On stochastic auctions in risk-averse electricity markets with uncertain supply

This paper studies risk in a stochastic auction which facilitates the integration of renewable generation in electricity markets. We model market participants who are risk averse and reflect their risk aversion through coherent risk measures. We uncover a closed-form characterization of a risk-averse generator’s optimal pre-commitment behaviour for a given real-time policy, both with and … Read more

A two-level SDDP Solving Strategy with Risk-Averse multivariate reservoir Storage Levels for Long Term power Generation Planning

Power generation planning in large-scale hydrothermal systems is a complex optimization task, specially due to the high uncertainty in the inflows to hydro plants. Since it is impossible to traverse the huge scenario tree of the multi-stage problem, stochastic dual dynamic programming (SDDP) is the leading optimization technique to solve it, originally from an expected-cost … Read more

An approximation scheme for a class of risk-averse stochastic equilibrium problems

We consider two models for stochastic equilibrium: one based on the variational equilibrium of a generalized Nash game, and the other on the mixed complementarity formulation. Each agent in the market solves a one-stage risk-averse optimization problem with both here-and-now (investment) variables and (production) wait-and-see variables. A shared constraint couples almost surely the wait-and-see decisions … Read more

The optimal harvesting problem under risk aversion

We study the exploitation of a one species forest plantation when timber price is uncertain. The work focuses on providing optimality conditions for the optimal harvesting policy in terms of the parameters of the price process and the discount factor. We use risk averse stochastic dynamic programming and use the Conditional Value-at-Risk (CVaR) as our … Read more

Time consistency and risk averse dynamic decision models: Definition, interpretation and practical consequences

This paper aims at resolving a major obstacle to practical usage of time-consistent risk-averse decision models. The recursive objective function, generally used to ensure time consistency, is complex and has no clear/direct interpretation. Practitioners rather choose a simpler and more intuitive formulation, even though it may lead to a time inconsistent policy. Based on rigorous … Read more

Time consistency and risk averse dynamic decision models: Definition, interpretation and practical consequences

This paper aims at resolving a major obstacle to practical usage of time-consistent risk-averse decision models. The recursive objective function, generally used to ensure time consistency, is complex and has no clear/direct interpretation. Practitioners rather choose a simpler and more intuitive formulation, even though it may lead to a time inconsistent policy. Based on rigorous … Read more