CAJ | 학술논문

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。
본문연구수궤변량비완전분포하적량계단풍험－리윤우화문제。채용최배정황하조건풍험（ Worst-case Conditional Value-at-Risk：WCVaR）도량지표，재리산타구분포하건립료량계단WCVaR 약속하리윤기망최대우화모형，운용우화대우방법장복잡적Max-Min결구화간，이론상증명료간화모형화원모형적동해성，이발전상전능분배조합우화위수치실례，험증료모형화계산방법적유효성。
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.