Monday, 15:15 - 15:40 h, Room: MA 550


Densing Martin
Multistage stochastic optimization of power dispatch and multiperiod duality of CVaR

Coauthor: János Mayer


We consider cost-optimization models of power production in the context of mean-risk multi-stage stochastic optimization problems. We introduce the concept of occupation times to reduce the size of the scenario tree in a finite setting in time and states. In terms of financial risk measurement, we apply multiperiod extensions of the risk measure Conditional-Value-at-Risk (CVaR), which is widely used in applications due to its coherency properties. We show a time-consistent generalization to multiple periods that applies CVaR-like measures recursively over the time periods and compare with other extensions. In terms of modeling, we discuss how financial futures may reduce risk and how demand can be incorporated in the proposed framework. Numerical results are presented.
%This is a joint work with János Mayer, Department of Business Administration, University of Zurich.


Talk 1 of the invited session Mon.3.MA 550
"Stochastic optimization for electricity production and trading" [...]
Cluster 18
"Optimization in energy systems" [...]


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