This paper presents a methodology to manage the market risk faced by a hydrothermal generation company in the medium-term (one year). This risk is due to uncertainty in fuel prices, power demand, water inflows, and electricity ...

La descomposición anidada de Benders se presenta como un algoritmo potente para resolver problemas lineales de gran tamaño, mediante su partición en problemas más pequeños. Sin embargo, debido al tiempo necesario para ...

Decomposition models with integer variables usually decompose into a master problem that comprises all the integer variables and subproblems, which evaluate the remaining variables. Subproblems with integer variables ...

In stochastic optimization problems, uncertainty is normally represented by means of a scenario tree. Finding an accurate representation of this uncertainty when dealing with a set of historical series is an important ...

Hydroreservoirs usually serve two main purposes: hydro-power production and water consumption. The great flexibility, low operation costs and low carbon impact of hydro turbines turns them into a desirable technology in ...

In this paper we consider the mean risk problem and formulate two alternative decomposition methods for it. The mean risk problem is a stochastic problem where the scenarios are tangled by the risk constraints. Apart from ...

This paper presents an iterative algorithm for modelling the mean-risk model with the Conditional Value at Risk (CVaR). The algorithm is based on the Lagrangian relaxation decomposition, and its main advantage is that it ...

Since the outset of power system reform, one of the main objectives of regulation has been to assess whether the market, of its own accord, can induce agents to adopt decisions that maximise social welfare. This paper ...