Monday, 13:15 - 13:40 h, Room: MA 549

 

Timo Lohmann
Stochastic hydro-thermal scheduling with CVaR risk constraints in deregulated markets

Coauthor: Steffen Rebennack

 

Abstract:
In the regulated electricity market, a power producer's goal is to satisfy his customers' electricity demand while minimizing his expected cost of operating his power system. In the deregulated market, a power producer has no longer to meet the electricity demand of his customers, but is able to trade the electricity in the market. This complicates the problem as uncertainty of spot prices and risk appetite have to be considered in addition. The objective of optimization is the maximization of expected net profit of the power system in the mid-term horizon. In our case the power system is hydro-dominated and the resulting multi-stage stochastic programming problem contains jointly uncertainties in the hydro inflows and electricity spot prices. These kinds of models are usually solved with the SDDP algorithm. For this special case we need to use a hybrid SDP/SDDP algorithm and we enhance it with CVaR risk constraints.

 

Talk 1 of the invited session Mon.2.MA 549
"Optimization in energy systems" [...]
Cluster 18
"Optimization in energy systems" [...]

 

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