Tractable Stochastic Model Predictive Control using Conditional Value at Risk Optimization

A numerically tractable Stochastic Model Predictive Control (SMPC) strategy using Conditional Value at Risk (CVaR) optimization for discrete-time linear time-invariant systems, with state and input constraints, subject to additive uncertainty, is presented. SMPC strategies make use of the probabilistic description of uncertainty to define chance...

Potential effects of risk aversion on technology choices and security of supply: Researched with an agent-based model of a liberalised electricity market

Given the current vulnerability of the profitability of power plants to price volatilities and government policy changes, the role of risk considerations in power plant investment decisions becomes increasingly important. However, when we look at simulation studies that look into the long-term impact of different policy designs on electricity...