Two Stages WCVaR Risk-profit Optimization Model under the Ellipsoidal Discrete Distribution and Application

doi:10.12005/orms.2015.0068

Operations Research and Management Science ›› 2015, Vol. 24 ›› Issue (2): 221-228.DOI: 10.12005/orms.2015.0068

• Application Research • Previous Articles Next Articles

Two Stages WCVaR Risk-profit Optimization Model under the Ellipsoidal Discrete Distribution and Application

GAO Huan^1,2, TONG Xiao-jiao³, ZHANG Hai-bin²

1.Hengyang Normal University, Hengyang 421002, China;
2.Beijing University of Technology,College of Applied Sciences, Beijing 100124, China;
3.Hunan First Normal University, Changsha 410205, China

Received:2012-05-28 Online:2015-04-12

离散椭球分布下两阶段WCVaR风险利润优化模型及应用

高欢^1,2, 童小娇³, 张海斌²

1.衡阳师范学院,湖南衡阳 421002;
2.北京工业大学应用数理学院, 北京 100124;
3.湖南第一师范学院,湖南长沙 410205

作者简介:高欢(1988-),女,博士(在读), 主要研究方向:最优化理论与方法,电力市场等;童小娇(1962-),女,教授,博士,主要研究方向:最优化理论与方法,电力系统分析研究等; 张海斌(1965-),男,教授,博士,主要研究方向:最优化理论与方法,自动微分的研究等。
基金资助:
国家自然科学基金项目(11171095,71371065,61179033)

Abstract

Abstract: This paper presents two-stage risk-profit optimization problem under the know part information of random variable. Taking worst-case Conditional Value-at-Risk (WCVaR) as a measuring index, we establish two-stage profit expectation maximization model under WCVaR constraint. By means of the dual method, the complex structure of the Max-Min becomes simple. The optimal solution between the original problem and the reduced optimization problem is proved to have the same solution. Taking optimal allocation of generation assets in power markets as numerical experiments, numerical results show the validity of the proposed model and computation method.

Key words: Worst-case Conditional Value-at-Risk(WCVaR), two-stage risk-profit optimization, ellipsoidal discrete distribution, dual method, portfolio optimization

摘要： 本文研究随机变量非完全分布下的两阶段风险-利润优化问题。采用最坏情况下条件风险(Worst-case Conditional Value-at-Risk:WCVaR) 度量指标,在离散椭球分布下建立了两阶段WCVaR 约束下利润期望最大优化模型,运用优化对偶方法将复杂的Max-Min 结构化简,理论上证明了简化模型和原模型的同解性,以发电商电能分配组合优化为数值实例,验证了模型和计算方法的有效性。

关键词: 最坏情况下条件风险(WCVaR), 两阶段风险-利润优化, 离散椭球分布, 对偶方法, 组合优化

CLC Number:

0224.2

GAO Huan, TONG Xiao-jiao, ZHANG Hai-bin. Two Stages WCVaR Risk-profit Optimization Model under the Ellipsoidal Discrete Distribution and Application[J]. Operations Research and Management Science, 2015, 24(2): 221-228.

高欢, 童小娇, 张海斌. 离散椭球分布下两阶段WCVaR风险利润优化模型及应用[J]. 运筹与管理, 2015, 24(2): 221-228.

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Two Stages WCVaR Risk-profit Optimization Model under the Ellipsoidal Discrete Distribution and Application

离散椭球分布下两阶段WCVaR风险利润优化模型及应用

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