Optimizing financial and physical assets with chance-constrained programming in the electrical industry

Optimization and Engineering

Volumn 12, Issue 1-2, 2011, Pages 237-255

  Zorgati, Riadh ^a   van Ackooij, Wim ^a  

^a EDF R AND D   (France)

Author keywords

Chance constrained programming; Hedging; Unit commitment

Indexed keywords

APPROXIMATE ALGORITHMS; CHANCE CONSTRAINT; CHANCE-CONSTRAINED; CHANCE-CONSTRAINED PROGRAMMING; COMBINATORIAL PROBLEM; ELECTRICAL INDUSTRY; ELECTRICITY MARKET; EQUILIBRIUM PROBLEM; FINANCIAL ASSETS; HEDGING; KNAPSACK PROBLEMS; MATRIX; PHYSICAL ASSETS; PROBABILISTIC MODELS; PRODUCTION CAPACITY; RANDOM COEFFICIENTS; THERMAL PLANTS; UNCERTAINTY FACTORS; UNIT COMMITMENT;

INTEGER PROGRAMMING;

COMPUTER PROGRAMMING;

EID: 79952487235     PISSN: 13894420     EISSN: 15732924     Source Type: Journal    
DOI: 10.1007/s11081-010-9113-3     Document Type: Article

References (17)

1. Appariagliato R, Vial JP, Zorgati R (2006) Weekly management of a hydraulic valley by robust optimization. In: 19th international symposium on mathematical programming, Rio de Janeiro.
2. Ben-Tal A, Nemirovski A (2007) Selected topics in robust convex optimisation. Math Program 112(1): 125-158.
3. Bruhns A, Deurveilher G, Roy JS (2005) A non-linear regression model for mid-term load forecasting and improvements in seasonality. In: PSCC 2005, Luik.
4. Charnes A, Cooper W (1959-1960) Chance-constrained programming. Manag Sci 6: 73-79.
5. Charnes A, Cooper W (1962) Chance constraints and normal deviates. J Am Stat Assoc 57: 134-148.
6. Charnes A, Cooper W (1963) Deterministic equivalents for optimizing and satisficing under chance constraints. Oper Res 11: 18-39.
7. Cohen G, Zhu DL (1983) Decomposition-coordination methods in large-scale optimization problems. The non-differentiable case and the use of augmented Lagrangians. In: Systems, theory and applications.
8. Delbaen F (2002) Coherent risk measures on general probability spaces. In: Advances in finance and stochastics (Essays in honour of Dieter Sondermann), p 35.
9. Henrion R (2004) Introduction to chance constraint programming. Tutorial paper for the Stochastic Programming Community HomePage. http://www. wias-berlin. de/people/henrion/publikat. html.
10. Klopfenstein O (2007) Tractable algorithms for chance-constrained combinatorial problems. www. optimization-online. org.
11. Klopfenstein O, Nace D (2007) A robust approach to the chance-constrained knapsack problem. Oper Res Lett 36: 628-632.
12. Lemaréchal C, Sagastizábal C (1994) An approach to variable metric bundle methods. Lect Notes Control Inf Sci 197: 144-162.
13. Loucks DP, Stedinger JR, Haith DA (1981) Water resource systems planning and analysis. Prentice-Halls, New York.
14. Ohsaki M., Fukushima S, Takazawa K, Ibaraki T (1992) Successive linearization methods for large-scale nonlinear programming problems. Jpn J Ind Appl Math 9: 117-132.
15. Nemirovski A, Shapiro A (2006) Scenario approximations of chance constraints. Probabilistic and randomized methods for design under uncertainty. Springer, London.
16. Ruszczynski A, Shapiro A (2006) Optimization of convex risk functions. Math Oper Res 31: 433-452.
17. Zorgati R, van Ackooij W, Apparigliato R (2009) Supply shortage hedging: estimating the electrical power margin for optimizing financial and physical assets with chance-constrained programming. IEEE Trans Power Syst 24(2): 533-540.