Search Results

Documents authored by Römisch, Werner


Document
Polyhedral Risk Measures and Lagrangian Relaxation in Electricity Portfolio Optimization

Authors: Andreas Eichhorn, Werner Römisch, and Isabel Wegner

Published in: Dagstuhl Seminar Proceedings, Volume 5031, Algorithms for Optimization with Incomplete Information (2005)


Abstract
We present a multistage stochastic programming model for mean-risk optimization of electricity portfolios containing physical components and energy derivative products. Stochasticity enters the model via the uncertain (time-dependent) prices and electricity demand. The objective is to maximize the expected overall revenue and, simultaneously, to minimize a multiperiod risk measure, i.e., a risk measure that takes into account the intermediate time cash values. We compare the effect of different multiperiod risk measures taken from the class of polyhedral risk measures which was suggested in our earlier work. Furthermore, we discuss how such a mean-risk optimization problem can be solved by dual decomposition techniques (Lagrangian relaxation).

Cite as

Andreas Eichhorn, Werner Römisch, and Isabel Wegner. Polyhedral Risk Measures and Lagrangian Relaxation in Electricity Portfolio Optimization. In Algorithms for Optimization with Incomplete Information. Dagstuhl Seminar Proceedings, Volume 5031, pp. 1-3, Schloss Dagstuhl – Leibniz-Zentrum für Informatik (2005)


Copy BibTex To Clipboard

@InProceedings{eichhorn_et_al:DagSemProc.05031.23,
  author =	{Eichhorn, Andreas and R\"{o}misch, Werner and Wegner, Isabel},
  title =	{{Polyhedral Risk Measures and Lagrangian Relaxation in Electricity Portfolio Optimization}},
  booktitle =	{Algorithms for Optimization with Incomplete Information},
  pages =	{1--3},
  series =	{Dagstuhl Seminar Proceedings (DagSemProc)},
  ISSN =	{1862-4405},
  year =	{2005},
  volume =	{5031},
  editor =	{Susanne Albers and Rolf H. M\"{o}hring and Georg Ch. Pflug and R\"{u}diger Schultz},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops.dagstuhl.de/entities/document/10.4230/DagSemProc.05031.23},
  URN =		{urn:nbn:de:0030-drops-574},
  doi =		{10.4230/DagSemProc.05031.23},
  annote =	{Keywords: Stochastic Programming , Mean-Risk Optimization , Risk Measure , Lagrangian Relaxation , Electricity;}
}
Questions / Remarks / Feedback
X

Feedback for Dagstuhl Publishing


Thanks for your feedback!

Feedback submitted

Could not send message

Please try again later or send an E-mail