This paper provides a procedure to forecast electricity pool prices one year ahead. A technique to generate pool price scenarios spanning one year into the future is also provided. The information obtained through the above methodology is crucial to make informed decisions in financial markets...

Expected recourse functions in linear two-stage stochastic programs with mixed-integer second stage are approximated by estimating the underlying probability distribution via empirical measures. Under mild conditions, almost sure uniform convergence of the empirical means to the original...

Models and algorithms for risk neutral and risk averse power optimization under uncertainty are presented. The approach differs from previous ones by incorporating the transmission network explicitly. Copyright Springer-Verlag 2009

Expected recourse functions in linear two-stage stochastic programs with mixed-integer second stage are approximated by estimating the underlying probability distribution via empirical measures. Under mild conditions, almost sure uniform convergence of the empirical means to the original...