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Energy contracts management by stochastic programming techniques

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  • J. Bonnans
  • Zhihao Cen
  • Thibault Christel

Abstract

We consider the problem of optimal management of energy contracts, with bounds on the local (time step) amounts and global (whole period) amounts to be traded, integer constraint on the decision variables and uncertainty on prices only. After building a finite state Markov chain by using vectorial quantization tree method, we rely on the stochastic dual dynamic programming (SDDP) method to solve the continuous relaxation of this stochastic optimization problem. An heuristic for computing sub optimal solutions to the integer optimization problem, based on the Bellman values of the continuous relaxation, is provided. Combining the previous techniques, we are able to deal with high-dimensional state variables problems. Numerical tests applied to realistic energy markets problems have been performed. Copyright Springer Science+Business Media, LLC 2012

Suggested Citation

  • J. Bonnans & Zhihao Cen & Thibault Christel, 2012. "Energy contracts management by stochastic programming techniques," Annals of Operations Research, Springer, vol. 200(1), pages 199-222, November.
    • Handle: RePEc:spr:annopr:v:200:y:2012:i:1:p:199-222:10.1007/s10479-011-0973-5
    DOI: 10.1007/s10479-011-0973-5
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    References listed on IDEAS

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    Cited by:

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    7. Bruno, Sergio & Ahmed, Shabbir & Shapiro, Alexander & Street, Alexandre, 2016. "Risk neutral and risk averse approaches to multistage renewable investment planning under uncertainty," European Journal of Operational Research, Elsevier, vol. 250(3), pages 979-989.
    8. Löhndorf, Nils & Shapiro, Alexander, 2019. "Modeling time-dependent randomness in stochastic dual dynamic programming," European Journal of Operational Research, Elsevier, vol. 273(2), pages 650-661.

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