caa a22 4500 445878207 CHVBK 20180317145534.0 cr unu---uuuuu 170323e20110301xx s 000 0 eng 10.1007/s11081-010-9113-3 doi (NATIONALLICENCE)springer-10.1007/s11081-010-9113-3 Optimizing financial and physical assets withchance-constrained programming intheelectricalindustry [Elektronische Daten] [Riadh Zorgati, Wim van Ackooij] This paper deals with a Chance-Constrained Programming formulation and approximate resolution of an offer-demand equilibrium problem in the context of electricity markets. First, we state the probabilistic model. Computing the coefficients of the problem matrix is easy for financial assets, but a challenging task for physical assets. By introducing maximal production capacities, the computation becomes tractable for thermal plants but still leads to a combinatorial problem for hydraulic production. The obtained problem matrix is sparse, large scale and with random coefficients describing underlying uncertainty factors affecting the available power of assets. Second, we suggest some ways for approximately solving the obtained combinatorial chance-constrained program, which is in fact a stochastic multi-knapsack problem. A formal link between joint and individual chance constraints is exhibited and may lead to a simplified processing of the problem. Finally we illustrate our approximate algorithm on a stylized example. Springer Science+Business Media, LLC, 2010 Unit commitment nationallicence Hedging nationallicence Chance-constrained programming nationallicence Zorgati Riadh OSIRIS 1, EDF R&D, avenue du Général de Gaulle, 92141, Clamart Cedex, France aut van Ackooij Wim OSIRIS 1, EDF R&D, avenue du Général de Gaulle, 92141, Clamart Cedex, France aut Optimization and Engineering Springer US; http://www.springer-ny.com 12/1-2(2011-03-01), 237-255 1389-4420 12:1-2<237 2011 12 11081 https://doi.org/10.1007/s11081-010-9113-3 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s11081-010-9113-3 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Zorgati Riadh OSIRIS 1, EDF R&D, avenue du Général de Gaulle, 92141, Clamart Cedex, France aut NATIONALLICENCE 700 1- van Ackooij Wim OSIRIS 1, EDF R&D, avenue du Général de Gaulle, 92141, Clamart Cedex, France aut NATIONALLICENCE 773 0- Optimization and Engineering Springer US; http://www.springer-ny.com 12/1-2(2011-03-01), 237-255 1389-4420 12:1-2<237 2011 12 11081 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer