Andreas Eichhorn

Dr. Andreas Eichhorn

Dipl.-Math. techn.

former member of
Humboldt University Berlin
Department of Mathematics
Research Group of Prof. Dr. W. Römisch
Mail Humboldt University, Department of Mathematics, 10099 Berlin, Germany
E-Mail E-Mail Andreas Eichhorn
Phone +49 - (0)30 - 2093 2353 (secretary)
+49 - (0)179 - 2936454 (mobile)
Fax +49 - (0)30 - 2093 2232
Support DFG Research Center Matheon "Mathematics for key technologies"
Project Mean-risk optimization of electricity production in liberalized markets

Research Interests :

Stochastic Programming, Risk Management, Optimization in Energy, Nondifferentiable Optimization, Time Series Analysis, Neural Networks

Publications :

Journal Articles:

A. Eichhorn, W. Römisch:
Stability of multistage stochastic programs incorporating polyhedral risk measures
Optimization 57 (2008), pp. 295-318
A. Eichhorn, W. Römisch:
Stochastic integer programming: Limit theorems and confidence intervals
Mathematics of Operations Research 32 (2007), pp. 118-135
A. Eichhorn, W. Römisch:
Polyhedral risk measures in stochastic programming
SIAM Journal on Optimization 16 (2005), pp. 69-95

Book Chapters:

A. Eichhorn, H. Heitsch, W. Römisch:
Stochastic optimization of electricity portfolios: Scenario tree modeling and risk management
Matheon Preprint 504,
Power Systems Handbook, Springer (to appear, 2009)
A. Eichhorn, W. Römisch:
Dynamisches Risikomanagement in der Energiewirtschaft
Innovative Modellierung und Optimierung von Energiesystemen, R. Schultz, H.-J. Wagner (eds.),
LIT Verlag, Berlin (2009), ISBN 978-3-8258-1359-8, pp. 255-271
[GERMAN]
A. Eichhorn, H. Heitsch, W. Römisch:
Scenario tree approximation and risk aversion strategies for stochastic optimization of electricity production and trading
Optimization in the Energy Industry, J. Kallrath, P. Pardalos, S. Rebennack, M. Scheidt (eds.),
Springer, Berlin (2009), ISBN 978-3-540-88964-9, pp. 322-346
A. Eichhorn, W. Römisch, I. Wegner-Specht:
Simultane Optimierung von Risiko und Ertrag am Beispiel eines Strombeschaffungsportfolios eines kleineren Marktteilnehmers
VDI-Berichte 1908 (2005), ISBN 3-18-091908-6, pp. 41-52
[GERMAN]

Conference Proceedings:

A. Eichhorn, W. Römisch:
Dynamic risk management in electricity portfolio optimization via polyhedral risk functionals
Matheon Preprint 460,
Proc. of the IEEE Power Engineering Society (PES) General Meeting, Pittsburgh, PA, USA (2008)
A. Eichhorn, W. Römisch:
Mean-risk optimization models for electricity portfolio management
Proc. of the 9th Int. Conf. on Probabilistic Methods Applied to Power Systems (2006)
A. Eichhorn, W. Römisch, I. Wegner:
Mean-risk optimization of electricity portfolios using multiperiod polyhedral risk measures
IEEE St.Petersburg PowerTech Proc. (2005)
A. Eichhorn, N. Gröwe-Kuska, A. Liebscher, W. Römisch, G. Spangardt, I. Wegner:
Mean-risk optimization of electricity portfolios
Proc. in Applied Mathematics and Mechanics (PAMM) 4 (2004), pp. 3-6
A. Eichhorn, W. Römisch, I. Wegner:
Polyhedral risk measures in electricity portfolio optimization
Proc. in Applied Mathematics and Mechanics (PAMM) 4 (2004), pp. 7-10

Talks at International Conferences and Workshops :

