Optimal capacity allocation in multi-auction electricity markets under uncertainty

Authors:
Chefi Triki;Patrizia Beraldi;George Gross
Affiliations:
Dipartimento di Matematica, Università degli Studi di Lecce, Lecce 73100, Italy;Dipartimento di Elettronica, Informatica e Sistemistica, Università degli Studi della Calabria, Rende (CS) 87036, Italy;University of Illinois at Urbana-Champaign, 1406 W. Green Street, Urbana, IL
Venue:
Computers and Operations Research
Year:
2005

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Abstract

The advent of competitive markets confronts each producer with the problem of optimally allocating his energy/capacity so as to maximize his profits. The multiplicity of auctions in electricity markets and the non-trivial constraints imposed by technical and bidding rules make the problem of crucial importance and difficult to model and solve. Further difficulties are represented by the dynamic and stochastic natures that characterize the decision process. We formulate the problem as a multi-stage mixed-integer stochastic optimization model under the assumption that the seller is a price taker. We validate the effectiveness of the proposed model on a representative test problem.