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.
| 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 - Apr 2010 |
| Externally published | Yes |
Keywords
- Bidding strategy
- Conditional value at risk
- Electricity market
- Multistage stochastic programming
ASJC Scopus subject areas
- Management Information Systems
- Modelling and Simulation
- Economics, Econometrics and Finance(all)
- Strategy and Management
- Management Science and Operations Research
- Applied Mathematics