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Delta-hedging a hydropower plant using stochastic programming

Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

Publication date2009
Host publicationOptimization in the energy industry
EditorsJosef Kallrath, Panos M. Pardalos, Steffen Rebennack, Max Scheidt
Place of PublicationBerlin
Number of pages18
ISBN (electronic)9783540889656
ISBN (print)9783540889649
<mark>Original language</mark>English


An important challenge for hydropower producers is to optimize reservoir discharges, which is subject to uncertainty in inflow and electricity prices. Furthermore, the producers want to hedge the risk in the operating profit. This article demonstrates how stochastic programming can be used to solve a multireser-voir hydro scheduling case for a price-taking producer, and how such a model can be employed in subsequent delta-hedging of the electricity portfolio.