A number of staff and students from the University of Auckland presented at the ISMP conference (International Symposium on Mathematical Programming) in Bordeaux, France during the first week of July 2018. In particular, Prof. Andy Philpott gave a plenary address entitled: Randomness, Risk, and Electricity Prices.
EPOC (the Electric Power Optimization Centre) is hosting the presentations, and associated papers on their website. The topics covered include:
- risk-trading in a multistage electricity market;
- multistage stochastic programming with stagewise-dependent price processes (applied to a price-making hydro-storage example);
- multistage minimax stochastic programming (with an application of end-of-horizon risk measures); and
- optimal demand bids and ILR offers for an industrial consumer of electricity over a time-horizon.