A time consistent risk averse three-stage stochastic mixed integer optimization model for power generation capacity expansion
Author
Abstract
Suggested Citation
DOI: 10.1016/j.eneco.2014.07.016
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Francesca Maggioni & Stein Wallace, 2012. "Analyzing the quality of the expected value solution in stochastic programming," Annals of Operations Research, Springer, vol. 200(1), pages 37-54, November.
- Maria Vespucci & Marida Bertocchi & Mario Innorta & Stefano Zigrino, 2014. "A stochastic model for investments in different technologies for electricity production in the long period," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(2), pages 407-426, June.
- Mohammadi, Hassan, 2009. "Electricity prices and fuel costs: Long-run relations and short-run dynamics," Energy Economics, Elsevier, vol. 31(3), pages 503-509, May.
- Maria Teresa Vespucci & Marida Bertocchi & Laureano F. Escudero & Stefano Zigrino, 2013. "A risk averse stochastic optimization model for power generation capacity expansion," Working Papers (2013-) 1305_qum, University of Bergamo, Department of Management, Economics and Quantitative Methods.
- Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
- F. Noonan & R. J. Giglio, 1977. "Planning Electric Power Generation: A Nonlinear Mixed Integer Model Employing Benders Decomposition," Management Science, INFORMS, vol. 23(9), pages 946-956, May.
- Philpott, A.B. & de Matos, V.L., 2012. "Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion," European Journal of Operational Research, Elsevier, vol. 218(2), pages 470-483.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Do, Hung Xuan & Nepal, Rabindra & Jamasb, Tooraj, 2020.
"Electricity market integration, decarbonisation and security of supply: Dynamic volatility connectedness in the Irish and Great Britain markets,"
Energy Economics, Elsevier, vol. 92(C).
- Do, Hung & Nepal, Rabindra & Jamasb, Tooraj, 2020. "Electricity Market Integration, Decarbonisation and Security of Supply: Dynamic Volatility Connectedness in the Irish and Great Britain Markets," Working Papers 3-2020, Copenhagen Business School, Department of Economics.
- Hung Do & Rabindra Nepal & Tooraj Jamasb, 2020. "Electricity market integration, decarbonisation and security of supply: Dynamic volatility connectedness in the Irish and Great Britain markets," CAMA Working Papers 2020-42, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Hung Do & Rabindra Nepal & Tooraj Jamasb, 2020. "Electricity Market Integration, Decarbonisation and Security of Supply: Dynamic Volatility Connectedness in the Irish and Great Britain Markets," Working Papers EPRG2003, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge.
- Do, H. & Nepal, R. & Jamasb, T., 2020. "Electricity Market Integration, Decarbonisation and Security of Supply: Dynamic Volatility Connectedness in the Irish and Great Britain Markets," Cambridge Working Papers in Economics 2007, Faculty of Economics, University of Cambridge.
- Caunhye, Aakil M. & Cardin, Michel-Alexandre, 2018. "Towards more resilient integrated power grid capacity expansion: A robust optimization approach with operational flexibility," Energy Economics, Elsevier, vol. 72(C), pages 20-34.
- Nie, S. & Li, Y.P. & Liu, J. & Huang, Charley Z., 2017. "Risk management of energy system for identifying optimal power mix with financial-cost minimization and environmental-impact mitigation under uncertainty," Energy Economics, Elsevier, vol. 61(C), pages 313-329.
- František Zapletal & Martin Šmíd & Miloš Kopa, 2020. "Multi-stage emissions management of a steel company," Annals of Operations Research, Springer, vol. 292(2), pages 735-751, September.
- Daniel Velásquez-Gaviria & Andrés Mora-Valencia & Javier Perote, 2020. "A Comparison of the Risk Quantification in Traditional and Renewable Energy Markets," Energies, MDPI, vol. 13(11), pages 1-42, June.
- Afful-Dadzie, Anthony & Afful-Dadzie, Eric & Awudu, Iddrisu & Banuro, Joseph Kwaku, 2017. "Power generation capacity planning under budget constraint in developing countries," Applied Energy, Elsevier, vol. 188(C), pages 71-82.
