Risk Measures in Multi-Horizon Scenario Trees

摘要: Production assurance requirements are used to ensure that the operation of natural gas transportation networks is robust with respect flow and production disruptions. They also affect strategies for optimal infrastructure investments. Motivated by a combined investment operational optimization model transport, we describe how address such through risk measure formulations as Average Value-at-Risk. The large number scenarios required meaningful analysis measures creates computational challenge. A new scenario tree structure, multi-horizon trees, can improve tractability. We investigate properties time consistency trees illustrate this discussion stylized example.