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Handbooks in OR & MS, Vol. 10
ß 2003 Elsevier Science B.V. All rights reserved.
Chapter 10
Stochastic Programming Models in Energy
Stein W. Wallace
Molde University College, Servicebox 8, NO-6405 Molde, Norway
Stein-Erik Fleten
Department of Industrial Economics and Technology Management, Alfred Getz v. 1,
Norwegian University of Science and Technology, NO-7491 Trondheim, Norway
Abstract
We give the reader a tour of good energy optimization models that explicitly
deal with uncertainty. The uncertainty usually stems from unpredictability of
demand and/or prices of energy, or from resource availability and prices. Since
most energy investments or operations involve irreversible decisions, a stochastic
programming approach is meaningful. Many of the models deal with electricity
investments and operations, but some oil and gas applications are also
presented. We consider both traditional cost minimization models and newer
models that reflect industry deregulation processes. The oldest research precedes
the development of linear programming, and most models within the market
paradigm have not yet found their final form.
Key words: Stochastic programming, energy, regulated markets, deregulation,
uncertainty, electricity, natural gas, oil.
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