A multistage formulation for generation companies in a multi-auction electricity market

Roberto Musmanno, Nadia Scordino, Chefi Triki, Antonio Violi

Research output: Contribution to journalArticle

12 Citations (Scopus)

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 energy 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. The authors 2009. Published by Oxford University Press on behalf of the Institute of Mathematics and its Applications. All rights reserved.2010

Original languageEnglish
Pages (from-to)165-181
Number of pages17
JournalIMA Journal of Management Mathematics
Volume21
Issue number2
DOIs
Publication statusPublished - 2010

Fingerprint

Electricity Market
Auctions
Conditional Value at Risk
Formulation
Stochastic Programming
Decision Model
Randomness
Programming Model
Stochastic Model
Stochastic programming
Industry
Objective function
Cover
Scenarios
Experimental Results
Term
Energy
Power markets
Electricity market
Model

Keywords

  • Bidding strategy
  • Conditional value at risk
  • Electricity market
  • Multistage stochastic programming

ASJC Scopus subject areas

  • Applied Mathematics
  • Management Information Systems
  • Strategy and Management

Cite this

A multistage formulation for generation companies in a multi-auction electricity market. / Musmanno, Roberto; Scordino, Nadia; Triki, Chefi; Violi, Antonio.

In: IMA Journal of Management Mathematics, Vol. 21, No. 2, 2010, p. 165-181.

Research output: Contribution to journalArticle

Musmanno, Roberto ; Scordino, Nadia ; Triki, Chefi ; Violi, Antonio. / A multistage formulation for generation companies in a multi-auction electricity market. In: IMA Journal of Management Mathematics. 2010 ; Vol. 21, No. 2. pp. 165-181.
@article{ffe28579e78e42a6a86e833d78f9f0bd,
title = "A multistage formulation for generation companies in a multi-auction electricity market",
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 energy 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. The authors 2009. Published by Oxford University Press on behalf of the Institute of Mathematics and its Applications. All rights reserved.2010",
keywords = "Bidding strategy, Conditional value at risk, Electricity market, Multistage stochastic programming",
author = "Roberto Musmanno and Nadia Scordino and Chefi Triki and Antonio Violi",
year = "2010",
doi = "10.1093/imaman/dpp008",
language = "English",
volume = "21",
pages = "165--181",
journal = "IMA Journal of Management Mathematics",
issn = "1471-678X",
publisher = "Oxford University Press",
number = "2",

}

TY - JOUR

T1 - A multistage formulation for generation companies in a multi-auction electricity market

AU - Musmanno, Roberto

AU - Scordino, Nadia

AU - Triki, Chefi

AU - Violi, Antonio

PY - 2010

Y1 - 2010

N2 - 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 energy 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. The authors 2009. Published by Oxford University Press on behalf of the Institute of Mathematics and its Applications. All rights reserved.2010

AB - 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 energy 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. The authors 2009. Published by Oxford University Press on behalf of the Institute of Mathematics and its Applications. All rights reserved.2010

KW - Bidding strategy

KW - Conditional value at risk

KW - Electricity market

KW - Multistage stochastic programming

UR - http://www.scopus.com/inward/record.url?scp=77949433051&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=77949433051&partnerID=8YFLogxK

U2 - 10.1093/imaman/dpp008

DO - 10.1093/imaman/dpp008

M3 - Article

VL - 21

SP - 165

EP - 181

JO - IMA Journal of Management Mathematics

JF - IMA Journal of Management Mathematics

SN - 1471-678X

IS - 2

ER -