Optimal Offering Strategies for Wind Power Producers Considering Uncertainty and Risk

Author

Catalão, J. P S ; Pousinho, H.M.I. ; Mendes, V.M.F.

Author_Institution

Univ. of Beira Interior, Covilha, Portugal

Volume

6

Issue

2

fYear

2012

fDate

6/1/2012 12:00:00 AM

Firstpage

270

Lastpage

277

Abstract

This paper provides a two-stage stochastic programming approach for the development of optimal offering strategies for wind power producers. Uncertainty is related to electricity market prices and wind power production. A hybrid intelligent approach, combining wavelet transform, particle swarm optimization and adaptive-network-based fuzzy inference system, is used in this paper to generate plausible scenarios. Also, risk aversion is explicitly modeled using the conditional value-at-risk methodology. Results from a realistic case study, based on a wind farm in Portugal, are provided and analyzed. Finally, conclusions are duly drawn.

Keywords

fuzzy reasoning; particle swarm optimisation; power engineering computing; power markets; risk management; stochastic programming; wavelet transforms; wind power plants; Portugal; adaptive-network-based fuzzy inference system; electricity market prices; hybrid intelligent approach; optimal offering strategies; optimal offering strategies development; particle swarm optimization; plausible scenarios; risk aversion; two-stage stochastic programming approach; uncertainty; value-at-risk methodology; wavelet transform; wind farm; wind power producers; wind power production; Production; Programming; Stochastic processes; Uncertainty; Vectors; Wind farms; Wind power generation; Artificial intelligence; forecasting; risk analysis; stochastic programming; uncertainty; wind power;

fLanguage

English

Journal_Title

Systems Journal, IEEE

Publisher

ieee

ISSN

1932-8184

Type

jour

DOI

10.1109/JSYST.2011.2163009

Filename

6003739