Title :
Financial Risk Evaluation in Stochastic PBUC
Author :
Wu, Lei ; Shahidehpour, Mohammad
Author_Institution :
Electr. & Comput. Eng. Dept., Illinois Inst. of Technol., Chicago, IL, USA
Abstract :
This letter is an extension of our previous price-based unit commitment (PBUC) work. This letter identifies a frontier relationship between payoff and risk. This letter also discusses the calculation of target value and risk using payoff-risk frontiers. Test results show a trade-off between risk minimization and payoff maximization for power generation utilities.
Keywords :
electricity supply industry; financial management; power generation dispatch; power generation economics; power generation scheduling; pricing; risk analysis; stochastic processes; financial risk evaluation; power generation utility; price-based unit commitment; stochastic PBUC; Mixed-integer programming (MIP); risk; stochastic unit commitment;
Journal_Title :
Power Systems, IEEE Transactions on
DOI :
10.1109/TPWRS.2009.2030260
