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 language | English |
|---|---|
| Pages (from-to) | 165-181 |
| Number of pages | 17 |
| Journal | IMA Journal of Management Mathematics |
| Volume | 21 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - 2010 |
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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 journal › Article
}
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
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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 -