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Full Description
This book provides an overview on stochastic optimization and its application in the Energy Industry. Special focus is given on hydro-thermal scheduling and, more generally, storage systems. The book begins by illuminating several approaches to deal with uncertainties (e.g., robust optimization, chance-constraints, stochastic optimization) and discusses their relations, advantages and disadvantages. Special focus is given on GAMS coded examples and the usage of the GAMS software. The book is very suitable for courses in business schools, system engineering, applied mathematics, operations research and energy producing industry.
Contents
Introduction: Examples in the energy industry - Deterministic vs. stochastic optimization - General Concepts: Structure of Uncertainty - Value of the Stochastic Solution (VSS) - Value of Perfect Information - Robust Optimization - Chance Constrained Programming - Modeling Approaches towards Uncertainty: Scenario Tree - Markov-Chains - Markov-Processes - Monte Carlo Sampling - Electricity Production: Centrally Dispatched Models - Deregulated electricity markets - Expansion Problems - Electricity Network: Operation - Expansion - Financial Markets - Natural Gas: LNG, LCG, LPG Transportation Problems - Pipeline Optimization - Gas Generation
