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

Roberto Musmanno, Nadia Scordino, Chefi Triki, Antonio Violi*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

15 Citations (Scopus)


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
Issue number2
Publication statusPublished - 2010


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

ASJC Scopus subject areas

  • Applied Mathematics
  • Management Information Systems
  • Strategy and Management


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