
Duration:  September 2002  May 2014 
Project heads:  Werner Römisch and René Henrion 
Department of Mathematics, HumboldtUniversity Berlin, 10099 Berlin, Germany  
Tel: +49 (0)30  2093 2561 (office) /  2093 2353 (secretary)  
email: romisch@math.huberlin.de  
Weierstrass Institute for Applied Analysis and Stochastics, Mohrenstr. 39, 10117 Berlin, Germany  
Tel: +49 (0)30  20372 540  
email: henrion@wiasberlin.de  
Responsible:  Konstantin Emich 
Department of Mathematics, HumboldtUniversity Berlin, 10099 Berlin, Germany  
Tel: +49 (0)30  2093 5448 (office) /  2093 2353 (secretary)  
email: emich@math.huberlin.de  
Cooperation:  GAMS Software 
EDF Electricité de France  
Support:  DFG Research Center Matheon "Mathematics for key technologies" 
[1]  P. Artzner, F. Delbaen, J.M. Eber, D. Heath: 
Coherent measures of risk, Mathematical Finance 9 (1999), 203228.  
[2]  P. Artzner, F. Delbaen, J.M. Eber, D. Heath, H. Ku: 
Coherent multiperiod risk adjusted values and Bellman's
principle, Annals of Operations Research 152 (2007), 522. 

[3]  D. Dentcheva and W. Römisch: 
Duality gaps in nonconvex stochastic optimization, Mathematical Programming 101 (2004), 515535.  
[4]  A. Eichhorn, H. Heitsch and W. Römisch: 
Stochastic optimization of electricity portfolios: Scenario tree modeling and risk management, Preprint 504, DFG Research Center Matheon "Mathematics for key technologies", 2008 and submitted for publication in Power Systems Handbook, Springer.  
[5]  A. Eichhorn and W. Römisch: 
Polyhedral risk measures in stochastic programming, SIAM Journal of Optimization 16 (2005), 6995.  
[6]  A. Eichhorn and W. Römisch: 
Stochastic integer programming: Limit theorems and confidence intervals, Mathematics of Operations Research 32 (2007), 118135.  
[7]  A. Eichhorn and W. Römisch: 
Meanrisk optimization models for electricity portfolio management, Proceedings of PMAPS 2006 (Probabilistic Methods Applied to Power Systems), Stockholm (Sweden), June 2006.  
[8]  A. Eichhorn and W. Römisch: 
Stability of
multistage stochastic programs incorporating polyhedral risk measures,
Optimization 57 (2008), 295318. 

[9]  A. Eichhorn and W. Römisch: 
Dynamic risk management in electricity portfolio optimization via polyhedral rik functionals, Preprint 460, DFG Research Center Matheon "Mathematics for key technologies", 2008 and to appear in the Proceedings of the 2008 PES IEEE General Meeting.  
[10]  A. Eichhorn, W. Römisch and I. Wegner: 
Meanrisk optimization of electricity portfolios using multiperiod polyhedral risk measures, IEEE St. Petersburg Power Tech Proceedings 2005.  
[11]  H. Föllmer and A. Schied: 
Stochastic Finance: An Introduction in Discrete Time, 2nd ed., De Gruyter Studies in Mathematics, vol. 27, Walter de Gruyter, Berlin, 2004.  
[12]  N. GröweKuska, K.C. Kiwiel, M.P. Nowak, W. Römisch, I. Wegner: 
Power management in a hydrothermal system under uncertainty by Lagrangian relaxation, in: Decision Making under Uncertainty: Energy and Power (C. Greengard, A. Ruszczynski, eds.), IMA Volumes in Mathematics and its Applications, vol. 128, Springer, New York, 2002, 3970.  
[13]  H. Heitsch, W. Römisch and C. Strugarek: 
Stability of multistage stochastic programs, SIAM Journal on Optimization 17 (2006), 511525.  
[14]  R. Henrion: 
Qualitative stability of convex programs with probabilistic constraints, in: Lect. Notes in Economics and Mathematical Systems, vol. 481: Optimization, (V.H. Nguyen, J.J. Strodiot and P. Tossings eds.), Springer, Berlin, 2000, pp. 164180.  
[15]  R. Henrion, C. Küchler and W. Römisch: 
Scenario reduction in
stochastic programming with respect to discrepancy distances,
Computational Optimization and Applications (to appear). 

[16]  R. Henrion and W. Römisch: 
Metric regularity and quantitative stability in stochastic programs with probabilistic constraints, Mathematical Programming 84 (1999), 5588.  
[17]  R. Henrion and W. Römisch: 
Hölder and Lipschitz stability of solution sets in programs with probabilistic constraints, Mathematical Programming 100 (2004), 589611.  
[18]  R. Henrion and W. Römisch: 
On Mstationary points for a stochastic equilibrium problem under equilibrium constraints in electricity spot market modeling, Applications of Mathematics 52 (2007), 473494.  
[19]  M. Kocvara and J.V. Outrata: 
Optimization problems with equilibrium constraints and their numerical solution, Mathematical Programming 101 (2004), 119149.  
[20]  A. Müller and D. Stoyan: 
Comparison Methods for Stochastic Models and Risks, Wiley, Chichester, 2002.  
[21]  M.P. Nowak and W. Römisch: 
Stochastic Lagrangian relaxation applied to power scheduling in a hydrothermal system under uncertainty, Annals of Operations Research 100 (2000), 251272.  
[22]  W. Ogryczak and A. Ruszczynski: 
On consistency of stochastic dominance and meansemideviation models, Mathematical Programming 89 (2001), 217232.  
[23]  G.Ch. Pflug and W. Römisch: 
Modeling, Measuring and Managing Risk, World Scientific, Singapore, 2007.  
[24]  R.T. Rockafellar and S. Uryasev: 
Conditional valueatrisk for general loss distributions, Journal of Banking & Finance 26 (2002), 14431471.  
[25]  W. Römisch: 
Optimierungsmethoden für die Energiewirtschaft: Stand und Entwicklungstendenzen, in: Optimierung in der Energieversorgung, VDIBerichte 1627, VDIVerlag, Düsseldorf, 2001, 2336.  
[26]  W. Römisch: 
Stability of Stochastic Programming Problems, in: Stochastic Programming (A. Ruszczynski and A. Shapiro eds.), Handbooks in Operations Research and Management Science Vol. 10, Elsevier, Amsterdam 2003, 483554.  
[27]  A. Ruszczynski and A. Shapiro (eds.): 
Stochastic Programming, Handbooks in Operations Research and Management Science, vol. 10, Elsevier, Amsterdam, 2003.  
[28]  A. Shapiro: 
Stochastic programming with equilibrium constraints, Journal of Optimization Theory and Applications 128 (2006), 221243. 