Portfolio management of hydropower producer via stochastic programming

This paper presents a stochastic linear programming framework for the hydropower portfolio management problem with uncertainty in market prices and inflows on medium term. The uncertainty is modeled as a scenario tree using the Monte Carlo simulation method, and the objective is to maximize the expected revenue over the entire scenario tree. The portfolio decisions of the stochastic model are formulated as a tradeoff involving different scenarios. Numerical results illustrate the impact of uncertainty on the portfolio management decisions, and indicate the significant value of stochastic solution.