Multi-stage stochastic optimization applied to energy planning
Mathematical Programming: Series A and B
Market Offering Strategies for Hydroelectric Generators
Operations Research
Optimal capacity allocation in multi-auction electricity markets under uncertainty
Computers and Operations Research
Hydroelectric reservoir optimization in a pool market
Mathematical Programming: Series A and B
Levy process-driven mean-reverting electricity price model: the marginal distribution analysis
Decision Support Systems - Challenges of restructuring the power industry
Short-term hydropower production planning by stochastic programming
Computers and Operations Research
A Stochastic Mixed-Integer Programming approach to the energy-technology management problem
Computers and Industrial Engineering
SMART: A Stochastic Multiscale Model for the Analysis of Energy Resources, Technology, and Policy
INFORMS Journal on Computing
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This paper presents a deterministic and a stochastic mathematical model for maximizing the profits obtained by selling electricity produced through a cascade of dams and reservoirs in a deregulated market. The first model is based on deterministic electricity prices while the other integrates price stochasticity through the management of a tree of potential price scenarios. Numerical results based on historical data demonstrate the superiority of the stochastic model over the deterministic one. It is also shown that price volatility impacts the profits obtained by the stochastic model.