In the book Encyclopedia of Electrical and Electronic Power Engineering. Vol. 1. Electrical Engineering Technologies Mathematics for Electrical Engineering
Elsevier B.V., Amsterdam, Netherlands
Summary
This article introduces the concepts required to formulate and evaluate uncertainty in decision-making problems using stochastic programming. First, an introduction to stochastic programming is presented where stochastic processes are modeled using scenarios. Then, a two-stage stochastic programming problem with recourse is formulated, two quality metrics are defined, and the concept of risk management is presented. Throughout the article, several practical examples in the field of power systems are presented, clarifying the theoretical concepts described.
Keywords: Uncertainty; Stochastic programming; Scenarios; Risk management; Conditional value-at-risk
Editors: García, J.
ISBN: 978-0-12-821204-2
DOI: 
https://doi.org/10.1016/B978-0-12-821204-2.00090-8
Published: 2022
Citation:
R. Garcia-Bertrand, L. Baringo, A. García-Cerezo, Uncertainty modeling in electrical power engineering: stochastic programming, in Encyclopedia of Electrical and Electronic Power Engineering. Vol. 1. Electrical Engineering Technologies Mathematics for Electrical Engineering. Editors García, J.. Ed. Elsevier B.V.. Amsterdam, Netherlands, 2022.
IIT-22-322L
