DeepAI AI Chat
Log In Sign Up

Joint optimization of sales-mix and generation plan for a large electricity producer

10/04/2021
by   Paolo Falbo, et al.
University of Brescia
Universidad Carlos III de Madrid
0

The paper develops a typical management problem of a large power producer (i.e., he can partly influence the market price). In particular, he routinely needs to decide how much of his generation it is preferable to commit to fixed price bilateral contracts (e.g., futures) or to the spot market. However, he also needs to plan how to distribute the production across the different plants under his control. The two decisions, namely the sales-mix and the generation plan, naturally interact, since the opportunity to influence the spot price depends, among other things, by the amount of the energy that the producer directs on the spot market. We develop a risk management problem, since we consider an optimization problem combining a trade-off between expectation and conditional value at risk of the profit function of the producer. The sources of uncertainty are relatively large and encompass demand, renewables generation and the fuel costs of conventional plants. We also model endogenously the price of futures in a way reflecting an information advantage of a large power producer. In particular, it is assumed that the market forecast the price of futures in a naive way, namely not anticipating the impact of the large producer on the spot market. The paper provides a MILP formulation of the problem, and it analyzes the solution through a simulation based on Spanish power market data.

READ FULL TEXT

page 17

page 18

10/04/2021

Optimal pricing for electricity retailers based on data-driven consumers' price-response

In the present work we tackle the problem of finding the optimal price t...
07/27/2019

Investigating the effect of competitiveness power in estimating the average weighted price in electricity market

This paper evaluates the impact of the power extent on price in the elec...
01/14/2019

Online Inventory Management with Application to Energy Procurement in Data Centers

Motivated by the application of energy storage management in electricity...
03/23/2022

Favorit: farmers volatility risk treatment

This paper seeks to develop a strategy based on analytics, for an indivi...
05/18/2021

Liquidity Stress Testing in Asset Management – Part 2. Modeling the Asset Liquidity Risk

This article is part of a comprehensive research project on liquidity ri...
06/26/2020

Improving MF-DFA model with applications in precious metals market

With the aggravation of the global economic crisis and inflation, the pr...