Valuation of electricity swing options by multistage stochastic programming.
Gido HaarbrückerDaniel KuhnPublished in: Autom. (2009)
Keyphrases
- stochastic programming
- multistage
- power generation
- chance constrained
- production system
- single stage
- dynamic programming
- asset liability management
- risk averse
- capacity planning
- multistage stochastic
- lot sizing
- optimal policy
- real option
- capacity expansion
- electricity markets
- linear program
- short term
- objective function
- lot streaming
- decision making