Portfolio management of hydropower producer via stochastic programming

被引：13

作者：

Liu, Hongling ^{[1
]}

Jiang, Chuanwen ^{[1
]}

Zhang, Yan ^{[1
]}

机构：

[1] Shanghai Jiao Tong Univ, Dept Elect Engn, Shanghai 200030, Peoples R China

来源：

ENERGY CONVERSION AND MANAGEMENT | 2009年 / 50卷 / 10期

基金：

中国国家自然科学基金;

关键词：

Hydropower scheduling; Stochastic programming; Portfolio management; Value of stochastic solution; OPTIMIZATION; SYSTEM; OPERATIONS; SCENARIOS; INFLOWS;

D O I：

10.1016/j.enconman.2009.06.010

中图分类号：

O414.1 [热力学];

学科分类号：

070201 [理论物理];

摘要：

This paper presents a stochastic linear programming framework for the hydropower portfolio management problem with uncertainty in market prices and inflows on medium term. The uncertainty is modeled as a scenario tree using the Monte Carlo simulation method, and the objective is to maximize the expected revenue over the entire scenario tree. The portfolio decisions of the stochastic model are formulated as a tradeoff involving different scenarios. Numerical results illustrate the impact of uncertainty on the portfolio management decisions, and indicate the significant value of stochastic solution. (C) 2009 Elsevier Ltd. All rights reserved.

引用

页码：2593 / 2599

页数：7

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