Abstract

In this paper we deal with the definition of a decision model for a producer operating in a multi-auction electricity market. The decisions to be taken concern the commitment of the generation plants and the quantity of energy required to offer to each auction and to cover the bilateral contracts. We propose a Multistage Stochastic Programming model in which the randomness of the clearing prices is represented by means of a scenario tree. The risk is modelled using a Conditional Value at Risk term in the objective function. Experimental results are reported to show the validity of our model and to discuss the influence of the risk parameters on the optimal value.

Autore Pugliese

• Triki Chefi

Tutti gli autori

• MUSMANNO R. , SCORDINO N. , VIOLI A. , C. TRIKI

Titolo volume/Rivista

IMA JOURNAL OF MANAGEMENT MATHEMATICS

Anno di pubblicazione

2010

ISSN

1471-678X

ISBN

Non Disponibile

Numero di citazioni Wos

Nessuna citazione

Ultimo Aggiornamento Citazioni

Non Disponibile

Numero di citazioni Scopus

9

Ultimo Aggiornamento Citazioni

28/04/2018

Settori ERC

Non Disponibile

Codici ASJC

Non Disponibile