- Mariusz Kaleta, 2025. "Robust Co-Optimization of Medium- and Short-Term Electrical Energy and Flexibility in Electricity Clusters," Energies, MDPI, vol. 18(3), pages 1-23, January.
- Andrzej Wędzik & Tomasz Siewierski & Michał Szypowski, 2019. "The Use of Black-Box Optimization Method for Determination of the Bus Connection Capacity in Electric Power Grid," Energies, MDPI, vol. 13(1), pages 1-21, December.
- Güner, Yusuf Emre, 2018. "The improved screening curve method regarding existing units," European Journal of Operational Research, Elsevier, vol. 264(1), pages 310-326.
- Schütz, Peter & Westgaard, Sjur, 2018. "Optimal hedging strategies for salmon producers," Journal of Commodity Markets, Elsevier, vol. 12(C), pages 60-70.
- Ioannou, Anastasia & Angus, Andrew & Brennan, Feargal, 2017. "Risk-based methods for sustainable energy system planning: A review," Renewable and Sustainable Energy Reviews, Elsevier, vol. 74(C), pages 602-615.
- García-Cerezo, Álvaro & Baringo, Luis & García-Bertrand, Raquel, 2021. "Robust transmission network expansion planning considering non-convex operational constraints," Energy Economics, Elsevier, vol. 98(C).
- Koltsaklis, Nikolaos E. & Dagoumas, Athanasios S., 2018. "State-of-the-art generation expansion planning: A review," Applied Energy, Elsevier, vol. 230(C), pages 563-589.
- Chen, Huadong & Wang, Can & Cai, Wenjia & Wang, Jianhui, 2018. "Simulating the impact of investment preference on low-carbon transition in power sector," Applied Energy, Elsevier, vol. 217(C), pages 440-455.
- Ioannou, Anastasia & Fuzuli, Gulistiani & Brennan, Feargal & Yudha, Satya Widya & Angus, Andrew, 2019. "Multi-stage stochastic optimization framework for power generation system planning integrating hybrid uncertainty modelling," Energy Economics, Elsevier, vol. 80(C), pages 760-776.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Audrius Kabašinskas & Francesca Maggioni & Kristina Šutienė & Eimutis Valakevičius, 2019. "A multistage risk-averse stochastic programming model for personal savings accrual: the evidence from Lithuania," Annals of Operations Research, Springer, vol. 279(1), pages 43-70, August.
- Davi Valladão & Thuener Silva & Marcus Poggi, 2019. "Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns," Annals of Operations Research, Springer, vol. 282(1), pages 379-405, November.
- Daniel R. Jiang & Warren B. Powell, 2018. "Risk-Averse Approximate Dynamic Programming with Quantile-Based Risk Measures," Mathematics of Operations Research, INFORMS, vol. 43(2), pages 554-579, May.
- Jitka Dupačová & Václav Kozmík, 2017. "SDDP for multistage stochastic programs: preprocessing via scenario reduction," Computational Management Science, Springer, vol. 14(1), pages 67-80, January.
- Larissa de Oliveira Resende & Davi Valladão & Bernardo Vieira Bezerra & Yasmin Monteiro Cyrillo, 2021. "Assessing the value of natural gas underground storage in the Brazilian system via stochastic dual dynamic programming," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 29(1), pages 106-124, April.
- Vincent Guigues, 2014. "SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning," Computational Optimization and Applications, Springer, vol. 57(1), pages 167-203, January.
- Zsolt Bihary & Péter Csóka & Dávid Zoltán Szabó, 2020.
"Spectral risk measure of holding stocks in the long run,"
Annals of Operations Research, Springer, vol. 295(1), pages 75-89, December.
- Zsolt Bihary & Peter Csoka & David Zoltan Szabo, 2018. "Spectral risk measure of holding stocks in the long run," CERS-IE WORKING PAPERS 1812, Institute of Economics, Centre for Economic and Regional Studies.
