Stochastic programming in energy

Stein Wallace and Stein-Erik Fleten

GE, Growth, Math methods from University Library of Munich, Germany

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.

Keywords: stochastic programming; energy; regulated markets; deregulation; uncertainty; electricity; natural gas; oil (search for similar items in EconPapers)
JEL-codes: C61 Q25 Q40 (search for similar items in EconPapers)
Pages: 1 pages
Date: 2002-01-08, Revised 2003-11-13
New Economics Papers: this item is included in nep-ene and nep-mic
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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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpge:0201001

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