Risk-constrained self-scheduling of a thermal power producer

Author

Conejo, Antonio J. ; Nogales, Francisco J. ; Arroyo, José M. ; García-Bertrand, Raquel

Author_Institution

Dept. of Electr. Eng., Univ. of Castilla-La Mancha, Ciudad Real, Spain

Volume

19

Issue

3

fYear

2004

Firstpage

1569

Lastpage

1574

Abstract

This paper addresses the self-scheduling problem of a price-taker power producer. It focuses on risk modeling, emphasizing the tradeoff existing between maximum profit and minimum risk. The paper analyzes a self-scheduling model that considers simultaneously profit and risk. This model is formulated as a mixed-integer quadratic programming problem, which is solved using commercially available software. Relevant results from a realistic case study are discussed.

Keywords

integer programming; power generation scheduling; power markets; quadratic programming; risk analysis; thermal power stations; mixed-integer quadratic programming problem; pool-based electricity market; risk modeling; risk-constrained self-scheduling; thermal power producer; Contracts; Costs; Covariance matrix; Economic forecasting; Electricity supply industry; Production; Quadratic programming; Random variables; Risk analysis; Statistics; Pool-based electricity market; price-taker power producer; profit versus risk tradeoff; risk-constrained self-scheduling;

fLanguage

English

Journal_Title

Power Systems, IEEE Transactions on

Publisher

ieee

ISSN

0885-8950

Type

jour

DOI

10.1109/TPWRS.2004.831652

Filename

1318695