Browsing Volume 2013 by Title
Now showing items 1-8 of 8
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2013-05-14BuchA mixed-integer stochastic nonlinear optimization problem with joint probabilistic constraints We illustrate the solution of a mixed-integer 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 ...
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2013-09-17BuchAncestral Benders' Cuts and Multi-term Disjunctions for Mixed-Integer Recourse Decisions in Stochastic Programming This paper focuses on solving two-stage 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 ...
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2013-07-24BuchBidding 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 day-ahead ...
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2013-04-09BuchComputational aspects of risk-averse optimizationin two-stage stochastic models Computational studies on two-stage stochastic programming problems indicate that aggregate models have better scale-up properties than disaggregate ones, though the threshold of breaking even may be high. In this paper we ...
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2013-07-25BuchConditioning of linear-quadratic two-stage stochastic optimization problems In this paper a condition number for linear-quadratic two-stage stochastic optimization problemsis introduced as the Lipschitz modulus of the multifunction assigning to a (discrete) probabilitydistribution the solution set ...
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2013-04-02BuchConvex 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. ...
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2013-05-13BuchElectricity 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 ...
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2013-04-09BuchThe 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 ...
