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A two-stage robust investment model for a risk-averse price-maker power producer

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  • Aryani, Morteza
  • Ahmadian, Mohammad
  • Sheikh-El-Eslami, Mohammad-Kazem

Abstract

Generation investors face uncertainties that can have a considerable effect on the profitability and, thus, on the generation investment plan. To hedge the risks associated with uncertainties in generation investment decision-making, this paper proposes a two-stage bi-level robust model for application in risk-averse price-making generation investment considering participation in the spot electricity market. The investor is immunized in the model against worst-case realization of uncertainties, such as future demand and power produced by non-dispatchable generation units. The level of risk-aversion in the proposed model is controlled using an uncertainty budget. The resulting mixed-integer linear programming model is solved using Benders decomposition algorithm. The performance of the proposed model is demonstrated using the Garver and IEEE reliability test systems (IEEE-RTS) and the results are compared with those obtained in deterministic cases. As the results show, the proposed model is linearized to be globally optimized by existing branch-and-bound solvers with a good accuracy. A 10% uncertainty in forecasted values of demand/non-dispatchable power generation can lead to a decrease of 16.16% and 26.56% in profit in comparison with deterministic cases in the Garver and IEEE-RTS test systems, respectively. Moreover, the more the risk-averse is investor, the less profit is obtained from generation investment.

Suggested Citation

  • Aryani, Morteza & Ahmadian, Mohammad & Sheikh-El-Eslami, Mohammad-Kazem, 2018. "A two-stage robust investment model for a risk-averse price-maker power producer," Energy, Elsevier, vol. 143(C), pages 980-994.
  • Handle: RePEc:eee:energy:v:143:y:2018:i:c:p:980-994
    DOI: 10.1016/j.energy.2017.10.119
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    Citations

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    Cited by:

    1. Monfared, Houman Jamshidi & Ghasemi, Ahmad & Loni, Abdolah & Marzband, Mousa, 2019. "A hybrid price-based demand response program for the residential micro-grid," Energy, Elsevier, vol. 185(C), pages 274-285.
    2. Aryani, Morteza & Ahmadian, Mohammad & Sheikh-El-Eslami, Mohammad-Kazem, 2020. "Designing a regulatory tool for coordinated investment in renewable and conventional generation capacities considering market equilibria," Applied Energy, Elsevier, vol. 279(C).
    3. Aryani, Morteza & Ahmadian, Mohammad & Sheikh-El-Eslami, Mohammad-Kazem, 2021. "Coordination of risk-based generation investments in conventional and renewable capacities in oligopolistic electricity markets: A robust regulatory tool," Energy, Elsevier, vol. 214(C).
    4. Mohamed, Mohamed A. & Jin, Tao & Su, Wencong, 2020. "An effective stochastic framework for smart coordinated operation of wind park and energy storage unit," Applied Energy, Elsevier, vol. 272(C).
    5. Koltsaklis, Nikolaos E. & Dagoumas, Athanasios S., 2018. "State-of-the-art generation expansion planning: A review," Applied Energy, Elsevier, vol. 230(C), pages 563-589.

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