Multi-stage stochastic electricity portfolio optimization in liberalized energy markets

Ronald Hochreiter; George Ch. Pflug; David Wozabal

doi:10.1007/0-387-33006-2_20

Multi-stage stochastic electricity portfolio optimization in liberalized energy markets

Ronald Hochreiter
, George Ch. Pflug
, David Wozabal

Research output: Chapter in Book / Report / Conference proceeding › Conference contribution › Academic › peer-review

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-at-Risk (AVaR) term in the objective function. The results of the stochastic programming model are compared with classical fix mix strategies, which are outperformed. Furthermore, the influence of risk parameters is shown.

Original language	English
Title of host publication	System Modeling and Optimization
Subtitle of host publication	Proceedings of the 22nd IFIP TC7 Conference held from , July 18-22, 2005, Turin, Italy
Editors	F. Ceragioli
Publisher	Springer
Pages	219-226
Number of pages	8
ISBN (Electronic)	9780387330068
ISBN (Print)	9780387327747, 9781441941039
DOIs	https://doi.org/10.1007/0-387-33006-2_20
Publication status	Published - 2006
Externally published	Yes

Publication series

Name	IFIP International Federation for Information Processing
Publisher	Springer Science and Business Media, LLC
Volume	199
ISSN (Print)	1571-5736

Bibliographical note

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

SDG 7 Affordable and Clean Energy

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10.1007/0-387-33006-2_20

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Hochreiter, R., Pflug, G. C., & Wozabal, D. (2006). Multi-stage stochastic electricity portfolio optimization in liberalized energy markets. In F. Ceragioli (Ed.), System Modeling and Optimization: Proceedings of the 22nd IFIP TC7 Conference held from , July 18-22, 2005, Turin, Italy (pp. 219-226). (IFIP International Federation for Information Processing; Vol. 199). Springer. https://doi.org/10.1007/0-387-33006-2_20

Hochreiter, Ronald ; Pflug, George Ch. ; Wozabal, David. / Multi-stage stochastic electricity portfolio optimization in liberalized energy markets. System Modeling and Optimization: Proceedings of the 22nd IFIP TC7 Conference held from , July 18-22, 2005, Turin, Italy. editor / F. Ceragioli. Springer, 2006. pp. 219-226 (IFIP International Federation for Information Processing).

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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-at-Risk (AVaR) term in the objective function. The results of the stochastic programming model are compared with classical fix mix strategies, which are outperformed. Furthermore, the influence of risk parameters is shown.",

author = "Ronald Hochreiter and Pflug, \{George Ch.\} and David Wozabal",

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Hochreiter, R, Pflug, GC & Wozabal, D 2006, Multi-stage stochastic electricity portfolio optimization in liberalized energy markets. in F Ceragioli (ed.), System Modeling and Optimization: Proceedings of the 22nd IFIP TC7 Conference held from , July 18-22, 2005, Turin, Italy. IFIP International Federation for Information Processing, vol. 199, Springer, pp. 219-226. https://doi.org/10.1007/0-387-33006-2_20

Multi-stage stochastic electricity portfolio optimization in liberalized energy markets. / Hochreiter, Ronald; Pflug, George Ch.; Wozabal, David.
System Modeling and Optimization: Proceedings of the 22nd IFIP TC7 Conference held from , July 18-22, 2005, Turin, Italy. ed. / F. Ceragioli. Springer, 2006. p. 219-226 (IFIP International Federation for Information Processing; Vol. 199).

Research output: Chapter in Book / Report / Conference proceeding › Conference contribution › Academic › peer-review

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AU - Wozabal, David

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N2 - 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-at-Risk (AVaR) term in the objective function. The results of the stochastic programming model are compared with classical fix mix strategies, which are outperformed. Furthermore, the influence of risk parameters is shown.

AB - 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-at-Risk (AVaR) term in the objective function. The results of the stochastic programming model are compared with classical fix mix strategies, which are outperformed. Furthermore, the influence of risk parameters is shown.

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DO - 10.1007/0-387-33006-2_20

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Hochreiter R, Pflug GC, Wozabal D. Multi-stage stochastic electricity portfolio optimization in liberalized energy markets. In Ceragioli F, editor, System Modeling and Optimization: Proceedings of the 22nd IFIP TC7 Conference held from , July 18-22, 2005, Turin, Italy. Springer. 2006. p. 219-226. (IFIP International Federation for Information Processing). Epub 2006 Jun 7. doi: 10.1007/0-387-33006-2_20

Multi-stage stochastic electricity portfolio optimization in liberalized energy markets

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