874 resultados para Forecasting Volatility
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In this paper, a mixed-integer quadratic programming approach is proposed for the short-term hydro scheduling problem, considering head-dependency, discontinuous operating regions and discharge ramping constraints. As new contributions to earlier studies, market uncertainty is introduced in the model via price scenarios, and risk aversion is also incorporated by limiting the volatility of the expected profit through the conditional value-at-risk. Our approach has been applied successfully to solve a case Study based on one of the main Portuguese cascaded hydro systems, requiring a negligible computational time.
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Dissertação apresentada como requisito parcial para obtenção do grau de Mestre em Estatística e Gestão de Informação
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Dissertação para obtenção do grau de Mestre em Engenharia Electrotécnica Ramo Energia
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Dissertation submitted in partial fulfilment of the requirements for the Degree of Master of Science in Geospatial Technologies