检索结果-内蒙古大学图书馆

Optimal bidding of a virtual power plant on the Spanish day-ahead and intraday market for electricity

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH 2020年第2期280卷 639-655页

作者： Wozabal, David Rameseder, Gunther Tech Univ Munich TUM Sch Management D-80333 Munich Germany

We develop a multi-stage stochastic programming approach to optimize the bidding strategy of a virtual power plant (VPP) operating on the Spanish spot market for electricity. The VPP markets electricity produced in the wind parks it manages on the day-ahead market and on six staggered auction-based intraday markets. Uncertainty enters the problem via stochastic electricity prices as well as uncertain wind energy production. We set up the problem of bidding for one day of operation as a Markov decision process (MDP) that is solved using a variant of the stochastic dual dynamic programming algorithm. We conduct an extensive out-of-sample comparison demonstrating that the optimal policy obtained by the stochastic program clearly outperforms deterministic planning, a pure day-ahead strategy, a benchmark that only uses the day-ahead market and the first intraday market, as well as a proprietary stochastic programming approach developed in the industry. Furthermore, we study the effect of risk aversion as modeled by the nested Conditional Value-at-Risk as well as the impact of changes in various problem parameters. (C) 2019 Elsevier B.V. All rights reserved.

关键词： stochastic programming Intraday trading Markov decision processes stochastic dual dynamic programming

来源：评论

学校读者我要写书评

暂无评论

Optimal Bidding Strategies for Hydro-Electric Producers: A Literature Survey

引用

IEEE TRANSACTIONS ON POWER SYSTEMS 2014年第4期29卷 1758-1766页

作者： Steeger, Gregory Barroso, Luiz Augusto Rebennack, Steffen Colorado Sch Mines Div Econ & Business Golden CO 80401 USA Power Syst Res Inc Rio De Janeiro Brazil

In a competitive environment with bid-based markets, power generation companies desire to develop bidding strategies that maximize their revenue. In this paper we ask: What approaches and methodologies have been used to model the bidding problem for hydro-electric producers? We present the problem's developments over time and, through reviewing different variants of the problem, progressively build to the case in which the agent is a price-maker hydro-electric producer. In each variant of the bidding problem, we examine how the approaches used to solve it may or may not be applicable to other variants. Last, for the price-maker hydro-electric producer's bidding problem, we recognize the most recent developments and illuminate a path for future efforts.

关键词： Bidding problem hydro-electric producers price-taker price-maker stochastic dual dynamic programming

来源：评论

学校读者我要写书评

暂无评论

Assessment of transmission cost recovery applying marginal pricing in hydrothermal power systems

引用

ELECTRIC POWER SYSTEMS RESEARCH 1997年第1期41卷 67-74页

作者： Mello, JCO Pereira, MVF Granville, S Lima, MCA Alvarenga, S Power Systems Department CEPEL Electric Power Research Centre Ilha do Fundao P.O. Box 68007 Cidade Universitaria 21944-970 Rio de Janeiro RJ Brazil PSRI Power Systems Research Inc. Rio de Janeiro RJ Brazil Transmission Planning Department ELETROBRÁS Rio de Janeiro RJ Brazil

This paper describes an integrated framework to evaluate short-run marginal costs (SRMC) in hydrothermal systems, taking into account the chronological aspects of reservoir operation, transmission constraints, equipment failures, hydrological variation and load uncertainty. The resulting SRMC values are used to calculate circuit revenues, which are then compared with investment requirements. It is shown that the representation of these probabilistic factors substantially increases revenues, in contrast with the widely reported under-recovery found in studies which only represent normal operating conditions. Case studies with the Brazilian North-Northeastern system are presented and discussed. (C) 1997 Published by Elsevier Science S.A.

关键词： short-run marginal costs stochastic dual dynamic programming composite reliability Monte Carlo simulation

来源：评论

学校读者我要写书评

暂无评论

Electric-systems integration in the Andes community: Opportunities and threats

引用

ENERGY POLICY 2011年第2期39卷 936-949页

作者： Sauma, Enzo Jerardino, Samuel Barria, Carlos Marambio, Rodrigo Brugman, Alberto Mejia, Jose Pontificia Univ Catolica Chile Dept Ind & Syst Engn Santiago Chile Kas Ingn SA Santiago Chile Estudios Energet Ltd Bogota Colombia

This paper identifies some sustainable and technically feasible alternatives for electric exchange through interconnections among the electric systems of Bolivia, Chile, Colombia, Ecuador and Peru. In particular, we assess such interconnections from both technical and economic perspectives, and identify the main technological, commercial and regulatory barriers for their development. The analysis is carried out at the pre-feasibility level from both private and social point of views, based on the assessment of different investment alternatives in the transmission systems among the aforementioned countries. We show that, even when keeping the security and self-sufficiency of the power system of every country (i.e., when not altering the generation expansion plans of the countries), the proposed interconnections have significant economic benefits in the long run. These benefits come from the supply side, the demand side, the system-cost savings and the environmental side. We also analyze the commercial and regulatory issues that must be addressed to accelerate the regional energy integration, and provide some policy recommendations. (C) 2010 Elsevier Ltd. All rights reserved.

