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Title:

Multi-stage stochastic electricity portfolio optimization in liberalized energy markets

Document type:
Zeitschriftenaufsatz
Author(s):
Hochreiter, R.; Pflug, G. Ch.; Wozabal, D.
Non-TUM Co-author(s):
ja
Cooperation:
international
Abstract:
In this paper we analyze the electricity portfolio problem of a big consumer in a multi-stage stochastic programming framework. Stochasticity enters the model via the uncertain spot price process and is represented by a scenario tree. The decision that has to be taken is how much energy should be bought in advance, and how large the exposition to the uncertain spot market, as well as the relatively expensive production with an own power plant should be. The risk is modeled using an Average Value...     »
Intellectual Contribution:
Discipline-based Research
Journal title:
Springer IFIP International Federation for Information Processing Series, System Modeling and Optimization
Journal listet in FT50 ranking:
nein
Year:
2006
Journal issue:
199
Pages contribution:
219-226
Covered by:
Scopus; Web of Science
Language:
en
Fulltext / DOI:
doi:10.1007/0-387-33006-2_20
WWW:
http://dx.doi.org/10.1007/0-387-33006-2_20
Status:
Erstveröffentlichung
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
Interdisciplinarity:
Nein
Mission statement:
Energy, Climate, Environment
Ethics and Sustainability:
Ja
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