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A Multi-stage Stochastic Programming Model for Managing Risk-optimal Electricity Portfolios

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Handbook of Power Systems II

Part of the book series: Energy Systems ((ENERGY))

Abstract

We present a multi-stage decision model, which serves as a building block for solving various electricity portfolio management problems. The basic setup consists of a portfolio optimization model for a large energy consumer, which has to decide about its mid-term electricity portfolio composition. The given stochastic demand may be fulfilled by buying energy on the spot or futures market, by signing a supply contract, or by producing electricity in a small plant. We formulate the problem in a dynamic risk management-based stochastic optimization framework, whose flexibility allows for extensive parameter studies and comparative analysis of different types of supply contracts. A number of application examples is presented to outline the possibilities of using the basic multi-stage stochastic programming model to address a range of issues related to the design of optimal policies. Apart from the question of an optimal energy policy mix for a large energy consumer, we investigate the pricing problem for flexible supply contracts from the perspective of an energy trader, demonstrating the wide applicability of the framework.

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Author information

Authors and Affiliations

  1. Department of Finance, Accounting and Statistics, WU Vienna University of Economics and Business, Augasse 2-6, 1090, Vienna, Austria

    Ronald Hochreiter

Authors
  1. Ronald Hochreiter
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  2. David Wozabal
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Corresponding author

Correspondence to Ronald Hochreiter .

Editor information

Editors and Affiliations

  1. , Division of Economics and Business, Colorado School of Mines, 15th Street 816, Golden, 80401, Colorado, USA

    Steffen Rebennack

  2. Dept. Industrial & Systems, Engineering, University of Florida, Weil Hall 303, Gainesville, 32611-6595, Florida, USA

    Panos M. Pardalos

  3. Rio Praia de Botafogo, Centro Empresarial, -A-Botafogo 2281701, Rio de Janeiro, 22250-040, Rio de Janeiro, Brazil

    Mario V. F. Pereira

  4. Research & Development, EnerCoRD - Energy Consulting,, Plastira Street 4, Athens, 171 21, Greece

    Niko A. Iliadis

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Hochreiter, R., Wozabal, D. (2010). A Multi-stage Stochastic Programming Model for Managing Risk-optimal Electricity Portfolios. In: Rebennack, S., Pardalos, P., Pereira, M., Iliadis, N. (eds) Handbook of Power Systems II. Energy Systems. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-12686-4_14

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  • DOI: https://doi.org/10.1007/978-3-642-12686-4_14

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-12685-7

  • Online ISBN: 978-3-642-12686-4

  • eBook Packages: EngineeringEngineering (R0)

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