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

Roberto Musmanno; Nadia Scordino; Chefi Triki; Antonio Violi

doi:10.1093/imaman/dpp008

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

Mechanical and Industrial Engineering

Research output: Contribution to journal › Article › peer-review

15 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 language	English
Pages (from-to)	165-181
Number of pages	17
Journal	IMA Journal of Management Mathematics
Volume	21
Issue number	2
DOIs	https://doi.org/10.1093/imaman/dpp008
Publication status	Published - 2010

Keywords

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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10.1093/imaman/dpp008

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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

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

Abstract

Keywords

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