Applications of stochastic
programming and real options analysis to energy and
electricity problems
Electricity
generating technologies; renewable energy sources; electricity
markets; renewable energy support schemes; operations
scheduling, market exchange, bidding strategies, investment
valuation.
Two-stage and
multi-stage stochastic programming models; mean-risk models;
scenario generation; scenario tree construction and tree
reduction.
Continuous-time
models; asset valuation; dynamic programming; Monte Carlo
sampling.
Department of
Mathematical Sciences, University of Copenhagen,
Universitetsparken 5, 2100 København Ø, Denmark,
email: trine@math.ku.dk, phone: +4535320733
