Risk-Constrained Profit Maximization in Day-Ahead Electricity Market

Author

Dicorato, Maria ; Forte, Giuseppe ; Trovato, Michele ; Caruso, Ettore

Author_Institution

Dept. of Electr. & Electron. Eng., Politec. di Bari, Bari, Italy

Volume

24

Issue

3

fYear

2009

Firstpage

1107

Lastpage

1114

Abstract

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.

Keywords

economic forecasting; hydrothermal power systems; power generation economics; power generation scheduling; power markets; pricing; probability; risk management; stochastic processes; Gencos trading; Italian electricity system; day-ahead electricity market; electricity industry deregulation; electricity price; hydrothermal unit; optimization procedure; probabilistic framework; risk management; risk-constrained profit maximization; stochastic forecast; unit scheduling; Conditional value at risk; day-ahead energy market; efficient frontier; electricity price uncertainty; expected profit; risk management;

fLanguage

English

Journal_Title

Power Systems, IEEE Transactions on

Publisher

ieee

ISSN

0885-8950

Type

jour

DOI

10.1109/TPWRS.2009.2022975

Filename

5109514