Optimal retailer load estimates using stochastic dynamic programming

Journal of Energy Engineering

Volumn 130, Issue 1, 2004, Pages 1-17

  Gabriel, Steven A ^a   Sahakij, Prawat ^a   Balakrishnan, Swaminathan ^b  

^a UNIVERSITY OF MARYLAND   (United States)

^b ANB Enterprises Inc   (United States)

Author keywords

Dynamic programming; Electric power demand; Electric power supply; Optimization; Pricing; Stochastic models

Indexed keywords

BANDWIDTH; CONTRACTS; COSTS; DATA REDUCTION; DYNAMIC PROGRAMMING; ELECTRIC INDUSTRY; MARKETING; OPTIMIZATION; RISK ASSESSMENT; STOCHASTIC CONTROL SYSTEMS;

ELECTRIC POWER DEMAND; ELECTRIC POWER SUPPLY; PRICING; STOCHASTIC MODELS;

ELECTRIC LOADS;

EID: 14044256523     PISSN: 07339402     EISSN: None     Source Type: Journal    
DOI: 10.1061/(ASCE)0733-9402(2004)130:1(1)     Document Type: Article

References (16)

1. Bellman, R. (1957). Dynamic programming, Princeton University, Princeton, N.J.
2. Clemen, R. T., and Reilly, T. (2001). Making hard decisions with DecisionTools, Duxbury, Pacific Grove, Calif.
3. Conejo, A. J., and Prieto, F. J. (2001). "Mathematical programming and electricity markets." Sociedad de Estadística e Investigatión Operativa, 9, 1-54.
4. De Wolf, D., and Smeers, Y. (1997). "A stochastic version of a Stackelberg-Nash-Cournot equilibrium model." Manage. Sci., 43(2), 190-197.
5. Gabriel, S. A., Genc, M. F., and Balakrishnan, S. (2002). "A simulation approach to balancing annual risk and reward in retail electrical power markets." IEEE Trans. Power Appar. Syst., 17(4), 1050-1057.
6. Gabriel, S. A., Kiet, S., and Balakrishnan, S. (2003). "A mixed integer stochastic optimization model for settlement risk in retail electric power markets." in press.
7. Gürkan, G., özge, A. Y., and Robinson, S. M. (1999). "Sample-path solution of stochastic variational inequalities." Math. Program., 84, 313-333.
8. Haurie, A., Zaccour, G., Legrand, J., and Smeers, Y. (1987). "A stochastic dynamic Nash-Cournot model for the European gas market." Technical Rep. G-86-24, GERAD, Ecole des Hautes Etudes Commerciales, Montréal.
9. Hobbs, B. F., and Ji, Y. (1999). "Stochastic programming-based bounding of expected production costs for multiarea electric power systems." Oper. Res., 47(6), 836-848.
10. Hull, J. C. (2000). Options, futures, and other derivatives, Prentice-Hall, Upper Saddle River, N.J.
11. Kanudia, A., and Loulou, R. (1998). "Robust responses to climate change via stochastic MARKAL: the case of Québec." Eur. J. Oper. Res., 106, 15-30.
12. Puterman, M. L. (1994). Markov decision processes: Discrete stochastic dynamic programming, Wiley, New York.
13. Sahakij, P. (2002). "Probabilistic models for determining forward loads for electric power retailers." MS thesis, Dept. of Civil and Environmental Engineering, University of Maryland, College Park, Md.
14. Sherali, H. D., Soyster, A. L., Murphy, F. H., and Sen, S. (1984). "Intertemporal allocation of capital costs in electric utility capacity expansion planning under uncertainty." Manage. Sci., 30(1), 1-19.
15. Takriti, S., Birge, J. R., and Long, E. (1996). "A stochastic model for the unit commitment problem." IEEE Trans. Power Appar. Syst., 11(3), 1497-1506.
16. Wallace, S., and Fleten, S.-E. (2002). "Stochastic programming models in energy." Working Paper 01-02, Dept. of Industrial Economics and Technology Management, Norwegian University of Science and Technology, Trondheim, Norway.