Decision Aids for Scheduling and Hedging (dash) in Deregulated Electricity Markets: a Stochastic Programming Approach to Power Portfolio Optimization
نویسندگان
چکیده
The DASH model for Power Portfolio Optimization provides a tool which helps decision-makers coordinate production decisions with opportunities in the wholesale power market. The methodology is based on a stochastic programming model which selects portfolio positions that perform well on a variety of scenarios generated through statistical modeling and optimization. When compared with a commonly used fixed-mix policy, our experiments demonstrate that the DASH model provides significant advantages over several fixed-mix policies.
منابع مشابه
A Stochastic Programming Approach to Power Portfolio Optimization
A STOCHASTIC PROGRAMMING APPROACH TO POWER PORTFOLIO OPTIMIZATION Suvrajeet Sen Lihua Yu Talat Genc Raptor Laboratory, SIE Department, University of Arizona, Tucson, AZ 85721,U.S.A. September 20,2004 We consider a power portfolio optimization model that is intended as a decision aid for scheduling and hedging (DASH) in the wholesale power market. Our multi-scale model integrates the unit commit...
متن کاملElectricity Procurement for Large Consumers with Second Order Stochastic Dominance Constraints
This paper presents a decision making approach for mid-term scheduling of large industrial consumers based on the recently introduced class of Stochastic Dominance (SD)- constrained stochastic programming. In this study, the electricity price in the pool as well as the rate of availability (unavailability) of the generating unit (forced outage rate) is considered as uncertain parameters. Th...
متن کاملMulti-Objective Stochastic Programming in Microgrids Considering Environmental Emissions
This paper deals with day-ahead programming under uncertainties in microgrids (MGs). A two-stage stochastic programming with the fixed recourse approach was adopted. The studied MG was considered in the grid-connected mode with the capability of power exchange with the upstream network. Uncertain electricity market prices, unpredictable load demand, and uncertain wind and solar power values, du...
متن کاملA New Approach for Accurate Pricing of Reactive Power and Its Application to Cost Allocation in Deregulated Electricity Markets
Reactive power management plays an essential role in the secure operation of the power system as an ancillary service. Although in electricity markets, the particular attention is paid to active power, the reactive power also plays an important on total generation costs of electricity. On the other hand, as it is mainly confined to local consumption, to avoid market power and maintain the se...
متن کاملUsing Genetic Algorithm in Solving Stochastic Programming for Multi-Objective Portfolio Selection in Tehran Stock Exchange
Investor decision making has always been affected by two factors: risk and returns. Considering risk, the investor expects an acceptable return on the investment decision horizon. Accordingly, defining goals and constraints for each investor can have unique prioritization. This paper develops several approaches to multi criteria portfolio optimization. The maximization of stock returns, the pow...
متن کامل