Producer's Best Response in Pay-as-clear Electricity Market with Uncertain Demand

0507761 - ÚTIA 2020 RIV CA eng C - Konferenční příspěvek (zahraniční konf.)
Aussel, D. - Branda, Martin - Henrion, R. - Pištěk, Miroslav
Producer's Best Response in Pay-as-clear Electricity Market with Uncertain Demand.
Proceedings of the 5th World Congress on New Technologies (NewTech'19). Ontario: International ASET Inc., 2019, č. článku 105. ISBN 978-1-927877-62-3. ISSN 2369-8128.
[World Congress on New Technologies (NewTech'19) /5./. Lisabon (PT), 18.08.2019-20.08.2019]
Grant CEP: GA ČR GA17-08182S; GA ČR(CZ) GA18-04145S
Institucionální podpora: RVO:67985556
Klíčová slova: Nash equilibria * uncertainty * Independent System Operator (ISO)
Obor OECD: Pure mathematics
http://library.utia.cas.cz/separaty/2019/MTR/pistek-0507761.pdf

In this work, we are particularly focused on several sources of uncertainty in (pay-as-clear) electricity markets. To deal with stochastic demand we employ the so-called chance constrained formulations of the problem [1] of the ISO as well as the problem of each producer. In detail, the ISO minimizes the production cost using a value-at-risk (VaR) approach, thus hedging against discrepancies between estimated and real electricity demand. Similarly, in the day-ahead market, each producer is hedging against the uncertainty of his own prediction of the demand using VaR approach again. In such a setting we aim at determining the “best response” of a given producer, i.e. the bid maximizing its profit.
Trvalý link: http://hdl.handle.net/11104/0298746