A Stochastic Programming Approach to Power Portfolio Optimization

The DASH model for Power Portfolio Optimization provides a tool which helps decision-makers coordinate production decisions with opportunities in the wholesale power market. The methodology is based on a stochastic programming model which selects portfolio positions that perform well on a variety of scenarios generated through statistical modeling and optimization. When compared with a commonly used fixed-mix policy, our experiments demonstrate that the DASH model provides significant advantages over several fixed-mix policies.

• Type: Journal
• Year: 2006
• Where: IOR
• Authors: Suvrajeet Sen, Lihua Yu, Talat Genc
• Keywords: DASH Model, IOR 2006, Power Portfolio Optimization, Stochastic Programming Model