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Decomposing the mean risk problem: a Lagrangian Relaxation approach and its comparison with the Benders decomposition algorithm
Cerisola Lopez De Haro, Santiago; Jovanonic, Nenad; García González, Javier; Barquín Gil, JuliánIn 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 ... -
Electricity market short-term risk management via risk-adjusted probability measures
Jovanonic, Nenad; García González, Javier; Barquín Gil, Julián; Cerisola Lopez De Haro, Santiago (2017-07-01)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 ... -
Impact of risk aversion on the operation of hydroelectric reservoirs in the presence of renewable energy sources
Jovanonic, Nenad; García González, Javier; Cerisola Lopez De Haro, Santiago; Barquín Gil, Julián (2018-06-01)The increasing share of renewable energy sources, such as wind and solar generation, has a direct impact on the planning and operation of power systems. In addition, the consideration of risk criteria within the decision ...