Risk-Constrained Profit Maximization in Day-Ahead Electricity Market

被引：33
|
作者：
Dicorato, Maria [1 ]
Forte, Giuseppe [1 ]
Trovato, Michele [1 ]
Caruso, Ettore [2 ]
机构：
[1] Politecn Bari, Dept Elect & Elect Engn, I-70125 Bari, Italy
[2] ENEL SpA, I-00139 Rome, Italy
来源：
IEEE TRANSACTIONS ON POWER SYSTEMS | 2009年 / 24卷 / 03期
关键词：
Conditional value at risk; day-ahead energy market; efficient frontier; electricity price uncertainty; expected profit; risk management; VALUE-AT-RISK; PRICE UNCERTAINTY; GENCOS;
D O I：
10.1109/TPWRS.2009.2022975
中图分类号：
TM [电工技术]; TN [电子技术、通信技术];
学科分类号：
0808 ; 0809 ;
摘要：
The deregulation of the electricity industry has caused for the generation company (Genco) the need of tools for measuring and managing the risk, beyond the classical problem of generating unit scheduling. In this paper, a probabilistic framework for the problem of managing risk faced by Gencos trading in day-ahead energy market is proposed. In particular, a stochastic forecast of electricity price and the technical features of hydrothermal units are considered. The approach is based on an optimization procedure for maximizing expected profits in the presence of risk constraints. Conditional value at risk for the distribution of daily profit is used as risk measure. The effectiveness of the proposed model is tested for the case of one producer of the Italian electricity system with a fleet of hydrothermal generating units.
引用
收藏
页码：1107 / 1114
页数：8
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