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Rapport (Rapport De Recherche) Année : 2011

Sensitivity analysis of energy contracts management problem by stochastic programming techniques

Résumé

We consider a model of medium-term commodity contracts management. Randomness takes place only in the prices on which the commodities are exchanged whilst state variable is multi-dimensional. In our previous article, we proposed an algorithm to deal with such problem, based on quantization of random process and a dual dynamic programming type approach. We obtained accurate estimates of the optimal value and a suboptimal strategy from this algorithm. In this paper, we analyse the sensitivity with respect to parameters driving the price model. We discuss the estimate of marginal price based on the Danskin's theorem. Finally, some numerical results applied to realistic energy market problems have been performed. Comparisons between results obtained by our algorithm and other classical methods are provided and evidence the accuracy of the estimate of marginal prices.
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Dates et versions

inria-00579668 , version 1 (24-03-2011)
inria-00579668 , version 2 (01-08-2011)

Identifiants

  • HAL Id : inria-00579668 , version 1

Citer

Zhihao Cen, J. Frederic Bonnans, Thibault Christel. Sensitivity analysis of energy contracts management problem by stochastic programming techniques. [Research Report] RR-7574, 2011. ⟨inria-00579668v1⟩
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