Publicação
Risk Aversion in a Mixed-Integer Nonlinear Approach to Support Decision-Making for a Hydro Power Producer
| Resumo: | In this paper, a mixed-integer nonlinear approach is proposed to support decision-making for a hydro power producer, considering a head-dependent hydro chain. The aim is to maximize the profit of the hydro power producer from selling energy into the electric market. As a new contribution to earlier studies, a risk aversion criterion is taken into account, as well as head-dependency. The volatility of the expected profit is limited through the conditional value-at-risk (CVaR). The proposed approach has been applied successfully to solve a case study based on one of the main Portuguese cascaded hydro systems. |
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| Autores principais: | Catalão, João Paulo da Silva |
| Outros Autores: | Pousinho, Hugo Miguel Inácio; Mendes, Victor |
| Assunto: | Decision Support Hydro Power Producer Mixed-Integer Nonlinear Programming Risk Aversion |
| Ano: | 2010 |
| País: | Portugal |
| Tipo de documento: | artigo |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Instituto Politécnico de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório Científico do Instituto Politécnico de Lisboa |
| Resumo: | In this paper, a mixed-integer nonlinear approach is proposed to support decision-making for a hydro power producer, considering a head-dependent hydro chain. The aim is to maximize the profit of the hydro power producer from selling energy into the electric market. As a new contribution to earlier studies, a risk aversion criterion is taken into account, as well as head-dependency. The volatility of the expected profit is limited through the conditional value-at-risk (CVaR). The proposed approach has been applied successfully to solve a case study based on one of the main Portuguese cascaded hydro systems. |
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