相关论文: A Value-At-Risk approach for robust management of …

The incorporation of stochastic loads and generation into the operation of power grids gives rise to an exposure to stochastic risk. This risk has been addressed in prior work through a variety of mechanisms, such as scenario generation or…

High renewable energy penetration into power distribution systems causes a substantial risk of exceeding voltage security limits, which needs to be accurately assessed and properly managed. However, the existing methods usually rely on the…

This paper is devoted to study the effects arising from imposing a value-at-risk (VaR) constraint in mean-variance portfolio selection problem for an investor who receives a stochastic cash flow which he/she must then invest in a…

Wind integration in power grids is very difficult, essentially because of the uncertain nature of wind speed. Forecasting errors on output from wind turbines may have costly consequences. For instance, power might be bought at highest price…

Value-at-Risk (VaR) is one of the main regulatory tools used for risk management purposes. However, it is difficult to compute optimal VaR portfolios; that is, an optimal risk-reward portfolio allocation using VaR as the risk measure. This…

Value-at-Risk is one of the most popular risk management tools in the financial industry. Over the past 20 years several attempts to include VaR in the portfolio selection process have been proposed. However, using VaR as a risk measure in…

In recent years, multi-access edge computing (MEC) is a key enabler for handling the massive expansion of Internet of Things (IoT) applications and services. However, energy consumption of a MEC network depends on volatile tasks that…

Power systems with high penetration of variable renewable generation are vulnerable to periods with low generation. An alternative to retain high dispatchable generation capacity is electric energy storage that enables utilization of…

This paper presents an analysis of the stability and quality of the distributed generation planning problem's investment solution. The entry of distributed generators power based on non-conventional energy sources has been extensively…

This paper proposes a safety analysis method that facilitates a tunable balance between the worst-case and risk-neutral perspectives. First, we define a risk-sensitive safe set to specify the degree of safety attained by a stochastic…

This paper studies the behavior of a strategic aggregator offering regulation capacity on behalf of a group of distributed energy resources (DERs, e.g. plug-in electric vehicles) in a power market. Our objective is to maximize the…

This paper proposes a control strategy for a Reverse Fuel Cell used to manage a Renewable Energy Community. A two-stage scenario-based Model Predictive Control algorithm is designed to define the best economic strategy to be followed during…

As the penetration of distributed energy resources (DERs) increases, harnessing their flexibility becomes critical for power system operations. Virtual power plants (VPPs) offer a promising solution. However, most existing scheduling tools…

Energy storage promotes the integration of renewables by operating with charge and discharge policies that balance an intermittent power supply. A key challenge in this emerging sector is how to optimize the operation of storage assets…

Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) are popular risk measures from academic, industrial and regulatory perspectives. The problem of minimizing CVaR is theoretically known to be of Neyman-Pearson type binary solution. We…

This paper investigates an optimal investment problem under the tail Value at Risk (tail VaR, also known as expected shortfall, conditional VaR, average VaR) and portfolio insurance constraints confronted by a defined-contribution pension…

In distribution networks, there are slow controlling devices and fast controlling devices for Volt-VAR regulation. These slow controlling devices, such as capacitors or voltage regulators, cannot be operated frequently and should be…

We consider continuous-time stochastic optimal control problems featuring Conditional Value-at-Risk (CVaR) in the objective. The major difficulty in these problems arises from time-inconsistency, which prevents us from directly using…

In this paper, we consider the nonconvex minimization problem of the value-at-risk (VaR) that arises from financial risk analysis. By considering this problem as a special linear program with linear complementarity constraints (a bilevel…

This paper studies a Value-at-Risk (VaR)-regulated optimal portfolio problem of the equity holders of a participating life insurance contract. In a setting with unhedgeable mortality risk and complete financial market, the optimal solution…