关键词： Interconnected power systems Power transmission economics stochastic dual dynamic programming

来源：评论

学校读者我要写书评

暂无评论

Risk neutral reformulation approach to risk averse stochastic programming

引用

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH 2020年第1期286卷 21-31页

作者： Liu, Rui Peng Shapiro, Alexander Georgia Inst Technol Sch Ind & Syst Engn Atlanta GA 30332 USA

The aim of this paper is to show that in some cases risk averse multistage stochastic programming problems can be reformulated in a form of risk neutral setting. This is achieved by a change of the reference probability measure making "bad" (extreme) scenarios more frequent. As a numerical example we demonstrate advantages of such change-of-measure approach applied to the Brazilian Interconnected Power System operation planning problem. (C) 2020 Elsevier B.V. All rights reserved.

关键词： stochastic programming Risk measures stochastic dual dynamic programming Importance sampling

来源：评论

学校读者我要写书评

暂无评论

Optimizing Multireservoir System Operating Policies Using Exogenous Hydrologic Variables

引用

WATER RESOURCES RESEARCH 2017年第11期53卷 9845-9859页

作者： Pina, Jasson Tilmant, Amaury Cote, Pascal Univ Laval Dept Civil Engn & Water Engn Quebec City PQ Canada Rio Tinto Quebec Power Operat Jonquiere PQ Canada

stochastic dual dynamic programming (SDDP) is one of the few available algorithms to optimize the operating policies of large-scale hydropower systems. This paper presents a variant, called SDDPX, in which exogenous hydrologic variables, such as snow water equivalent and/or sea surface temperature, are included in the state space vector together with the traditional (endogenous) variables, i.e., past inflows. A reoptimization procedure is also proposed in which SDDPX-derived benefit-to-go functions are employed within a simulation carried out over the historical record of both the endogenous and exogenous hydrologic variables. In SDDPX, release policies are now a function of storages, past inflows, and relevant exogenous variables that potentially capture more complex hydrological processes than those found in traditional SDDP formulations. To illustrate the potential gain associated with the use of exogenous variables when operating a multireservoir system, the 3,137 MW hydropower system of Rio Tinto (RT) located in the Saguenay-Lac-St-Jean River Basin in Quebec (Canada) is used as a case study. The performance of the system is assessed for various combinations of hydrologic state variables, ranging from the simple lag-one autoregressive model to more complex formulations involving past inflows, snow water equivalent, and winter precipitation.

关键词： reservoir operation dynamic programming large-scale systems stochastic dual dynamic programming

来源：评论

学校读者我要写书评

暂无评论

Incorporating convex risk measures into multistage stochastic programming algorithms

引用

ANNALS OF OPERATIONS RESEARCH 2022年第2期348卷 807-831页

作者： Dowson, Oscar Morton, David P. Pagnoncelli, Bernardo K. Northwestern Univ Dept Ind Engn & Management Sci Evanston IL 60208 USA Univ Cote dAzur SKEMA Business Sch Lille France

Over the last two decades, coherent risk measures have been well studied as a principled, axiomatic way to characterize the risk of a random variable. Because of this axiomatic approach, coherent risk measures have a number of attractive features for computation, and they have been integrated into a variety of stochastic programming algorithms, including stochastic dual dynamic programming (SDDP), a common class of data-driven solution methods for multistage stochastic programs. Coherent risk measures and SDDP are tools used to manage risk while solving data-driven problems. Perhaps the most prominent example involves informing operations and deriving electricity prices in power systems with significant hydro-electric power, including the Brazilian interconnected power system. We focus on incorporating the more general class of convex risk measures into an SDDP algorithm, exemplifying our approach with the entropic risk measure. It is well-known that coherent risk measures lead to an inconsistency if agents care about their state at the end of the time horizon, but control risk in a stage-wise fashion. The entropic risk measure does not have this shortcoming. We illustrate the advantages of the entropic risk measure with two small examples from transportation and finance, and test the numerical viability of our adaptation of the SDDP decomposition scheme in a large-scale hydro-thermal scheduling problem using data from the Brazilian system.

