Speaker
Description
In a recent paper, the authors introduced a model for analyzing the strategic interactions of retail companies in the energy sector, where customers choose retail contracts over a longer period of time based on price and non-price characteristics. This framework is applicable to various energy markets, such as electricity, hydrogen, and natural gas [1]. In this talk, we extend this model by incorporating risk-averse customer behavior using the Conditional Value at Risk (CVaR) model. This extension introduces a maximum value function inside the objective function of the model, resulting in a non-smooth, non-linear optimization problem.
To solve this problem, we will utilize a solver called SALMIN, specifically designed for non-smooth, non-linear problems [2]. Towards the end of the talk, we will present initial numerical results from test problems, demonstrating the impact of our model extension.
[1]: Wiertz, A.-K., Walther, A., Zöttle, G. (2024). Strategic Retailers in the Energy Sector. (Under review).
[2]: Fiege, S., Walther, A., Griewank, A. (2019). An algorithm for nonsmooth optimization by successive piecewise linearization. Mathematical Programming, 177(1), 343-370.