- Homem-de-Mello, Tito & Pagnoncelli, Bernardo K., 2016. "Risk aversion in multistage stochastic programming: A modeling and algorithmic perspective," European Journal of Operational Research, Elsevier, vol. 249(1), pages 188-199.
- Ling, Aifan & Sun, Jie & Xiu, Naihua & Yang, Xiaoguang, 2017. "Robust two-stage stochastic linear optimization with risk aversion," European Journal of Operational Research, Elsevier, vol. 256(1), pages 215-229.
- Jamshidi, Movahed & Kebriaei, Hamed & Sheikh-El-Eslami, Mohammad-Kazem, 2018. "An interval-based stochastic dominance approach for decision making in forward contracts of electricity market," Energy, Elsevier, vol. 158(C), pages 383-395.
- Powell, Warren B., 2019. "A unified framework for stochastic optimization," European Journal of Operational Research, Elsevier, vol. 275(3), pages 795-821.
- Weini Zhang & Hamed Rahimian & Güzin Bayraksan, 2016. "Decomposition Algorithms for Risk-Averse Multistage Stochastic Programs with Application to Water Allocation under Uncertainty," INFORMS Journal on Computing, INFORMS, vol. 28(3), pages 385-404, August.
- Cui, Xueting & Zhu, Shushang & Sun, Xiaoling & Li, Duan, 2013. "Nonlinear portfolio selection using approximate parametric Value-at-Risk," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 2124-2139.
- Zhi Chen & Melvyn Sim & Huan Xu, 2019. "Distributionally Robust Optimization with Infinitely Constrained Ambiguity Sets," Operations Research, INFORMS, vol. 67(5), pages 1328-1344, September.
- Dominique Guégan & Wayne Tarrant, 2012.
"On the necessity of five risk measures,"
Annals of Finance, Springer, vol. 8(4), pages 533-552, November.
- Dominique Guegan & Wayne Tarrant, 2010. "On the necessity of five risk measures," Documents de travail du Centre d'Economie de la Sorbonne 10005, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Dominique Guegan & Wayne Tarrant, 2012. "On the Necessity of Five Risk Measures," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00721339, HAL.
- Dominique Guegan & Wayne Tarrant, 2010. "On the necessity of five risk measures," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00460901, HAL.
- Giovanni Masala & Filippo Petroni, 2023. "Drawdown risk measures for asset portfolios with high frequency data," Annals of Finance, Springer, vol. 19(2), pages 265-289, June.
- de Queiroz, Anderson Rodrigo, 2016. "Stochastic hydro-thermal scheduling optimization: An overview," Renewable and Sustainable Energy Reviews, Elsevier, vol. 62(C), pages 382-395.
- Ke Zhou & Jiangjun Gao & Duan Li & Xiangyu Cui, 2017. "Dynamic mean–VaR portfolio selection in continuous time," Quantitative Finance, Taylor & Francis Journals, vol. 17(10), pages 1631-1643, October.
- Malavasi, Matteo & Ortobelli Lozza, Sergio & Trück, Stefan, 2021. "Second order of stochastic dominance efficiency vs mean variance efficiency," European Journal of Operational Research, Elsevier, vol. 290(3), pages 1192-1206.
- Rostagno, Luciano Martin, 2005. "Empirical tests of parametric and non-parametric Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) measures for the Brazilian stock market index," ISU General Staff Papers 2005010108000021878, Iowa State University, Department of Economics.
More about this item
Keywords
Price-taker producer; Power generation capacity expansion; Long term planning; Time consistency; Three-stage stochastic mixed integer optimization;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- D24 - Microeconomics - - Production and Organizations - - - Production; Cost; Capital; Capital, Total Factor, and Multifactor Productivity; Capacity
- Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
- Q42 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Alternative Energy Sources
- L94 - Industrial Organization - - Industry Studies: Transportation and Utilities - - - Electric Utilities
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:eneeco:v:53:y:2016:i:c:p:203-211. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/eneco .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.