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Stochastic programming in energy

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Author Info

  • Stein W. Wallace

    (Molde University College)

  • Stein-Erik Fleten

    (Norwegian University of Science and Technology)

Abstract

We give the reader a tour of good energy optimization models that explicitly deal with uncertainty. The uncertainty usually stems from unpredictability of demand and/or prices of energy, or from resource availability and prices. Since most energy investments or operations involve irreversible decisions, a stochastic programming approach is meaningful. Many of the models deal with electricity investments and operations, but some oil and gas applications are also presented. We consider both traditional cost minimization models and newer models that reflect industry deregulation processes. The oldest research coincides with the birth of linear programming, and most models within the market paradigm have not yet found their final form.

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File URL: http://128.118.178.162/eps/ge/papers/0201/0201001.pdf
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Bibliographic Info

Paper provided by EconWPA in its series GE, Growth, Math methods with number 0201001.

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Length: 1 pages
Date of creation: 08 Jan 2002
Date of revision: 13 Nov 2003
Handle: RePEc:wpa:wuwpge:0201001

Note: Type of Document - Acrobat PDF; pages: 1. Published in "Stochastic Programming", A. Ruszczynksi and A. Shapiro (eds), Vol. 10 in the series Handbooks in Operations Research and Management Science, North-Holland, 2003
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Web page: http://128.118.178.162

Related research

Keywords: stochastic programming; energy; regulated markets; deregulation; uncertainty; electricity; natural gas; oil;

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