A decision-support system based on particle swarm optimization for multiperiod hedging in electricity markets

This paper proposes a particle swarm optimization (PSO) approach to support electricity producers for multiperiod optimal contract allocation. The producer risk preference is stated by a utility function (U) expressing the tradeoff between the expectation and variance of the return. Variance estimat...

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Bibliographic Details
Main Author: Azevedo, Filipe (author)
Other Authors: Vale, Zita (author), Oliveira, P. B. Moura (author)
Format: article
Language:eng
Published: 2013
Subjects:
Contracts
Electricity markets
Genetic algorithms
Hedging
Particle swarm optimization
Risk management
Online Access:http://hdl.handle.net/10400.22/1340
Country:Portugal
Oai:oai:recipp.ipp.pt:10400.22/1340

Internet

http://hdl.handle.net/10400.22/1340

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