Reference : Projecting Generation Decisions Induced by a Stochastic Program on a Family of Supply Cu...
Scientific conferences in universities or research centers : Scientific conference in universities or research centers
Engineering, computing & technology : Electrical & electronics engineering
http://hdl.handle.net/2268/80366
Projecting Generation Decisions Induced by a Stochastic Program on a Family of Supply Curve Functions
English
Defourny, Boris [Université de Liège - ULg > Dép. d'électric., électron. et informat. (Inst.Montefiore) > Dép. d'électric., électron. et informat. (Inst.Montefiore) >]
Wehenkel, Louis mailto [Université de Liège - ULg > Dép. d'électric., électron. et informat. (Inst.Montefiore) > Systèmes et modélisation >]
Mar-2007
International
Third Carnegie Mellon Conference on the Electricity Industry
March 13-14, 2007
Marija Ilic; Lester Lave
Pittsburgh
Pennsylvania, USA
[en] stochastic programming ; supply curve functions
[en] We propose to post-process the results of a scenario based stochastic program by projecting its decisions on a parameterized space of policies. By doing so the risk of overfitting to the set of scenarios used in the stochastic program is reduced. A proper choice of the structure of the space of policies allows one to exploit them in the context of novel scenarios, be it for Monte-Carlo based value estimation or for use in real-life conditions. These ideas are presented in the context of planning the exploitation of electric energy resources or for evaluating the economic value of a portfolio of assets.
Systems and Modeling Research Unit
Belgian Programme on Interuniversity Attraction Poles
Researchers ; Professionals ; Students
http://hdl.handle.net/2268/80366

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