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A Fuzzy Stochastic Dynamic Nash Game Analysis of Policies for Managing Water Allocation in a Reservoir System

Ganji, A.; Khalili, D.; Karamouz, M.; Ponnambalam, K.; … - In: Water Resources Management 22 (2008) 1, pp. 51-66

In this paper a fuzzy dynamic Nash game model of interactions between water users in a reservoir system is presented. The model represents a fuzzy stochastic non-cooperative game in which water users are grouped into four players, where each player in game chooses its individual policies to...

Persistent link: https://www.econbiz.de/10010794424

Identifying Optimal Water Resources Allocation Strategies through an Interactive Multi-Stage Stochastic Fuzzy Programming Approach

Wang, S.; Huang, G. - In: Water Resources Management 26 (2012) 7, pp. 2015-2038

In this study, an interactive multi-stage stochastic fuzzy programming (IMSFP) approach has been developed through … incorporating an interactive fuzzy resolution (IFR) method within an inexact multi-stage stochastic programming framework. IMSFP can … processes through constructing a set of representative scenarios within a multi-stage context. A management problem in terms of …

Persistent link: https://www.econbiz.de/10010794730

Optimisation of allocated portfolio using multi-objective stochastic programming

Ekhtiari, Mostafa; Alinezhad, Alireza; Kazemi, Abolfazl - In: International Journal of Financial Services Management 6 (2013) 2, pp. 155-169

Decision making about portfolio selection problem under uncertainty is very important and critical, so it is rational and necessary to use ideas of a DM who is proficient in stochastic problems. For example, the Goal Attainment Programming (GAP) is one of the methods in priori category that...

Persistent link: https://www.econbiz.de/10010691663

Optimal offering strategy for a concentrating solar power plant

Dominguez, R.; Baringo, L.; Conejo, A.J. - In: Applied Energy 98 (2012) C, pp. 316-325

This paper provides a methodology to build offering curves for a concentrating solar power plant. This methodology takes into account the uncertainty in the thermal production from the solar field and the volatility of market prices. The solar plant owner is a price-taker producer that...

Persistent link: https://www.econbiz.de/10010702535

Capacity expansion and forward contracting in a duopolistic power sector

Chin, Dorea; Siddiqui, Afzal - In: Computational Management Science 11 (2014) 1, pp. 57-86

The surge in demand for electricity in recent years requires that power companies expand generation capacity sufficiently. Yet, at the same time, energy demand is subject to seasonal variations and peak-hour factors that cause it to be extremely volatile and unpredictable, thereby complicating...

Persistent link: https://www.econbiz.de/10010758718

Energy efficiency and risk management in public buildings: strategic model for robust planning

Cano, Emilio; Moguerza, Javier; Ermolieva, Tatiana; … - In: Computational Management Science 11 (2014) 1, pp. 25-44

Due to deregulations of the energy sector and the setting of targets such as the 20/20/20 in the EU, operators of public buildings are now more exposed to instantaneous (short-term) market conditions. On the other hand, they have gained the opportunity to play a more active role in securing...

Persistent link: https://www.econbiz.de/10010758720

Dual methods for probabilistic optimization problems *

Dentcheva, Darinka; Lai, Bogumila; Ruszczyński, Andrzej - In: Computational Statistics 60 (2004) 2, pp. 331-346

We consider nonlinear stochastic optimization problems with probabilistic constraints. The concept of a p-efficient point of a probability distribution is used to derive equivalent problem formulations, and necessary and sufficient optimality conditions. We analyze the dual functional and its...

Persistent link: https://www.econbiz.de/10010759130

Optimal consumption and investment problems under GARCH with transaction costs

Chen, Zhiping; Yuen, K. C. - In: Computational Statistics 61 (2005) 2, pp. 219-237

General multiperiod optimal consumption and investment problems with proportional transaction costs are investigated in this paper, a GARCH-type process is used to model the risky asset’s return series so that its time-varying moments and conditional heteroskedasticity can be properly...

Persistent link: https://www.econbiz.de/10010759147

A global-filtering algorithm for linear programming problems with stochastic elements

Guan, Sichong; Fang, Shu-Cherng - In: Computational Statistics 48 (1998) 3, pp. 287-316

In this paper, an interior-point based global filtering algorithm is proposed to solve linear programming problems with the right-hand-side and cost vectors being stochastic. Previous results on the limiting properties of the Kalman filtering process have been extended to handle some...

Persistent link: https://www.econbiz.de/10010759160

On probabilistic constraints induced by rectangular sets and multivariate normal distributions

Ackooij, Wim Van; Henrion, René; Möller, Andris; … - In: Computational Statistics 71 (2010) 3, pp. 535-549

In this paper, we consider optimization problems under probabilistic constraints which are defined by two-sided inequalities for the underlying normally distributed random vector. As a main step for an algorithmic solution of such problems, we prove a derivative formula for (normal)...

Persistent link: https://www.econbiz.de/10010759197