Engineering Commons^™

Electricity Market Operations With Massive Renewable Integration: New Designs, Shengfei Yin

Electrical Engineering Theses and Dissertations

Electricity market has been transitioning from a conventional and deterministic operation to a stochastic operation under the increasing penetration of renewable energy. Industry-level solutions toward the future electricity market operation ask for both accuracy and efficiency while maintaining model interpretability. Hence, reliable stochastic optimization techniques come to the first place for such a complex and dynamic problem.

This work starts at proposing a solution strategy for the uncertainty-based power system planning problem, which acts as a preliminary and instructs the electricity market operation. Considering 100% renewable penetration in the future, it analyzes the cost-effectiveness of renewable energy from a long-term …

Robust Optimization With Recourse In Portfolio Management: Theory And Applications To Stocks And Projects, Hedieh Ashrafi, Aurelie Thiele

Operations Research and Engineering Management Theses and Dissertations

Many real-world decision problems in engineering and management have uncertain parameters. Robust optimization methodology takes into account the uncertainty in parameters of the model in the decision-making framework. In robust optimization methodology, we assume we do not know the probability distribution of parameters, and we have partial information about parameters. Portfolio management is one of those famous applications that have an uncertain environment. So, for this application, robust methodology would be a good choice. This dissertation contains three main works as the following:\\ In the first work, we provided the combination of European options and a robust optimization model to …