Risk Trading in a Chance-Constrained Stochastic Electricity Market

A Two-Stage Chance-Constraint Stochastic Programming Model for Electricity Supply Chain Network Design

Development of every society is incumbent upon energy sector’s technological and economic effectiveness. The electricity industry is a growing and needs to have a better performance to effectively cover the demand. The industry requires a balance between cost and efficiency through careful design and planning. In this paper, a two-stage stochastic programming model is presented for the design o...

Risk-Constrained Forward Trading Optimization by Stochastic Approximate Dynamic Programming

Chance-constrained programming with fuzzy stochastic coefficients

We consider fuzzy stochastic programming problems with a crisp objective function and linear constraints whose coefficients are fuzzy random variables, in particular of type L-R. To solve this type of problems, we formulate deterministic counterparts of chance-constrained programming with fuzzy stochastic coefficients, by combining constraints on probability of satisfying constraints, as well a...

Data-driven chance constrained stochastic program

Chance constrained programming is an effective and convenient approach to control riskin decision making under uncertainty. However, due to unknown probability distributions ofrandom parameters, the solution obtained from a chance constrained optimization problem canbe biased. In addition, instead of knowing the true distributions of random parameters, inpractice, only a series ...

Towards a European Market of Electricity : Spot and Derivatives Trading