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Equity portfolio construction and selection using multiobjective mathematical programming

JOURNAL OF GLOBAL OPTIMIZATION 2010年第2期47卷 185-209页

作者： Xidonas, Panagiotis Mavrotas, George Psarras, John Natl Tech Univ Athens Athens Greece

A multi-objective mixed integer programming model for equity portfolio construction and selection is developed in this study, in order to generate the Pareto optimal portfolios, using a novel version of the well known epsilon-constraint method. Subsequently, an interactive filtering process is also proposed to assist the decision maker in making his/her final choice among the Pareto solutions. The proposed methodology is tested through an application in the Athens Stock Exchange.

关键词： Portfolio optimization multiobjective mathematical programming epsilon-Constraint method Equities

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Joint economic and emission dispatch in energy markets: A multiobjective mathematical programming approach

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ENERGY 2010年第3期35卷 1497-1504页

作者： Vahidinasab, V. Jadid, S. Iran Univ Sci & Technol Dept Elect Engn Ctr Excellence Power Syst Automat & Operat Tehran 16844 Iran

Economic load dispatch is the method of determining the most efficient, low-cost and reliable operation of a power system by dispatching the available electricity generation resources to supply the load on the system. Environmental concerns that arise due to the operation of fossil fuel fired electric generators, change the classical problem into multiobjective emission/economic dispatch (MEED) which is formulated as a constrained nonlinear multiobjective mathematical programming (MMP). The proposed MEED formulation includes emission minimization objective, AC load flow constraints and security constraints of the power system which usually are found simultaneously in real-world power systems. The proposed model has a more accurate evaluation of transmission losses obtained from the load flow equations. The MMP approach based on c-constraint algorithm has been proposed for generating Pareto-optimal solutions of power systems MEED problem. Moreover, fuzzy decision making process is employed to extract one of the Pareto-optimal solutions as the best compromise nondominated solution. The proposed approach is simulated on the IEEE 30-bus six-generator test system and obtained results have been comprehensively compared with some of the most recently published research in the area (from the both aspects of precision and execution tome) which confirms the potential and effectiveness of the proposed approach. (C) 2009 Elsevier Ltd. All rights reserved.

关键词： Electricity market Emission/economic load dispatch multiobjective mathematical programming Emission control

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Enhancing Corrected Transient Energy Margin in Electricity Energy Market Operation Using Stochastic multiobjective mathematical programming

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IEEE SYSTEMS JOURNAL 2015年第4期9卷 1419-1429页

作者： Aghaei, Jamshid Mahboubi-Moghaddam, Esmaeil Muttaqi, Kashem M. Shiraz Univ Technol Dept Elect & Elect Engn Shiraz 71454 Iran Univ Wollongong Sch Elect Comp & Telecommun Engn Australian Power Qual & Reliabil Ctr Wollongong NSW 2522 Australia

In this paper, a new stochastic multiobjective model for the market clearing of the joint energy and reserve auctions is proposed wherein both supply and demand sides can participate as reserves. The proposed framework considers the dynamic security aspect of the power system in the scenario-based market operation. To solve the problem, first, on the basis of lattice Monte Carlo simulation, different scenarios are generated to model the uncertainties of power system (including generating units and transmission line contingencies). Then, the competing objective functions of the proposed framework, including the expected social welfare function and expected corrected transient energy margin (CTEM), are simultaneously optimized for each scenario in the multiobjective framework. To calculate the CTEM, a sensitivity analysis based on the ac power flow formulation is incorporated before solving the optimization problem of the market clearing. The optimization problem is solved considering dc power flow constraints and system reserve requirements. Eventually, the scenarios are aggregated based on the expected value of decision variables to produce the final results of the market clearing framework. The model is applied to the New England test system, and simulation studies are implemented to demonstrate the effectiveness of the proposed method.

