Thursday, 13:45 - 14:10 h, Room: MA 550

 

Peter Gross
Risk averse bilevel problems in energy markets

Coauthors: Raimund M. Kovacevic, Georg Ch Pflug

 

Abstract:
Our work introduces risk averse bilevel problems as a special case of stochastic bilevel problems. These problems can for example arise at the pricing of energy delivery contracts, when instead of a replication approach a game-theoretic approach to pricing is chosen. In the latter case, the exercise price set by the seller anticipates the exercise strategy of the buyer that will be triggered by this particular exercise price. The special, case where constraints on the seller's risk are included in the model, we call risk averse bilevel problem.
This particular type of bilevel problem where the seller's constraints depend on the buyer's exercise strategy has so far received little attention, since in general it leads to a nonconvex optimization problems where the feasible set even may be nonconnected. We demonstrate the properties and particular difficulties of this problem and present algorithms suitable for solving it. We apply an iterative solution method on some real data and investigate the numerical behavior.

 

Talk 2 of the contributed session Thu.2.MA 550
"Bilevel programming and housing retrofit" [...]
Cluster 18
"Optimization in energy systems" [...]

 

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