[en] We propose to post-process the results of a scenario based stochastic program by projecting its decisions on a parameterized space of policies. By doing so the risk of overfitting to the set of scenarios used in the stochastic program is reduced. A proper choice of the structure of the space of policies allows one to exploit them in the context of novel scenarios, be it for Monte-Carlo based value estimation or for use in real-life conditions. These ideas are presented in the context of planning the exploitation of electric energy resources or for evaluating the economic value of a portfolio of assets.
Research Center/Unit :
Systems and Modeling Research Unit
Disciplines :
Electrical & electronics engineering
Author, co-author :
Defourny, Boris ; Université de Liège - ULiège > Dép. d'électric., électron. et informat. (Inst.Montefiore) > Dép. d'électric., électron. et informat. (Inst.Montefiore)
Wehenkel, Louis ; Université de Liège - ULiège > Dép. d'électric., électron. et informat. (Inst.Montefiore) > Systèmes et modélisation
Language :
English
Title :
Projecting Generation Decisions Induced by a Stochastic Program on a Family of Supply Curve Functions
Publication date :
March 2007
Event name :
Third Carnegie Mellon Conference on the Electricity Industry
Event organizer :
Marija Ilic; Lester Lave
Event place :
Pittsburgh, United States - Pennsylvania
Event date :
March 13-14, 2007
Audience :
International
Funders :
Belgian Programme on Interuniversity Attraction Poles
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