• English
    • español
  • English 
    • English
    • español
  • Login
View Item 
  •   Home
  • 2.- Investigación
  • Artículos
  • View Item
  •   Home
  • 2.- Investigación
  • Artículos
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Electricity market short-term risk management via risk-adjusted probability measures

Thumbnail
View/Open
IIT-17-048A.pdf (1.545Mb)
Date
2017-07-01
Author
Jovanonic, Nenad
García González, Javier
Barquín Gil, Julián
Cerisola Lopez De Haro, Santiago
Estado
info:eu-repo/semantics/publishedVersion
Metadata
Show full item record
Mostrar METS del ítem
Ver registro en CKH

Refworks Export

Abstract
 
 
This paper presents an iterative algorithm for modelling the mean-risk model with the Conditional Value at Risk (CVaR). The algorithm is based on the Lagrangian relaxation decomposition, and its main advantage is that it allows removing the coupling between the scenarios due to the constraints used to model the risk. At each stage of the algorithm, a risk-neutral stochastic optimisation problem is solved with the risk-adjusted probabilities that substitute the original ones. The paper presents the application of the proposed Iterative CVaR algorithm to two different short-term problems where the decision makers are exposed to a high volatility of electricity spot market prices. In the first problem a time horizon of one week is taken into account and a future physical contract is employed as a hedging mechanism. The second problem includes a very detailed formulation of the unit commitment problem. The numerical application is based on realistic data of the Iberian electricity market, where the algorithm has shown a good performance in terms of accuracy and computational time. In addition, this paper provides a criterion for selecting the value of the parameters used to implement the CVaR model.
 
URI
https:doi.org10.1049iet-gtd.2016.1731
Electricity market short-term risk management via risk-adjusted probability measures
Tipo de Actividad
Artículos en revistas
ISSN
1751-8687
Materias/ categorías / ODS
Instituto de Investigación Tecnológica (IIT)
Palabras Clave

iterative methods, power generation dispatch, power generation scheduling, power markets, probability, relaxation theory, risk management, stochastic programming
Collections
  • Artículos

Repositorio de la Universidad Pontificia Comillas copyright © 2015  Desarrollado con DSpace Software
Contact Us | Send Feedback
 

 

Búsqueda semántica (CKH Explorer)


Browse

All of DSpaceCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsxmlui.ArtifactBrowser.Navigation.browse_advisorxmlui.ArtifactBrowser.Navigation.browse_typeThis CollectionBy Issue DateAuthorsTitlesSubjectsxmlui.ArtifactBrowser.Navigation.browse_advisorxmlui.ArtifactBrowser.Navigation.browse_type

My Account

LoginRegister

Repositorio de la Universidad Pontificia Comillas copyright © 2015  Desarrollado con DSpace Software
Contact Us | Send Feedback