New Developments on the Representation of CVaR Constraints and Fuel Prices Uncertainty in Stochastic Dual Dynamic Programming

Mario Pereira and Raphael Chabar*

In this talk, it will be presented an extension of the SDDP algorithm that incorporates on stochastic hydrothermal energy optimization problems two relevant aspects of the decision under uncertainty process faced by planners: (i) the representation of CVaR constraints as a risk control measure and (ii) the modeling of fuel prices uncertainty.

Mathematics Subject Classification: 90C15

Keywords: Stochastic Dual Dynamic Programming; stochastic optimization; energy optimization; CVaR; risk measures; fuel prices uncertainty

Minisymposion: Stochastic Models for Optimization of Electric Power Systems