Risk-Averse Markov Decision Processes: Applications to Electricity Grid and Reservoir Management
Fuente:
arXiv
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| Autori principali: | , , , , |
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| Natura: | Preprint |
| Pubblicazione: |
2026
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| _version_ | 1866908748374605824 |
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| author | Khojaste, Arash Pearce, Jonathan de Farias, Daniela Pucci Pritchard, Geoffrey Zakeri, Golbon |
| author_facet | Khojaste, Arash Pearce, Jonathan de Farias, Daniela Pucci Pritchard, Geoffrey Zakeri, Golbon |
| contents | 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 financial risk hedging using conditional value at risk (CVaR) within a Markov Decision Process (MDP) framework and propose efficient, exact solution methods for these models. In addition, we introduce a power reliability-oriented risk measure and present new, computationally efficient models for risk-averse grid planning and operations. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2601_02207 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Risk-Averse Markov Decision Processes: Applications to Electricity Grid and Reservoir Management Khojaste, Arash Pearce, Jonathan de Farias, Daniela Pucci Pritchard, Geoffrey Zakeri, Golbon Optimization and Control 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 financial risk hedging using conditional value at risk (CVaR) within a Markov Decision Process (MDP) framework and propose efficient, exact solution methods for these models. In addition, we introduce a power reliability-oriented risk measure and present new, computationally efficient models for risk-averse grid planning and operations. |
| title | Risk-Averse Markov Decision Processes: Applications to Electricity Grid and Reservoir Management |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2601.02207 |