Title :
Offering Non-Dominated Strategies Under Uncertain Market Prices
Author :
Wei Wei ; Feng Liu ; Shengwei Mei
Author_Institution :
Dept. of Electr. Eng., Tsinghua Univ., Beijing, China
Abstract :
This letter proposes a risk-aversive decision model for a price-taker retailer who participates in a wholesale energy market and intends to maximize his daily profit while limiting the profit volatility under market price uncertainty. A two-step linear programming based algorithm is suggested to offer a non-dominated bidding strategy, enhancing the overall performance of the conventional optimal strategy on the entire uncertainty set.
Keywords :
linear programming; power markets; profitability; risk management; daily profit; market price uncertainty; nondominated strategy; price taker retailer; profit volatility; risk aversive decision model; two-step linear programming based algorithm; uncertain market prices; uncertainty set; wholesale energy market; Electricity; Limiting; Linear programming; Mathematical model; Robustness; Uncertainty; Vectors; Energy management; Pareto efficiency; robust optimization; smart grid; uncertainty;
Journal_Title :
Power Systems, IEEE Transactions on
DOI :
10.1109/TPWRS.2014.2367231
