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Weekly self-scheduling, forward contracting, and pool involvement for an electricity producer: an adaptive robust optimization approach

2015Journal article Open access
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dc.contributor.authorLima, Ricardo M.
dc.contributor.authorNovais, Augusto Q.
dc.contributor.authorConejo, Antonio J.
dc.date.accessioned2016-04-28T14:13:41Z
dc.date.available2016-04-28T14:13:41Z
dc.date.issued2015
dc.description.abstracthis paper addresses the optimization under uncertainty of the self-scheduling, forward contracting, and pool involvement of an electricity producer operating a mixed power generation station, which combines thermal, hydro and wind sources, and uses a two stage adaptive robust optimization approach. In this problem the wind power production and the electricity pool price are considered to be uncertain, and are described by uncertainty convex sets. To solve this problem, two variants of a constraint generation algorithm are proposed, and their application and characteristics discussed. Both algorithms are used to solve two case studies based on two producers, each operating equivalent generation units, differing only in the thermal units’ characteristics. Their market strategies are investigated for three different scenarios, corresponding to as many instances of electricity price forecasts. The effect of the producers’ approach, whether conservative or more risk prone, is also investigated by solving each instance for multiple values of the so-called budget parameter. It was possible to conclude that this parameter influences markedly the producers’ strategy, in terms of scheduling, profit, forward contracting, and pool involvement. These findings are presented and analyzed in detail, and an attempted rationale is proposed to explain the less intuitive outcomes. Regarding the computational results, these show that for some instances, the two variants of the algorithms have a similar performance, while for a particular subset of them one variant has a clear superiority.pt_PT
dc.identifier.citationLima, R.M.; Novais, A.Q.; Conejo, A.J. - Weekly self-scheduling, forward contracting, and pool involvement for an electricity producer: an adaptive robust optimization approach. In: European Journal of Operational Research, 2015, Vol. 240, nº 2, p. 457-475pt_PT
dc.identifier.doi10.1016/j.ejor.2014.07.013pt_PT
dc.identifier.issn0377-2217
dc.identifier.urihttp://hdl.handle.net/10400.9/2951
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherElsevierpt_PT
dc.relationWORK PLAN FOR RESEARCH FELLOWSHIP PCOFUND-GA-2009-246542
dc.relation.publisherversionhttp://dx.doi.org/10.1016/j.ejor.2014.07.013pt_PT
dc.subjectRenewable energiespt_PT
dc.subjectElectricity marketspt_PT
dc.subjectRobust optimizationpt_PT
dc.subjectSchedulingpt_PT
dc.titleWeekly self-scheduling, forward contracting, and pool involvement for an electricity producer: an adaptive robust optimization approachpt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.awardTitleWORK PLAN FOR RESEARCH FELLOWSHIP PCOFUND-GA-2009-246542
oaire.awardURIinfo:eu-repo/grantAgreement/FCT//SFRH%2FBI%2F52182%2F2013/PT
oaire.citation.endPage475pt_PT
oaire.citation.startPage457pt_PT
oaire.citation.titleEuropean Journal of Operational Researchpt_PT
oaire.citation.volume240pt_PT
project.funder.identifierhttp://doi.org/10.13039/501100001871
project.funder.nameFundação para a Ciência e a Tecnologia
rcaap.rightsopenAccesspt_PT
rcaap.typearticlept_PT
relation.isProjectOfPublication8f50ed7c-fe95-48e1-9735-86fee236b623
relation.isProjectOfPublication.latestForDiscovery8f50ed7c-fe95-48e1-9735-86fee236b623

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