4 papers
Risk-Averse Markov Decision Processes: Applications to Electricity Grid and Reservoir Management
Arash Khojaste, Jonathan Pearce, Daniela Pucci de Farias +2
This paper develops risk-averse models to support system operators in planning and operating the electricity grid under uncertainty from renewable power generation. We incorporate…
Baseline hydropower generation offer curves
Jonathan Pearce, Arash Khojaste, Golbon Zakeri +1
We outline a mathematical model for pricing hydropower generation. The model involves a Markov decision process that reflects the seasonal variation in historical time series of wa…
On monotone completion of risk markets: Limit results for incomplete risk markets
Iman Khajepour, Geoffrey Pritchard, Danny Ralph +1
We consider a competitive market with risk-averse participants. We assume that agents' risks are measured by coherent risk measures introduced by Artzner et al. (1999). Fundamental…
Quantile Fourier regressions for decision making under uncertainty
Arash Khojaste, Geoffrey Pritchard, Golbon Zakeri
Weconsider Markov decision processes arising from a Markov model of an underlying natural phenomenon. Such phenomena are usually periodic (e.g. annual) in time, and so the Markov p…