Decision Making Under Uncertainty in Electricity Markets | springerprofessional.de

Springer Professional

nach oben

2010 | Buch

Kapitel lesen Erstes Kapitel lesen

Decision Making Under Uncertainty in Electricity Markets

verfasst von: Antonio J. Conejo, Miguel Carrión, Juan M. Morales

Verlag: Springer US

Buchreihe : International Series in Operations Research & Management Science

Enthalten in: Springer Professional "Wirtschaft+Technik" , Springer Professional "Technik" , Springer Professional "Wirtschaft"

Einloggen, um Zugang zu erhalten

Über dieses Buch

Decision Making Under Uncertainty in Electricity Markets provides models and procedures to be used by electricity market agents to make informed decisions under uncertainty. These procedures rely on well established stochastic programming models, which make them efficient and robust. Particularly, these techniques allow electricity producers to derive offering strategies for the pool and contracting decisions in the futures market. Retailers use these techniques to derive selling prices to clients and energy procurement strategies through the pool, the futures market and bilateral contracting. Using the proposed models, consumers can derive the best energy procurement strategies using the available trading floors. The market operator can use the techniques proposed in this book to clear simultaneously energy and reserve markets promoting efficiency and equity. The techniques described in this book are of interest for professionals working on energy markets, and for graduate students in power engineering, applied mathematics, applied economics, and operations research.

Anzeige

Inhaltsverzeichnis

Frontmatter

Chapter 1. Electricity Markets

Abstract

This chapter provides an overview of the organization and agents of a typical fully-fledged electricity market, and outlines the decision-making problems faced by these agents. The time framework and the uncertainty of these decision-making processes are also discussed.

Antonio J. Conejo, Miguel Carrión, Juan M. Morales

Chapter 2. Stochastic Programming Fundamentals

Abstract

Unknown data abound in decision-making problems in the real world. This lack of perfect information is common in problems belonging to different knowledge areas such as engineering, economics, finances, etc.

Antonio J. Conejo, Miguel Carrión, Juan M. Morales

Chapter 3. Uncertainty Characterization via Scenarios

Abstract

Many engineering and science problems are subject to uncertainty due to the inherent randomness of natural phenomena and/or to the imperfect knowledge of the variables determining the functional state of the human-created structures. In this context, computational methods that tackle uncertainty allow engineers and scientists to propose solutions less sensitive to environmental influences, while achieving simultaneously cost reduction, profit gains, and/or reliability improvement.

Antonio J. Conejo, Miguel Carrión, Juan M. Morales

Chapter 4. Risk management

Abstract

In Chapter 2 we study the basic formulation of decision-making problems using stochastic programming. In these problems we consider that the objective of the decision-making agents is either maximizing profit (e.g., the financial profit of an electricity producer) or minimizing cost (e.g., the electricity procurement cost of an industrial consumer). In stochastic programming, where uncertain data are modeled as stochastic processes, the profit or cost is a random variable that can be characterized by a probability distribution. In an optimization problem involving a random objective function it is necessary to optimize a function characterizing the distribution of this random variable, for instance, its expected value. This is the criterion that is generally used in stochastic programming problems. Therefore, the problem consisting in maximizing “the profit” obtained by a decision-making agent results in maximizing the expected profit achieved by this agent.

Antonio J. Conejo, Miguel Carrión, Juan M. Morales

Chapter 5. Producer Pool Trading

Abstract

In this chapter we discuss the problem faced by a producer participating in a pool. This pool is assumed to be comprised of three markets that are sequentially cleared, namely, day-ahead, regulation, and adjustment markets. We consider that the producer owns a set of thermal units.

Antonio J. Conejo, Miguel Carrión, Juan M. Morales

Chapter 6. Pool Trading for Wind Power Producers

Abstract

The amount of wind generation is rapidly increasing in many electric energy systems across the world. The large-scale electricity production based on the exploitation of wind energy resources is currently feasible and is gradually becoming a profitable business attracting the attention of investors. Two main driving forces are responsible for the growing relevance of wind generation: the increasing trend of fossil fuel prices (natural gas, oil, and coal) as less and less reserves are available, and the need to curb carbon emissions to preserve a functioning atmosphere.

Antonio J. Conejo, Miguel Carrión, Juan M. Morales

Chapter 7. Futures Market Trading for Producers

Abstract

This chapter considers the problem of an electric energy producer that sells its production of energy in both the futures market and the pool. The futures market allows the producer to sell its energy production at fixed prices through forward contracts, which span a pre-specified time period, e.g., one month. On the other hand, the pool allows the power producer to sell energy on a short-term basis taking advantage of periods of high price, but at the cost of suffering high price volatility.

Antonio J. Conejo, Miguel Carrión, Juan M. Morales

Chapter 8. Medium-Term Retailer Trading

Abstract

In this chapter we discuss the problem faced by a retailer of electrical energy in a medium-term horizon. A retailer (also called marketer) can be seen as an intermediary between producers and consumers (or retailers) that supplies energy to those consumers (or other retailers) not participating in the electricity markets. In general, retailers are not supposed to own generating units or to consume electricity.

Antonio J. Conejo, Miguel Carrión, Juan M. Morales

Chapter 9. Energy Procurement by Consumers

Abstract

We study in this chapter the electricity procurement problem faced by a large consumer. Such a consumer refers to an entity with a significant electricity consumption that participates in the electricity market, and has the capability of signing bilateral contracts with suppliers. Petrochemical industries, aluminum production complexes, or vehicle-assembling facilities are examples of large consumers. Supply sources available for the consumer include forward contracts, bilateral contracts, the pool, and self-production.

Antonio J. Conejo, Miguel Carrión, Juan M. Morales

Chapter 10. Market Clearing Considering Equipment Failures

Abstract

Electricity markets generally comprise a great variety of mechanisms allowing market agents to carry out energy transactions in accordance with their market strategy. For instance, in futures markets, agents can engage in longterm energy transactions seeking to reduce the risk level on profit/utility variability by hedging against the financial losses derived from pool price uncertainty.

Antonio J. Conejo, Miguel Carrión, Juan M. Morales

Chapter 11. Market Clearing under Uncertainty: Wind Energy

Abstract

Power systems are subject to a great variety of uncertainties. Restructuring and competition in electricity systems are definitely contingent on the available means to overcome the difficulties brought by these uncertainties. In the case of electricity trade, holding a competitive framework constitutes a task tougher than for other commodities due to the particularities of the electricity transactions. As a key example, the transmission of electrical energy is such that the production and consumption at a given bus of the system do affect the entire system. Therefore, the actions to be carried out in order to accommodate these uncertainties without compromising the consistency of the tradecall for a global management able to involve, if required, the participation of every agent in the system.

Antonio J. Conejo, Miguel Carrión, Juan M. Morales

Backmatter

Titel: Decision Making Under Uncertainty in Electricity Markets
verfasst von: Antonio J. Conejo
Miguel Carrión
Juan M. Morales
Copyright-Jahr: 2010
Verlag: Springer US
Electronic ISBN: 978-1-4419-7421-1
Print ISBN: 978-1-4419-7420-4
DOI: https://doi.org/10.1007/978-1-4419-7421-1

Premium Partner