Value at risk approach to producer's best response in an electricity market with uncertain demand

0557719 - ÚTIA 2024 RIV DE eng J - Článek v odborném periodiku
Branda, Martin - Henrion, R. - Pištěk, Miroslav
Value at risk approach to producer's best response in an electricity market with uncertain demand.
Optimization. Roč. 72, č. 11 (2023), s. 2745-2767. ISSN 0233-1934. E-ISSN 1029-4945
Grant CEP: GA ČR(CZ) GA18-04145S; GA ČR(CZ) GA21-07494S
Institucionální podpora: RVO:67985556
Klíčová slova: electricity market * multileader-common-follower game * stochastic demand * day-ahead bidding * chance constraints
Obor OECD: Applied mathematics
Impakt faktor: 2.2, rok: 2022
Způsob publikování: Open access
https://www.tandfonline.com/doi/full/10.1080/02331934.2022.2076232 http://library.utia.cas.cz/separaty/2022/MTR/pistek-0557719.pdf

We deal with several sources of uncertainty in electricity markets. The independent system operator (ISO) maximizes the social welfare using chance constraints to hedge against discrepancies between the estimated and real electricity demand. We find an explicit solution to the ISO problem and use it to tackle the problem of a producer. In our model, production, as well as the income of a producer, are determined based on the estimated electricity demand predicted by the ISO, which is unknown to producers. Thus, each producer is hedging against the uncertainty of the prediction of the demand using the value-at-risk approach. To illustrate our results, a numerical study of a producer's best response given a historical distribution of both estimated and real electricity demand is provided.
Trvalý link: https://hdl.handle.net/11104/0346178