In this paper. we deal with the definition of a decision model for a producer operating in a multi-auction electricity market. The decisions to be taken concern the commitment of the generation plants and the quantity of enemy required to offer to each auction and to cover the bilateral contracts. We propose a multistage stochastic programming model in which the randomness of the clearing prices is represented by means of a scenario tree. The risk is modelled using a Conditional Value at Risk term in the objective function. Experimental results are reported to show the validity of our model and to discuss the influence of the risk parameters on the optimal value.
A multistage formulation for generation companies in a multi-auction electricity market
Violi A.
2010-01-01
Abstract
In this paper. we deal with the definition of a decision model for a producer operating in a multi-auction electricity market. The decisions to be taken concern the commitment of the generation plants and the quantity of enemy required to offer to each auction and to cover the bilateral contracts. We propose a multistage stochastic programming model in which the randomness of the clearing prices is represented by means of a scenario tree. The risk is modelled using a Conditional Value at Risk term in the objective function. Experimental results are reported to show the validity of our model and to discuss the influence of the risk parameters on the optimal value.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
