Multi-Stage Stochastic Electricity Portfolio Optimization in Liberalized Energy Markets.
Ronald HochreiterGeorg Ch. PflugDavid WozabalPublished in: System Modelling and Optimization (2005)
Keyphrases
- multistage
- portfolio optimization
- stochastic programming
- stochastic optimization
- portfolio selection
- electricity markets
- robust optimization
- assembly systems
- stock market
- problems involving
- lot sizing
- bi objective
- financial markets
- single stage
- factor analysis
- stock price
- dynamic programming
- risk management
- energy consumption
- optimization methods
- stock exchange
- short term
- historical data
- long term
- expert systems
- genetic algorithm
- network design
- exchange rate
- communication networks
- optimal policy
- decision making