关键词： Corrected transient energy margin (CTEM) Monte Carlo simulation market clearing multiobjective mathematical programming stochastic framework

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Using multiobjective mathematical programming to link national competitiveness, productivity, and innovation

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ANNALS OF OPERATIONS RESEARCH 2016年第2期247卷 635-655页

作者： Carayannis, Elias G. Grigoroudis, Evangelos George Washington Univ Sch Business 2201 G St NWDuques Hall Washington DC 20052 USA Tech Univ Crete Sch Prod Engn & Management Univ Campus Kounoupidiana 73100 Chania Greece

Innovation-driven competitiveness is critical for a country's long run economic performance in today's knowledge-based global economy. Although several alternative measures of innovation, productivity, and competitiveness have been proposed, these concepts are inherently linked and this justifies the necessity of studying them in an integrated way, giving emphasis on their potential interrelations. This paper proposes a methodological measurement framework based on multiobjective mathematical programming in order to study the linkage among national innovation, productivity, and competitiveness and discover potential performance patterns. The model is applied in a set of European countries for the period 1998-2008. The empirical results reveal important gaps and show that innovativeness, income, and geographic area significantly affect national performances.

关键词： Innovation Productivity Competitiveness multiobjective mathematical programming

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Stochastic Wind-thermal Generation Scheduling Considering Emission Reduction: A multiobjective mathematical programming Approach

Stochastic Wind-thermal Generation Scheduling Considering Em...

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Asia-Pacific Power and Energy Engineering Conference (APPEEC)

作者： Khorsand, M. A. Zakariazadeh, A. Jadid, S. Iran Univ Sci & Technol IUST Ctr Excellence Power Syst Automat & Operat Dept Elect Engn Tehran Iran

ISBN: (纸本)9781424462551

To regard environmental protection renewable energy sources especially wind, has been applied to achieve emission reduction goals. While wind generation does not directly produce air pollutants emission, it causes some changes on thermal power generation scheduling which may lead them to produce more air pollutants emission especially during low and medium energy demand periods. So it seems necessary to consider air pollutants emission level in wind-thermal scheduling problems. This paper proposes a methodology for wind-thermal scheduling in a power system with high penetration of wind power subject to consider air pollutants emission reduction. Because of simultaneous minimizing total operating cost and air pollutants emission, a multiobjective mathematical programming (MMP) is introduced. The computation of the required reserve levels and their costs is attained through a stochastic programming market-clearing model. Also, the network constraints and the costs of both the load shedding and the wind spillage are considered. The usefulness of the proposed approach was tested through an IEEE 30-bus test system.

关键词： Air Pollutants Emission multiobjective mathematical programming Stochastic programming Unit Commitment Wind Power

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Stochastic Wind-thermal Generation Scheduling Considering Emission Reduction: A multiobjective mathematical programming Approach

Stochastic Wind-thermal Generation Scheduling Considering Em...

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Asia-Pacific Power and Energy Engineering Conference

作者： M. A. Khorsand A. Zakariazadeh S. Jadid Center of Excellence for Power System Automation and Operation Electrical Engineering Department Iran University of Science and Technology (IUST)

ISBN: (纸本)9781424462537

关键词： Air Pollutants Emission multiobjective mathematical programming Stochastic programming Unit Commitment Wind Power

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On approximate efficiency in multiobjective programming

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mathematical METHODS OF OPERATIONS RESEARCH 2006年第1期64卷 165-185页

作者： Gutierrez, C. Jimenez, B. Novo, V. Univ Valladolid ETSI Informat Dept Matemat Aplicada E-47011 Valladolid Spain Univ Nacl Educ Distancia ETSI Ind Dept Matemat Aplicada E-28040 Madrid Spain

This paper is focused on approximate (epsilon-efficiency) solutions of multi-objective mathematical programs. We introduce a new epsilon-efficiency concept which extends and unifies different notions of approximate solution defined in the literature. We characterize these epsilon-efficient solutions in convex multiobjective programs through approximate solutions of linear scalarizations, which allow us to obtain parametric representations of different epsilon-efficiency sets. Several classical epsilon-efficiency notions are considered in order to show the concepts introduced and the results obtained.

