Self-commitment of combined cycle units under electricity price uncertainty

Summary form only given. Day-ahead energy market clearing relies on a deterministic equivalent model with a limited time horizon, which may lead to inefficient scheduling of generating units from the point of view of generators. For this reason, generators may wish to assume the risk of self-committing their units with the hope of securing greater profits. This phenomenon may reduce the room for economic signals in the day-ahead market. In this paper we investigate the influence of risk aversion and price volatility on the decision of generators to self-commit units. We present a stochastic programming model for self-committing combined cycle units under price uncertainty with a conditional value at risk criterion. We use Benders decomposition to solve the problem and present results on a case study to draw conclusions.