关键词： stochastic dual dynamic programming Convex risk measures Entropic risk measure Data-driven operations

来源：评论

学校读者我要写书评

暂无评论

Optimal portfolio choice of couples with tax-deferred accounts and survival-contingent products

引用

QUANTITATIVE FINANCE 2023年第11期23卷 1597-1615页

作者： Bae, Sanghyeon Lee, Yongjae Kim, Woo Chang Korea Adv Inst Sci & Technol KAIST Dept Ind & Syst Engn 291 Daehak Ro Daejeon 34141 South Korea Ulsan Natl Inst Sci & Technol UNIST Dept Ind Engn 50 UNIST Gil Ulsan 44919 South Korea

Financial products for retirement planning generally have complex taxation structures and death conditions. In particular, tax-deferred accounts (TDAs) can provide tax-sheltered wealth accumulation by deferring taxes, even with the same financial products. Additionally, various survival-contingent products (SCPs), such as annuity products and life insurance contracts, have different payouts for policyholders. In this study, considering both the TDA and SCPs, we formulate and solve a couple's lifetime portfolio choice problem using a multistage stochastic programming model. Owing to its high-dimensional state space and lifelong planning periods, stochastic dual dynamic programming (SDDP) was used to solve this problem. We find some interesting results;when both the TDA and SCPs are available, the portfolio is less concentrated in annuity holdings than when the TDA is unavailable. Moreover, the couple ends their contribution to the TA earlier than when SCPs are unavailable.

关键词： Retirement planning Tax-deferred accounts Survival-contingent products Life insurance Immediate annuities stochastic dual dynamic programming

来源：评论

学校读者我要写书评

暂无评论

Representation of Wind Energy Scenarios in the Mid-Term Hydrothermal Systems Operation Scheduling

引用

JOURNAL OF CONTROL AUTOMATION AND ELECTRICAL SYSTEMS 2019年第3期30卷 413-423页

作者： Fernandes, Alexandre da Silva Oliveira, Marcos T. Marcato, Andre L. M. Oliveira, Edimar J. Junior, Ivo C. S. Oliveira, Elisa Univ Fed Juiz de Fora Rua Jose Lourenco Kelmer S-N BR-36036900 Juiz De Fora MG Brazil

This paper presents a modified stochastic dual dynamic programming methodology in order to include the wind energy scenarios in the mid-term hydrothermal systems operation planning with an hourly representation of the demand. As the wind power intermittence adds more complexity for this class of problem, the conventional stochastic dual dynamic programming (SDDP) is not suitable to solve it due the excessive computational effort. Then the proposed approach includes in a conventional SDDP an analytical representation of immediate cost function for each stage and inflow/wind scenarios. Analysis results considering different cases of the South Brazilian system will be used to show the effectiveness and robustness of the proposed methodology.

关键词： stochastic dual dynamic programming Hydrothermal system dispatch Wind energy scenarios Power system operation

来源：评论

学校读者我要写书评

暂无评论

Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns

引用

ANNALS OF OPERATIONS RESEARCH 2019年第1-2期282卷 379-405页

作者： Valladao, Davi Silva, Thuener Poggi, Marcus Pontifical Catholic Univ Rio de Janeiro PUC Rio Dept Ind Engn RDC Rua Marques de Sao Vicente 225 BR-22451900 Rio De Janeiro RJ Brazil Pontifical Catholic Univ Rio de Janeiro PUC Rio Dept Informat RDC Rua Marques de Sao Vicente 225 BR-22451900 Rio De Janeiro RJ Brazil

dynamic portfolio optimization has a vast literature exploring different simplifications by virtue of computational tractability of the problem. Previous works provide solution methods considering unrealistic assumptions, such as no transactional costs, small number of assets, specific choices of utility functions and oversimplified price dynamics. Other more realistic strategies use heuristic solution approaches to obtain suitable investment policies. In this work, we propose a time-consistent risk-constrained dynamic portfolio optimization model with transactional costs and Markovian time-dependence. The proposed model is efficiently solved using a Markov chained stochastic dual dynamic programming algorithm. We impose one-period conditional value-at-risk constraints, arguing that it is reasonable to assume that an investor knows how much he is willing to lose in a given period. In contrast to dynamic risk measures as the objective function, our time-consistent model has relatively complete recourse and a straightforward lower bound, considering a maximization problem. We use the proposed model for approximately solving: (i) an illustrative problem with 3 assets and 1 factor with an autoregressive dynamic;(ii) a high-dimensional problem with 100 assets and 5 factors following a discrete Markov chain. In both cases, we empirically show that our approximate solution is near-optimal for the original problem and significantly outperforms selected (heuristic) benchmarks. To the best of our knowledge, this is the first systematic approach for solving realistic time-consistent risk-constrained dynamic asset allocation problems.

关键词： stochastic programming Time consistency dynamic asset allocation stochastic dual dynamic programming Conditional value-at-risk constraints

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：