Decision rules for risk management: application to weekly power generation management.

Summary In this thesis, we study the problem of physical risk management in power generation for the weekly horizon. First, we focus on the integration of the hydraulic supply hazard in the local management of a hydraulic valley. This approach is conducted using robust optimization and linear decision rules. The results of multiple simulation modes show that these approaches allow a significant reduction of spillages compared to deterministic models applied in operation, with a small increase in cost. The second issue addressed is the active management of the generation margin, defined as the difference between total supply and total demand, taking into account the contingencies affecting the power system. The aim is to determine the optimal decisions to be taken, according to a certain economic criterion, in order to hedge against a too high risk of not satisfying the demand in at least 99% of the situations. For this purpose, a novel open-loop formulation, based on the stochastic process of production margin and constraints in probability is proposed. For the purpose of this formulation, we generate scenarios using more realistic techniques than in operation. Finally, a less anticipatory resolution is studied by applying the heuristic "Stochastic Programming with Piecewise Constant Decision Rules" introduced by Thénié and Vial. The first results are very encouraging in comparison with the open loop models.