strategy that combines global optimization and outer-approximation in order to optimize the planning decisions. We apply this generic problem structure and the proposed solution algorithm to several planning problems to illustrate the efficiency of the proposed method with respect to the method that uses only global optimization.

关键词： Decision making under uncertainty Decision dependent uncertainty Gradual uncertainty resolution multistage stochastic programming Non-convex mixed integer nonlinear program Global optimization Outer-approximation Oil or gas field exploration Synthesis of process networks

来源：评论

学校读者我要写书评

暂无评论

stochastic Dual Dynamic programming for transportation planning under demand uncertainty

Stochastic Dual Dynamic Programming for transportation plann...

引用

International Conference on Advanced Logistics and Transport (ICALT)

作者： Fhoula, Boutheina Hajji, Adnene Rekik, Monia Univ Laval FSA ULaval CIRRELT Dept Operat & Decis Syst Quebec City PQ Canada

ISBN: (纸本)9781479903139;9781479903146

This paper addresses the problem of transportation procurement process in a stochastic context and proposes a resolution approach aiming to obtain an optimal policy over a finite planning horizon. Based on a conceptual framework which integrates both strategic and operational decision making levels, this paper addresses the problem from an operational point of view while integrating the transportation decisions already taken at the strategic level. Strategic decisions provide a set of core carriers selected using a combinatorial auction mechanism in which carriers compete by submitting package bids on shipper s' requests. Operational decisions involve a set of core and spot carriers competing to procure transportation services and ship loads from a set of warehouses to a set of distribution centres over a finite planning horizon. The problem is modelled as a stochastic Linear multistage Program and the stochastic Dual Dynamic programming SDDP is adapted to solve it. To illustrate the practical usefulness and the behaviour of the obtained results, experimentations and sensitivity analyses are carried out.

关键词： Strategic & operational decision making transportation procurement multistage stochastic programming

来源：评论

学校读者我要写书评

暂无评论

Worst-Case-Expectation Approach to Optimization Under Uncertainty

引用

OPERATIONS RESEARCH 2013年第6期61卷 1435-1449页

作者： Shapiro, Alexander Tekaya, Wajdi Soares, Murilo Pereira da Costa, Joari Paulo Georgia Inst Technol Sch Ind & Syst Engn Atlanta GA 30332 USA Cambridge Syst Associates Cambridge CB5 8AF England Operador Nacl Sistema Eletr BR-20211160 Rio De Janeiro RJ Brazil

In this paper we discuss multistage programming with the data process subject to uncertainty. We consider a situation where the data process can be naturally separated into two components: one can be modeled as a random process, with a specified probability distribution, and the other one can be treated from a robust (worst-case) point of view. We formulate this in a time consistent way and derive the corresponding dynamic programming equations. To solve the obtained multistage problem, we develop a variant of the stochastic dual dynamic programming method. We give a general description of the algorithm and present computational studies related to planning of the Brazilian interconnected power system.

关键词： multistage stochastic programming robust optimization time consistency dynamic equations stochastic dual dynamic programming sample average approximation risk-neutral and risk-averse approaches case studies

来源：评论

学校读者我要写书评

暂无评论

Airline network revenue management by multistage stochastic programming

引用

COMPUTATIONAL MANAGEMENT SCIENCE 2008年第4期5卷 355-377页

作者： Moeller, Andris Roemisch, Werner Weber, Klaus Humboldt Univ Inst Math Unter Linden 6 D-10099 Berlin Germany AIDA Cruises D-18055 Rostock Germany

A multistage stochastic programming approach to airline network revenue management is presented. The objective is to determine seat protection levels for all itineraries, fare classes, points of sale of the airline network and all dcps of the booking horizon such that the expected revenue is maximized. While the passenger demand and cancelation rate processes are the stochastic inputs of the model, the stochastic protection level process represents its output and allows to control the booking process. The stochastic passenger demand and cancelation rate processes are approximated by a finite number of tree structured scenarios. The scenario tree is generated from historical data using a stability-based recursive scenario reduction scheme. Numerical results for a small hub-and-spoke network are reported.

关键词： Airline revenue management Seat inventory control multistage stochastic programming Scenario tree generation

来源：评论

学校读者我要写书评

暂无评论

stochastic Dual Dynamic programming for transportation planning under demand uncertainty

Stochastic Dual Dynamic Programming for transportation plann...

引用

International Conference on Advanced Logistics and Transport

作者： Boutheina Fhoula Adnene Hajji Monia Rekik Department of Operations and decision systems CIRRELT FSA ULaval Laval University

ISBN: (纸本)9781479903146

关键词： Strategic & operational decision making Transportation procurement multistage stochastic programming

来源：评论

学校读者我要写书评

暂无评论

Retirement planning in individual asset-liability management

引用

IMA JOURNAL OF MANAGEMENT MATHEMATICS 2012年第4期23卷 365-396页

作者： Consigli, Giorgio Iaquinta, Gaetano Moriggia, Vittorio di Tria, Massimo Musitelli, Davide Univ Bergamo Dept Math Stat & Comp Sci Bergamo Italy Allianz Investment Management Milan Italy

Increasing financial pressure on State-controlled pension systems has caused, over the last two decades or so, an unprecedented effort by private pension funds (PFs) and insurance companies to issue new types of retirement vehicles. This article investigates the effects of such widespread phenomenon from the perspective of individual asset-liability management. A multistage stochastic programming problem has been formulated with investment opportunities including PFs, unit-linked contracts and variable life annuities. The introduction of a specific risk measure with respect to a desirable retirement income stream and a planning horizon spanning the entire individuals' working life helps to analyse the implications of observed market dynamics on retirement strategies. We present comparative results focusing on the retirement planning problem for three representative individuals carrying different time horizons but common retirement goals. The results show the benefits over traditional pension accumulation plans of dynamic strategies based on mixed portfolios of retirement products.

关键词： multistage stochastic programming asset-liability management individual retirement planning variable life annuities private pension plans

来源：评论

学校读者我要写书评

暂无评论

建议与咨询留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

时间限定

文献类型

馆藏选择

核心期刊

语言

文献类型

帮助

文字说明：

检索规则说明：

检索范例：

分类表

所选分类

限定检索结果

文献类型

馆藏范围

日期分布

学科分类号

主题

机构

作者

语言

请选择保存的检索档案：

请选择收藏分类：

通借通还

建议与咨询 留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

时间限定

文献类型

馆藏选择

核心期刊

语言

文献类型

帮助

文字说明：

检索规则说明：

检索范例：

分类表

所选分类

限定检索结果

文献类型

馆藏范围

日期分布

学科分类号

主题

机构

作者

语言

请选择保存的检索档案： 新增检索档案 确定 取消

请选择收藏分类： 新增自定义分类 确定 取消

通借通还

建议与咨询留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

请选择保存的检索档案：

请选择收藏分类：