Optimal allocation of available generation capacity between open access energy market and reserve market based on risk management

In open access energy market and reserve market, one key issue for a generation company is, according to its practical status and market information, to seek an optimal allocation of reserve generation capacity between energy market and reserve market to maximize the total revenue and minimize the associated risks. The optimization problem is researched and modeled by introducing the economic concept of utility and risk management Expected value and standard deviation are used to measure revenue and risk respectively. The analytical solution is obtained and the numerical simulation results are presented. The research result is helpful for generation companies to optimize their markets allocation and further building bid curves in electricity market.