Risk Aversion in a Mixed-Integer Nonlinear Approach to Support Decision-Making for a Hydro Power Producer

Catalão, João Paulo da Silva; Pousinho, Hugo Miguel Inácio; Mendes, Victor

http://hdl.handle.net/10400.21/542

Use this identifier to reference this record.

Name:	Description:	Size:	Format:
Risk Aversion in a Mixed-Integer Nonlinear Approach to Support Decision-Making for a Hydro Power Producer_rep.pdf		50.48 KB	Adobe PDF	Download

Send Feedback

Authors

Catalão, João Paulo da Silva

Pousinho, Hugo Miguel Inácio

Mendes, Victor

Abstract(s)

In this paper, a mixed-integer nonlinear approach is proposed to support decision-making for a hydro power producer, considering a head-dependent hydro chain. The aim is to maximize the profit of the hydro power producer from selling energy into the electric market. As a new contribution to earlier studies, a risk aversion criterion is taken into account, as well as head-dependency. The volatility of the expected profit is limited through the conditional value-at-risk (CVaR). The proposed approach has been applied successfully to solve a case study based on one of the main Portuguese cascaded hydro systems.

Keywords

Decision Support Hydro Power Producer Mixed-Integer Nonlinear Programming Risk Aversion

URI

http://hdl.handle.net/10400.21/542

Citation

Catalão JPS, Pousinho H M I, Mendes V M F. Risk Aversion in a Mixed-Integer Nonlinear Approach to Support Decision-Making for a Hydro Power Producer. International Review of Electrical Engineering-IREE. 2010; 5 (3): 1317-1323 Part B.