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 ...

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 ...

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 ...

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 ...

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. ...

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 ...

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 ...

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 ...