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Modeling risk management in oligopolistic electricity markets: a benders decomposition approach
dc.contributor.author | Cabero Borrós, Jordi | es-ES |
dc.contributor.author | Ventosa Rodríguez, Mariano | es-ES |
dc.contributor.author | Cerisola Lopez De Haro, Santiago | es-ES |
dc.contributor.author | Baillo Moreno, Alvaro | es-ES |
dc.date.accessioned | 2016-01-15T11:18:09Z | |
dc.date.available | 2016-01-15T11:18:09Z | |
dc.date.issued | 2010-02-01 | es_ES |
dc.identifier.issn | 0885-8950 | es_ES |
dc.identifier.uri | https:doi.org10.1109TPWRS.2009.2036788 | es_ES |
dc.description | Artículos en revistas | es_ES |
dc.description.abstract | es-ES | |
dc.description.abstract | This paper presents a model for addressing the market risk management problem faced by a hydrothermal generation company trading in an oligopolistic market. The risk is due to uncertainty in fuel prices, power demand, water inflows, and electricity prices. The model permits the representation of a diversified generation portfolio and measures risk exposure by means of conditional value at risk. The model is formulated and solved as a stochastic linear complementarity problem. In order to deal with realistically sized problems, Bender’s decomposition technique is adapted to solve equilibrium models. A numerical example illustrates the possibilities of the algorithm we propose. | en-GB |
dc.format.mimetype | application/pdf | es_ES |
dc.language.iso | en-GB | es_ES |
dc.rights | es_ES | |
dc.rights.uri | es_ES | |
dc.source | Revista: IEEE Transactions on Power Systems, Periodo: 1, Volumen: online, Número: 1, Página inicial: 263, Página final: 271 | es_ES |
dc.subject.other | Instituto de Investigación Tecnológica (IIT) | es_ES |
dc.title | Modeling risk management in oligopolistic electricity markets: a benders decomposition approach | es_ES |
dc.type | info:eu-repo/semantics/article | es_ES |
dc.description.version | info:eu-repo/semantics/publishedVersion | es_ES |
dc.rights.accessRights | info:eu-repo/semantics/restrictedAccess | es_ES |
dc.keywords | es-ES | |
dc.keywords | Complementarity problem, market equilibrium, risk hedging, stochastic programming | en-GB |
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