Energy contracts management by stochastic programming techniques

DOI10.1007/s10479-011-0973-5zbMath1254.90132OpenAlexW2020264663MaRDI QIDQ1931657

Thibault Christel, Zhihao Cen, Joseph Frédéric Bonnans

Publication date: 15 January 2013

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-011-0973-5

zbMATH Keywords

stochastic programmingdual dynamic programmingmulti-stagequantization tree

Mathematics Subject Classification ID

Related Items (10)

Modeling time-dependent randomness in stochastic dual dynamic programming ⋮ Integrated day-ahead and intraday self-schedule bidding for energy storage systems using approximate dynamic programming ⋮ Risk neutral and risk averse approaches to multistage renewable investment planning under uncertainty ⋮ Sensitivity Analysis of Energy Contracts by Stochastic Programming Techniques ⋮ MIDAS: a mixed integer dynamic approximation scheme ⋮ A review of the operations literature on real options in energy ⋮ Sharp Rate for the Dual Quantization Problem ⋮ Bounds on risk-averse mixed-integer multi-stage stochastic programming problems with mean-CVaR ⋮ Gas storage valuation in incomplete markets ⋮ Quantization meets Fourier: a new technology for pricing options

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