Coping with risk of decision - modeling of scenarios of parameters ofthe model in python

J

John Oksz

Hello,

I work with energy planning on municipal level.
I have an energy supply deterministic model for municipal customer.

Now I want to coping with uncertainty and risk of decision choosing
one energy supply option for implementing in real.
Some parameters of my deterministic model (energy prices and energy
demands) are uncertainty in future.

I want to coping with uncertainty by using: (1) scenario analysis, (2)
stochastic simulation, and (3) on the end of my research stochastic
optimization.
I want to calculate VaR and CVaR of any modeling decision.

For this parameters (which are uncertainty) I have historical data
(last 15 years) and I want use this data for forecasting/modeling
scenarios for energy carriers prices (gas, electricity, LPG, coal,
etc.) in future 15 year.

I am looking for methodology of creating scenarios of parameters of
the model (ex-post… ex-ante, ???) for this decision problem.

Can you suggest any paper/book/example about:
- scenario analysis in pyhon
- stochastic simulation in pyhon
- coping with uncertenises and risk in python (VaR, CVaR)?

Thanks in advance for any help.
John
 

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