 |
|
||||||||||
Hydro-Electric Power Plant Dispatch-Planning – Multi-Stage Stochastic Programming with Time-Consistent Constraints on Risk
IFOR Events
Seminar:
'Optimization & Applications'
(see information & program)
Feb 20 - May 28, 2012
IFOR Mitteilungen
This booklet informs about ongoing projects and future events at the IFOR and appears once at the end of the year.
| Author | Martin Densing |
| Abstract |
The principal topic is the optimal operation of a hydro-electric pumped storage plant under uncertainty. The uncertainty stems from the water inflow and from the fluctuations of prices at a spot market, on which the electricity is traded. The model of the plant is formulated as a multi-stage stochastic linear programming problem. A coherent and time-consistent risk-adjusted value is incorporated in a multi-period constraint on risk. The thesis is made up of two parts. The first part considers coherent risk-adjusted values, the second part the optimal control of the plant. The first part defines a simple recursive risk-adjusted value, for which in a special case a lower bound can be derived. In the second part, some optimization problems of simple dispatch models are explicitly solved; the problems are structured similarly to those in coherent risk measurement. The short-term trading on the spot market is modeled in defiance of the limited number of numerically tractable time stages. The scenario tree is generated by the occupation times of the spot price. The principal component analysis of the occupation times exhibit their characteristic pattern. Finally, the general dispatch model subject to the multi-period constraint on risk is numerically solved. |
| Download |
Wichtiger Hinweis:
Diese Website wird in älteren Versionen von Netscape ohne
graphische Elemente dargestellt. Die Funktionalität der
Website ist aber trotzdem gewährleistet. Wenn Sie diese
Website regelmässig benutzen, empfehlen wir Ihnen, auf
Ihrem Computer einen aktuellen Browser zu installieren. Weitere
Informationen finden Sie auf
folgender
Seite.
Important Note:
The content in this site is accessible to any browser or
Internet device, however, some graphics will display correctly
only in the newer versions of Netscape. To get the most out of
our site we suggest you upgrade to a newer browser.
More
information
