Stochastic Programming: Assign probability to multiple vector scenarios using EMP

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rishabh.abhinav
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Stochastic Programming: Assign probability to multiple vector scenarios using EMP

Post by rishabh.abhinav » 2 weeks ago

Hi,

I am using stochastic programming for energy trading in electricity market. I have 10 electricity price scenarios, each having a length of 24 (hourly electricity price for a day). So have a price scenario vector of size 24 X 10. Each of the scenarios is having a probability of occurrence, so I have a probability vector of size 10. I want to solve the problem using EMP.
How do I define this random variable with associated probabilities in stage 2 of EMP annotation? Can I use gdxin to read the data from a gdx file?

Note:- I have 3 such random variables, each with length 24 and 10 scenarios. I have generated these variables using MATLAB. I use wgdx to create and load data in a gdx file. So, it is more convenient for me to use gdxin.

Thanks in advance !

rishabh.abhinav
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Re: Stochastic Programming: Assign probability to multiple vector scenarios using EMP

Post by rishabh.abhinav » 2 weeks ago

Hi,
I figured out that I can assign probability to a random vector using jrandvar (joint random variable), but it is a tedious task as I had to enter the name of all vector elements A('t1'), A('t2'),....., A('t24') and then enter whole 24 x 10 matrix with probability matrix as first column.

It is quite difficult if I need to change data.

Is there a way that I can read data (inside EMP annotation) from an external source?

Thanks !!

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dirkse
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Re: Stochastic Programming: Assign probability to multiple vector scenarios using EMP

Post by dirkse » 5 days ago

Rishabh,

Instead of thinking of the EMP info file as independent of your GAMS model - and using data from an external source in this file - you should think of this file as an extension of your GAMS model. If you use the put facility you can easily take data that is in your GAMS model and send it to the EMP info file. IMHO that's the easiest way to do this.

You can read all about put files in the GAMS documentation:

https://www.gams.com/latest/docs/UG_Put.html

And there are examples in the EMP model library that use this technique, e.g. tr20 and portfolio. I suggest you have a close look at these.

-Steve

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