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- W4299507745 abstract "Hydro storage system optimization is becoming one of the most challenging tasks in Energy Finance. While currently the state-of-the-art of the commercial software in the industry implements mainly linear models, we would like to introduce risk aversion and a generic utility function. At the same time, we aim to develop and implement a computational efficient algorithm, which is not affected by the curse of dimensionality and does not utilize subjective heuristics to prevent it. For the short term power market we propose a simultaneous solution for both dispatch and bidding problems. Following the Blomvall and Lindberg (2002) interior point model, we set up a stochastic multiperiod optimization procedure by means of a bushy recombining tree that provides fast computational results. Inequality constraints are packed into the objective function by the logarithmic barrier approach and the utility function is approximated by its second order Taylor polynomial. The optimal solution for the original problem is obtained as a diagonal sequence where the first diagonal dimension is the parameter controlling the logarithmic penalty and the second is the parameter for the Newton step in the construction of the approximated solution. Optimal intraday electricity trading and water values for hydro assets as shadow prices are computed. The algorithm is implemented in Mathematica." @default.
- W4299507745 created "2022-10-02" @default.
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- W4299507745 date "2015-08-21" @default.
- W4299507745 modified "2023-10-16" @default.
- W4299507745 title "Hydroassets Portfolio Management for Intraday Electricity Trading from a Discrete Time Stochastic Optimization Perspective" @default.
- W4299507745 doi "https://doi.org/10.48550/arxiv.1508.05837" @default.
- W4299507745 hasPublicationYear "2015" @default.
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