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Document type:
Zeitschriftenaufsatz 
Author(s):
Hochreiter, R.; Pflug, G. Ch.; Wozabal, D. 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
Multi-stage stochastic electricity portfolio optimization in liberalized energy markets 
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:
Status:
Erstveröffentlichung 
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