关键词： multiobjective mathematical programming epsilon-efficiency scalarization weighting method parametric representation

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A scenario-based multiobjective operation of electricity markets enhancing transient stability

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INTERNATIONAL JOURNAL OF ELECTRICAL POWER & ENERGY SYSTEMS 2012年第1期35卷 112-122页

作者： Aghaei, J. Amjady, N. Shiraz Univ Technol Dept Elect & Elect Engn Shiraz Iran Semnan Univ Dept Elect Engn Semnan Iran

Electricity market clearing is currently done using deterministic values of power system parameters considering a fixed network configuration. This paper presents a new day-ahead joint market clearing framework (including energy, spinning reserve and non-spinning reserve auctions), which considers dynamic security of power system in the market clearing. The proposed framework has a stochastic multiobjective model considering power system uncertainties. It consists of three stages. Firstly, the uncertainty sources, i.e. contingencies of generating units and branches, are modeled using the Monte Carlo simulation (MCS) method. Subsequently, in the second stage, the proposed multiobjective framework simultaneously optimizes competing objective functions of offer cost and dynamic security index, i.e. corrected transient energy margin (CTEM). This index is selected because of useful linearity properties which it posses based on the sensitivity of the CTEM with respect to power shift between generators. The optimization problem in the second stage takes DC power flow constraints and system reserve requirements into account. Finally, in the last stage, scenario aggregation based on the expected value of the decision variables produces the final results of the market clearing framework. The 10-machine New England test system is studied to demonstrate effectiveness of the proposed stochastic multiobjective market clearing scheme. (C) 2011 Elsevier Ltd. All rights reserved.

关键词： Stochastic market clearing multiobjective mathematical programming Corrected transient energy margin

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multiobjective clearing of reactive power market in deregulated power systems

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APPLIED ENERGY 2009年第9期86卷 1555-1564页

作者： Rabiee, A. Shayanfar, H. Amjady, N. IUST Ctr Excellence Power Syst Automat & Operat Dept Elect Engn Tehran 16846 Iran Semnan Univ Dept Elect Engn Semnan Iran

This paper presents a day-ahead reactive power market which is cleared in the form of multiobjective context. Total payment function (TPF) of generators, representing the payment paid to the generators for their reactive power compensation, is considered as the main objective function of reactive power market. Besides that, voltage security margin, overload index, and also voltage drop index are the other objective functions of the optimal power flow (OPF) problem to clear the reactive power market. A multiobjective mathematical programming (MMP) formulation is implemented to solve the problem of reactive power market clearing using a fuzzy approach to choose the best compromise solution according to the specific preference among various non-dominated (pareto optimal) solutions. The effectiveness of the proposed method is examined based on the IEEE 24-bus reliability test system (IEEE 24-bus RTS). (C) 2008 Elsevier Ltd. All rights reserved.

关键词： Reactive power market Total payment function (TPF) multiobjective mathematical programming Voltage security margin (VSM)

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Stochastic multiobjective Market Clearing of Joint Energy and Reserves Auctions Ensuring Power System Security

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IEEE TRANSACTIONS ON POWER SYSTEMS 2009年第4期24卷 1841-1854页

作者： Amjady, Nima Aghaei, Jamshid Shayanfar, Heidar Ali Semnan Univ Dept Elect Engn Semnan Iran Iran Univ Sci & Technol Dept Elect Engn Ctr Excellence Power Syst Automat & Operat Tehran Iran

In this paper, a stochastic multiobjective framework is proposed for day-ahead joint market clearing. The proposed multiobjective framework can concurrently optimize competing objective functions including augmented generation offer cost and security indices (overload index, voltage drop index, and voltage stability margin). Besides, system uncertainties including generating units and branches contingencies and load uncertainty are explicitly considered in the stochastic market clearing scheme. The solution methodology consists of two stages, which firstly, employs roulette wheel mechanism and Monte Carlo simulation (MCS) for random adaptive 24-h scenario generation wherein the stochastic multiobjective market clearing procedure is converted into its respective deterministic equivalents (scenarios). In the second stage, for each deterministic scenario, a multiobjective mathematical programming (MMP) formulation based on the epsilon-constrained approach is implemented for provision of spinning reserve (SR) and nonspinning reserve (NSR) as well as energy. The MMP formulation of the market clearing process is optimized while meeting ac power flow constraints and expected interruption cost (EIC). The IEEE 24-bus Reliability Test System (RTS 24-bus) is used to demonstrate the performance of the proposed method.

关键词： Joint market clearing multiobjective mathematical programming stochastic optimization

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