Browsing Volume 2013 by Title
Now showing items 18 of 8

20130514BuchA mixedinteger stochastic nonlinear optimization problem with joint probabilistic constraints We illustrate the solution of a mixedinteger stochastic nonlinear optimization problem in an application of power management. In this application, a coupled system consisting of a hydro power station and a wind farm is ...

20130917BuchAncestral Benders' Cuts and Multiterm Disjunctions for MixedInteger Recourse Decisions in Stochastic Programming This paper focuses on solving twostage stochastic mixed integer programs (SMIPs) with general mixed integer decision variables in both stages. We develop a decomposition algorithm in which the first stage approximation ...

20130724BuchBidding in sequential electricity markets: The Nordic case For electricity market participants trading in sequential markets with differences in price levels and riskexposure, coordinated bidding is highly relevant. We consider a Nordic power producer who engages inthe dayahead ...

20130409BuchComputational aspects of riskaverse optimizationin twostage stochastic models Computational studies on twostage stochastic programming problems indicate that aggregate models have better scaleup properties than disaggregate ones, though the threshold of breaking even may be high. In this paper we ...

20130725BuchConditioning of linearquadratic twostage stochastic optimization problems In this paper a condition number for linearquadratic twostage stochastic optimization problemsis introduced as the Lipschitz modulus of the multifunction assigning to a (discrete) probabilitydistribution the solution set ...

20130402BuchConvex approximations for totally unimodular integerrecourse models: A uniform error bound We consider a class of convex approximations for totally unimodular (TU) integer recourse models and derive a uniform error bound by exploiting properties of the total variation of the probability density functions involved. ...

20130513BuchElectricity Swing Option Pricing by Stochastic Bilevel Optimization: a Survey and New Approaches We demonstrate how the problem of determining the ask price for electricityswing options can be considered as a stochastic bilevel program with asymmetricinformation. Unlike as for financial options, there is no way for ...

20130409BuchThe Natural Banach Space for Version Independent Risk Measures Risk measures, or coherent measures of risk are often considered on the space $L^\infty$, andimportant theorems on risk measures build on that space. Other risk measures, among themthe most important risk measure – the ...