A stochastic programming approach to power portfolio optimization
成果类型：
Article
署名作者：
Sen, S; Yu, LH; Genc, T
署名单位：
University of Arizona
刊物名称：
OPERATIONS RESEARCH
ISSN/ISSBN：
0030-364X
DOI：
10.1287/opre.1050.0264
发表日期：
2006
页码：
55-72
关键词：
摘要：
We consider a power portfolio optimization model that is intended as a decision aid for scheduling and hedging (DASH) in the wholesale power market. Our multiscale model integrates the unit commitment model with financial decision making by including the forwards and spot market activity within the scheduling decision model. The methodology is based on a multiscale stochastic programming model that selects portfolio positions that perform well on a variety of scenarios generated through statistical modeling and optimization. When compared with several commonly used fixed-mix policies, our experiments demonstrate that the DASH model provides significant advantages.