A Stochastic Programming Approach to Power Portfolio Optimization

Suvrajeet Sen (), Lihua Yu () and Talat Genc
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Suvrajeet Sen: SIE Department, MORE Institute, University of Arizona, Tucson, Arizona 85721
Lihua Yu: SIE Department, MORE Institute, University of Arizona, Tucson, Arizona 85721

Operations Research, 2006, vol. 54, issue 1, 55-72

Abstract: We consider a power portfolio optimization model that is intended as a decision aid for scheduling and hedging (DASH) in the wholesale power market. Our multiscale model integrates the unit commitment model with financial decision making by including the forwards and spot market activity within the scheduling decision model. The methodology is based on a multiscale stochastic programming model that selects portfolio positions that perform well on a variety of scenarios generated through statistical modeling and optimization. When compared with several commonly used fixed-mix policies, our experiments demonstrate that the DASH model provides significant advantages.

Keywords: programming; stochastic; industries; electric; finance; portfolio (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (27)

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