Optimal capacity allocation in multi-auction electricity markets under uncertainty

Chefi Triki, Patrizia Beraldi, George Gross

Research output: Contribution to journalArticle

47 Citations (Scopus)

Abstract

The advent of competitive markets confronts each producer with the problem of optimally allocating his energy/capacity so as to maximize his profits. The multiplicity of auctions in electricity markets and the nontrivial constraints imposed by technical and bidding rules make the problem of crucial importance and difficult to model and solve. Further difficulties are represented by the dynamic and stochastic natures that characterize the decision process. We formulate the problem as a multi-stage mixed-integer stochastic optimization model under the assumption that the seller is a price taker. We validate the effectiveness of the proposed model on a representative test problem.

Original languageEnglish
Pages (from-to)201-217
Number of pages17
JournalComputers and Operations Research
Volume32
Issue number2
DOIs
Publication statusPublished - Feb 2005

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Keywords

  • Bidding strategies
  • Interrelated electricity markets
  • Multi-stage stochastic programming
  • Price-taking seller
  • Unit commitment

ASJC Scopus subject areas

  • Information Systems and Management
  • Management Science and Operations Research
  • Applied Mathematics
  • Modelling and Simulation
  • Transportation

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