Skip Navigation



IMA Journal of Management Mathematics Advance Access published online on June 17, 2009
IMA Journal of Management Mathematics, doi:10.1093/imaman/dpp008
This Article
Right arrow Full Text (PDF)
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by Musmanno, R.
Right arrow Articles by Violi, A.
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

© The authors 2009. Published by Oxford University Press on behalf of the Institute of Mathematics and its Applications. All rights reserved.

A multistage formulation for generation companies in a multi-auction electricity market

Roberto Musmanno and Nadia Scordino

Department of Electronics, Informatics and Systems, University of Calabria, Rende 87036, Italy

Chefi Triki

Department of Mathematics, University of Salento, Lecce 73100, Italy

Antonio Violi{dagger}

Supercomputing Center for Computational Engineering, University of Calabria, Rende 87036, Italy

{dagger} Corresponding author. Email: violi{at}si.deis.unical.it

Received on 23 July 2007. Accepted on 17 June 2008.

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.

Keywords: electricity market; multistage stochastic programming; bidding strategy; Conditional Value at Risk


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?




Disclaimer: Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.