Sept. 23, 2010 Stochastic Programming in Energy: Theory vs. Practical Application
6th Annual ÖGOR-IHS-Workshop "Mathematische Ökonomie und Optimierung in der Energiewirtschaft“
Institute for Advanced Studies (IHS), Vienna, Austria
download slides, pdf (1MB)
July 28, 2010 Dynamic risk management in electricity portfolio optimization via polyhedral risk measures
7th Int. Conference on Computational Management Science (CMS 2010)
University of Vienna, Austria
download slides, pdf (5MB)
Febr. 19, 2008 Dynamic risk management via polyhedral risk measures in multistage stochstic programs
Meeting of Special Interest Group for Optimization (SIGOPT 2008)
Lambrecht, Germany
Aug. 27, 2007 Stability of multistage stochastic programs incorporating polyhedral risk measures
11th Int. Conference on Stochastic Programming (SPXI / ICSP 2007)
University of Vienna, Austria
download slides, pdf (500KB)
June 6, 2007 Polyhedral risk measures in multistage stochastic programming and power optimization
15th Int. Conference on Mathematical Methods in Economics and Industry (MMEI 2007)
Herľany / Technical University of Košice, Slovakia
download slides, pdf (6MB)
April 20, 2007 Scenario tree approximation and risk aversion strategies
for stochastic optimization of electricity production and trading
GOR-Arbeitsgruppensitzung "Stochastic Optimization in the Energy Industry"
ProCom GmbH, Aachen, Germany
download slides, pdf (8MB)
Sept. 8, 2006 Polyhedral risk measure and applications in stochastic power management
Operations Research Symposium (OR 2006)
University of Karlsruhe, Germany
download slides, pdf (6MB)
July 5, 2006 Stochastic integer programming: Limit theorems and confidence intervals
21st European Conference on Operational Research (EURO XXI 2006)
University of Iceland, Reykjavik, Iceland
download slides, pdf (600KB)
June 15, 2006 Mean-risk optimization models for electricity portfolio management
9th Int. Conference on Probabilistic Methods Applied to Power Systems (PMAPS 2006)
Royal Institute of Technology (KTH), Stockholm, Sweden
download slides, pdf (4MB)
Oct. 27, 2005 [GERMAN] Simultane Optimierung von Risiko und Ertrag
am Beispiel eines Strombeschaffungsportfolios eines kleineren Marktteilnehmers
VDI Fachtagung "Optimierung in der Energiewirtschaft"
Liederhalle Cultural and Congress Center, Stuttgart, Germany
download slides, pdf (4MB)
Oct. 21, 2005 Multiperiod polyhedral risk measures in stochastic power optimization
Int. Conference on Optimization Frameworks for Industrial Applications (ICOPI 2005)
Électricité de France R&D, Paris (Clamart), France
June 27, 2005 Mean-risk optimization of electricity portfolios
using multiperiod polyhedral risk measures
2005 IEEE St.Petersburg PowerTech Conference
Hotel Pribaltiyskaya, St.Petersburg, Russia
Jan. 20, 2005 Polyhedral risk measures and Lagrangian relaxation
in electricity portfolio optimization
Dagstuhl Seminar 05031 "Algorithms for Optimization with Incomplete Information"
Dagstuhl Castel, Wadern, Germany
Oct. 11, 2004 Mean-risk optimization of electricity portfolios using polyhedral risk measures
10th Int. Conference on Stochastic Programming (SPX / ICSP 2004)
University of Arizona, Tucson, AZ, USA
June 21, 2004 Polyhedral risk measures in stochastic programming
7th Applied Mathematical Programming and Modelling Symposium (APMOD 2004)
Brunel University, London (Uxbridge, Middlesex), U.K.
May 25, 2004 Stochastic integer programming: Limit theorems and confidence intervals
IFIP/SOM Workshop on Stochastic Integer Programming (2004)
University of Groningen, The Netherlands
March 22, 2004 Polyhedral risk measures in stochastic programming
75th Annual GAMM (Soc. Appl. Math. Mech.) Meeting (2004)
Technical University of Dresden, Germany
Sept. 3, 2003 Stochastic programs and coherent risk measures:
Stability and decomposition approaches
Operations Research Symposium (OR 2003)
University of Heidelberg, Germany
Aug. 19, 2003 Stochastic integer programming: Limit theorems and confidence intervals
18th Int. Symposium on Mathematical Programming (ISMP 2003)
Technical University of Denmark, Copenhagen (Lyngby), Denmark

Short CV :

1992-1999 Studies in Technical Mathematics at the University of Karlsruhe, Germany
1999 Diploma (≈ MSc) in Technical Mathematics
1999-2002 Software Developer at PSI AG, Aschaffenburg and Berlin, Germany
2002-2008 Research Fellow at Humboldt University Berlin, Germany
2007 PhD in Applied Mathematics, Humboldt University Berlin, Germany
2008-date Analyst at VERBUND Trading AG, Vienna, Austria

Theses :

Stochastic Programming Recourse Models: Approximation, Risk Aversion, Applications in Energy
Doctoral thesis (≈ PhD thesis), Humboldt University Berlin, submitted May 14, 2007, defended November 9, 2007
published 2007 by Logos Verlag (Berlin, Germany), ISBN 978-3-8325-1775-5, download pdf (8MB)
[German] Neuronale Modelle für die Geruchsverarbeitung im Gehirn der Honigbiene apis mellifera
Diploma thesis (≈ master thesis), University of Karlsruhe, May 31, 1998
last modified September 28, 2010