Werner Römisch


Energy systems under uncertainty: Modeling and computations – PDF

Author: Werner Roemisch

Humboldt-University Berlin

We consider the following energy systems, discuss modeling issues and related mathematical challenges:

(a) Yearly planning of production and trading of electricity for a municipal power system under uncertainty,
(b) Evaluation of gas network capacities under demand uncertainty.

We present important features of the underlying power and gas systems and provide some insight of the relevant mathematical models. Both models are large scale, contain mixed-integer decisions and linear and nonlinear constraints, respectively. The common mathematical challenge is the need for uncertainty quantification. While a stochastic process modeling electricity market prices as well as electricity and heat demand has to quantified in (a), the gas consumption at a large number of network exits is modeled in (b). Huge data sets are available in both cases. Methods for approximate uncertainty quantification by representative sets of scenarios and their use as inputs into numerical optimization methods are discussed in some detail and illustrated by computational results. Risk aversion is discussed in case of (a).


Werner Römisch received a mathematics diploma in 1971 and a PhD in 1976 both from Humboldt-University Berlin. He continued at Humboldt-University Berlin and received there a habilitation in 1985 and a full professorship in 1993. His research is mainly in stochastic optimization with side interests in stochastic equations and risk, and applications in energy and revenue management.


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