Paula Rocha

A Polynomial-Time Solution Scheme for Quadratic Stochastic Programs

  • Daniel Kuhn
  • Paula Rocha
    • Categories Robust Optimization, Stochastic Programming Tags , , ,

    We consider quadratic stochastic programs with random recourse – a class of problems which is perceived to be computationally demanding. Instead of using mainstream scenario tree-based techniques, we reduce computational complexity by restricting the space of recourse decisions to those linear and quadratic in the observations, thereby obtaining an upper bound on the original problem. … Read more

    Multistage Stochastic Portfolio Optimisation in Deregulated Electricity Markets Using Linear Decision Rules

  • Daniel Kuhn
  • Paula Rocha
    • Categories Applications - OR and Management Sciences, Stochastic Programming Tags , , , ,

    The deregulation of electricity markets increases the financial risk faced by retailers who procure electric energy on the spot market to meet their customers’ electricity demand. To hedge against this exposure, retailers often hold a portfolio of electricity derivative contracts. In this paper, we propose a multistage stochastic mean-variance optimisation model for the management of … Read more