Risk-averse profit-based optimal scheduling of a hydro-chain in the day-ahead electricity market

This paper presents a profit-based model for short-term hydro scheduling adapted to pool-based electricity markets. The objective is to determine a feasible operation of a set of coupled hydro units belonging to a small or medium-size hydroelectric company. The company is assumed to be price-taker, and therefore, market prices are considered exogenous variables and modeled via scenarios. In order to be protected against the worse prices scenarios, a minimum profit constraint is introduced in the model as a risk-aversion criterion. In order to ensure a feasible operation, the model takes into account a very detailed representation of the generating units. In particular, the non-linear relationship among the electrical power, the net-head and the turbine water discharge is treated by means of an under-relaxed iterative procedure where net-heads are successively updated. During each algorithm stage, previous iterations’ information is used to build the input-output curves and the resulting hydro scheduling problem can be formulated as a MILP optimization problem, where unit-commitment decisions are modeled with {0/1} variables. The model has been successfully applied to a real-size example case, which is also presented in this paper.