Original title: Úlohy finanční optimalizace
Translated title: Financial Optimization Models
Authors: Patil, Rishika Nayana ; Procházka, Vít (referee) ; Popela, Pavel (advisor)
Document type: Master’s theses
Year: 2026
Language: eng
Publisher: Vysoké učení technické v Brně. Fakulta strojního inženýrství
Abstract: (Medium term planning of a cascade hydroelectric plant – Multistage Stochastic Optimization) This thesis investigates the application of multistage stochastic optimization to maximize the revenue generated by a cascade hydroelectric plant, with a specific focus on the hydroelectric plants of the Vltava cascade. The study utilizes real data: natural water inflow into reservoirs, electricity market price and hydroelectric plant technical specifications, to develop a 16 week multistage evaluation of the expected revenue. The model involves simulating data and a scenario tree, and optimizing for expected revenue. The optimization is implemented using the HiGHS solver on Python, which provides an understanding of the expected water movement in the river and the range of revenue generated at each time step. The results demonstrate the effectiveness of mathematical programming in medium to long term planning of water storage and utilization to generate electricity and support data informed decision making in hydro energy planning.
Keywords: AR(1) process; cascade hydroelectric plant; linear programming; multistage stochastic optimization; nonanticipativity; revenue optimization; scenario tree generation; Vltava cascade; Wasserstein distance; AR(1) process; cascade hydroelectric plant; linear programming; multistage stochastic optimization; nonanticipativity; revenue optimization; scenario tree generation; Vltava cascade; Wasserstein distance

Institution: Brno University of Technology (web)
Document availability information: Fulltext is available in the Brno University of Technology Digital Library.
Original record: http://hdl.handle.net/11012/259946

Permalink: http://www.nusl.cz/ntk/nusl-775489


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Universities and colleges > Public universities > Brno University of Technology
Academic theses (ETDs) > Master’s theses