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Risk Management in Stochastic Integer ProgrammingRisk Management in Stochastic Integer Programming
Risk Management in Stochastic Integer Programming
Autor: Neise, Frederike

Risk Management in Stochastic Integer Programming

With Application to Dispersed Power Generation

2008. VIII, 105 pp. with 7 Fig. and 12 Tab. Soft cover
ISBN: 978-3-8348-0547-8

49,95 €
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Das Buch
Two-stage stochastic optimization is a useful tool for making optimal decisions under uncertainty. Frederike Neise describes two concepts to handle the classic linear mixed-integer two-stage stochastic optimization problem: The well-known mean-risk modeling, which aims at finding a best solution in terms of expected costs and risk measures, and stochastic programming with first order dominance constraints that heads towards a decision dominating a given cost benchmark and optimizing an additional objective. For this new class of stochastic optimization problems results on structure and stability are proven. Moreover, the author develops equivalent deterministic formulations of the problem, which are efficiently solved by the presented dual decomposition method based on Lagrangian relaxation and branch-and-bound techniques. Finally, both approaches – mean-risk optimization and dominance constrained programming – are applied to find an optimal operation schedule for a dispersed generation system, a problem from energy industry that is substantially influenced by uncertainty.
Aus dem Inhalt
Stochastic Optimization - Mixed-Integer Programming - Dominance Constraints - Dual Decomposition - Dispersed Generation
Zielgruppe
Wissenschaftler auf dem Gebiet der stochastischen und gemischt-ganzzahligen Optimierung; Studierende der Mathematik, insbesondere der Optimierung; Betreiber von dezentralen Energieumwandlungsanlagen
Autor | Herausgeber
Dr. Frederike Neise gained a PhD in Mathematics from the University of Duisburg-Essen studying two-stage stochastic programming and its application to the optimal management of dispersed generation systems. She currently works as a gas market analyst with E.ON Ruhrgas AG.
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