IDEAS home Printed from https://ideas.repec.org/h/spr/isochp/978-1-4419-7421-1_4.html
   My bibliography  Save this book chapter

Risk management

In: Decision Making Under Uncertainty in Electricity Markets

Author

Listed:
  • Antonio J. Conejo

    (University of Castilla – La Mancha)

  • Miguel Carrión

    (University of Castilla – La Mancha)

  • Juan M. Morales

    (University of Castilla – La Mancha)

Abstract

In Chapter 2 we study the basic formulation of decision-making problems using stochastic programming. In these problems we consider that the objective of the decision-making agents is either maximizing profit (e.g., the financial profit of an electricity producer) or minimizing cost (e.g., the electricity procurement cost of an industrial consumer). In stochastic programming, where uncertain data are modeled as stochastic processes, the profit or cost is a random variable that can be characterized by a probability distribution. In an optimization problem involving a random objective function it is necessary to optimize a function characterizing the distribution of this random variable, for instance, its expected value. This is the criterion that is generally used in stochastic programming problems. Therefore, the problem consisting in maximizing “the profit” obtained by a decision-making agent results in maximizing the expected profit achieved by this agent.

Suggested Citation

  • Antonio J. Conejo & Miguel Carrión & Juan M. Morales, 2010. "Risk management," International Series in Operations Research & Management Science, in: Decision Making Under Uncertainty in Electricity Markets, chapter 0, pages 121-156, Springer.
    • Handle: RePEc:spr:isochp:978-1-4419-7421-1_4
    DOI: 10.1007/978-1-4419-7421-1_4
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:isochp:978-1-4419-7421-1_4. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.