Energy contracts management by stochastic programming techniques
نویسندگان
چکیده
منابع مشابه
Energy contracts management by stochastic programming techniques
We consider the problem of optimal management of energy contracts, with bounds on the local (time step) amounts and global (whole period) amounts to be traded, integer constraint on the decision variables and uncertainty on prices only. After building a nite state Markov chain by using vectorial quantization tree method, we rely on the stochastic dual dynamic programming (SDDP) method to solve ...
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ژورنال
عنوان ژورنال: Annals of Operations Research
سال: 2011
ISSN: 0254-5330,1572-9338
DOI: 10.1007/s10479-011-0973-5