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Risk Management with Stochastic Dominance Models in Energy Systems with Dispersed Generation

In: Stochastic Optimization Methods in Finance and Energy

Author

Listed:
  • Dimitri Drapkin

    (University of Duisburg-Essen)

  • Ralf Gollmer

    (University of Duisburg-Essen)

  • Uwe Gotzes

    (E.ON Gastransport GmbH)

  • Frederike Neise

    (E.ON Ruhrgas AG)

  • Rüdiger Schultz

    (University of Duisburg-Essen)

Abstract

Dispersed power generation is the source of many challenging optimization problems with uncertain data. We review algorithmic approaches to risk aversion with stochastic dominance constraints. Dispersed power generation provides the practical background for illustration and comparison of the methods.

Suggested Citation

  • Dimitri Drapkin & Ralf Gollmer & Uwe Gotzes & Frederike Neise & Rüdiger Schultz, 2011. "Risk Management with Stochastic Dominance Models in Energy Systems with Dispersed Generation," International Series in Operations Research & Management Science, in: Marida Bertocchi & Giorgio Consigli & Michael A. H. Dempster (ed.), Stochastic Optimization Methods in Finance and Energy, edition 1, chapter 0, pages 253-271, Springer.
    • Handle: RePEc:spr:isochp:978-1-4419-9586-5_12
    DOI: 10.1007/978-1-4419-9586-5_12
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    Citations

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    Cited by:

    1. Leilei Zhang & Tito Homem-de-Mello, 2017. "An Optimal Path Model for the Risk-Averse Traveler," Transportation Science, INFORMS, vol. 51(2), pages 518-535, May.
    2. Escudero Bueno, Laureano F. & Garín Martín, María Araceli & Merino Maestre, María & Pérez Sainz de Rozas, Gloria, 2015. "Some experiments on solving multistage stochastic mixed 0-1 programs with time stochastic dominance constraints," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    3. Alonso-Ayuso, Antonio & Carvallo, Felipe & Escudero, Laureano F. & Guignard, Monique & Pi, Jiaxing & Puranmalka, Raghav & Weintraub, Andrés, 2014. "Medium range optimization of copper extraction planning under uncertainty in future copper prices," European Journal of Operational Research, Elsevier, vol. 233(3), pages 711-726.
    4. Escudero, Laureano F. & Garín, María Araceli & Merino, María & Pérez, Gloria, 2016. "On time stochastic dominance induced by mixed integer-linear recourse in multistage stochastic programs," European Journal of Operational Research, Elsevier, vol. 249(1), pages 164-176.

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