2003-01-09Buch DOI: 10.18452/2916
A stochastic programming approach to power portfolio optimization
Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
The DASH model for Power Portfolio Optimization provides a tool which helps decision-makers coordinate production decisions with opportunities in the wholesale power market. The methodology is based on a stochastic programming model which selects portfolio positions that perform well on a variety of scenarios generated through statistical modeling and optimization. When compared with a commonly used fixed-mix policy, our experiments demonstrate that the DASH model provides significant advantages over several fixed-mix policies.