A matrix-based VaR model for risk identification in power supply networks

This paper presents a value-at-risk (VaR) model based on the singular value decomposition (SVD) of a sparsity matrix for voltage risk identification in power supply networks. The matrix-based model provides a more computationally efficient risk assessment method than conventional models such as prob...

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Veröffentlicht in:	Applied mathematical modelling 2011-09, Vol.35 (9), p.4567-4574
1. Verfasser:	Chang, Chen-Sung
Format:	Artikel
Sprache:	eng
Schlagworte:	Applied sciences Decision theory. Utility theory Electrical engineering. Electrical power engineering Electrical power engineering Exact sciences and technology Operational research and scientific management Operational research. Management science Portfolio theory Power networks and lines Risk identification Risk management Risk theory. Actuarial science Singular value decomposition Sparsity matrix Value-at-risk
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