• May 15, 2019 News!Vol.7, No.5- Vol.8, No.4 has been indexed by EI (Inspec).   [Click]
  • Aug 01, 2018 News! [CFP] 2020 the annual meeting of IJMO Editorial Board, ECDMO 2020, will be held in Athens, Greece, February 15-17, 2020.   [Click]
  • Sep 30, 2019 News!Vol 9, No 6 has been published with online version. 12 original aritcles from 6 countries are published in this issue.    [Click]
General Information
    • ISSN: 2010-3697  (Online)
    • Abbreviated Title: Int. J. Model. Optim.
    • Frequency: Bimonthly
    • DOI: 10.7763/IJMO
    • Editor-in-Chief: Prof. Adrian Olaru
    • Executive Editor: Ms.Yoyo Y. Zhou
    • Abstracting/ Indexing: ProQuest, Crossref, Electronic Journals Library, Google Scholar, EI (INSPEC, IET), EBSCO, etc.
    • E-mail ijmo@iacsitp.com
Editor-in-chief
Prof. Adrian Olaru
University Politehnica of Bucharest, Romania
I'm happy to take on the position of editor in chief of IJMO. It's a journal that shows promise of becoming a recognized journal in the area of modelling and optimization. I'll work together with the editors to help it progress.
IJMO 2019 Vol.9(3): 146-149 ISSN: 2010-3697
DOI: 10.7763/IJMO.2019.V9.700

Multivariate Scenario Generation -An Arima and Copula Approach

S. Mishra, C. Würsig, C. Bordin, and I. Palu
Abstract—In mathematical optimization uncertainty is expressed through scenarios. auto-regressive integrated moving average (ARIMA) is one of the known practice to generate scenarios. This paper is about scenario generation using multivariate data: electrical power demand, wind power generation and energy market price. An ARIMA model along with Copula is implemented for scenario generation. The results are presented and discussed.

Index Terms—Multivariate scenario generation, ARIMA, Copula, Stochastic programming

S. Mishra and I. Palu are with Tallinn University of Technology, Tallinn, Estonia (e-mail: sambeet.mishra@ttu.ee).
C. Würsig is with Leibniz Universität Hannover, Germany
C. Bordin is with SINTEF Energy Research, Trondheim, Norway

[PDF]

Cite: S. Mishra, C. Würsig, C. Bordin, and I. Palu, "Multivariate Scenario Generation -An Arima and Copula Approach," International Journal of Modeling and Optimization vol. 9, no. 3, pp. 146-149, 2019.

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