Risk aversion for an electricity retailer with second-order stochastic dominance constraints

DOI10.1007/s10287-008-0091-2zbMath1171.90481OpenAlexW1997919605MaRDI QIDQ2271803

Miguel Carrión, Rüdiger Schultz, Uwe Gotzes

Publication date: 4 August 2009

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-008-0091-2

Mathematics Subject Classification ID

Stochastic programming (90C15) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (10)

Medium range optimization of copper extraction planning under uncertainty in future copper prices ⋮ On time stochastic dominance induced by mixed integer-linear recourse in multistage stochastic programs ⋮ Electricity retail contracting under risk-aversion ⋮ An SDP approach for multiperiod mixed 0-1 linear programming models with stochastic dominance constraints for risk management ⋮ Stochastic Dominance Constraints in Elastic Shape Optimization ⋮ Risk Management with Stochastic Dominance Models in Energy Systems with Dispersed Generation ⋮ Stability Analysis of Optimization Problems with $k$th order stochastic and distributionally robust dominance constraints induced by full random recourse ⋮ The natural hedge of a gas-fired power plant ⋮ Two-stage stochastic mixed integer optimization models for power generation capacity expansion with risk measures ⋮ Lipschitzian Properties and Stability of a Class of First-Order Stochastic Dominance Constraints

Uses Software

• CPLEX
• GAMS
• DDSIP

Cites Work

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• Relaxations of linear programming problems with first order stochastic dominance constraints
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• The value function of a mixed integer program: I
• Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints
• On deviation measures in stochastic integer programming
• Convexity and decomposition of mean-risk stochastic programs
• Conditional value-at-risk in stochastic programs with mixed-integer recourse
• New Formulations for Optimization under Stochastic Dominance Constraints
• Stochastic Programs with First-Order Dominance Constraints Induced by Mixed-Integer Linear Recourse
• Introduction to Stochastic Programming
• Risk Aversion via Excess Probabilities in Stochastic Programs with Mixed-Integer Recourse
• Optimization with Stochastic Dominance Constraints
• Stability and Sensitivity of Optimization Problems with First Order Stochastic Dominance Constraints
• Stochastic Order Relations and Lattices of Probability Measures

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