IDEAS home Printed from https://ideas.repec.org/p/cor/louvco/2013051.html
   My bibliography  Save this paper

Self-commitment of combined cycle units under electricity price uncertainty

Author

Listed:
  • PAPAVASILIOU, Anthony

    () (Université catholique de Louvain, CORE, Belgium)

  • HE, Yi

    (Pacific Gas and Electric Co.)

  • SVOBODA, Alva

    (Pacific Gas and Electric, Co.)

Abstract

Day-ahead energy market clearing relies on a deterministic equivalent model with a limited time horizon, which may lead to inefficient scheduling of generating units from the point of view of generators. For this reason, generators may wish to forgo the profit hedging offered by day-ahead electricity markets and assume the risk of self-committing their units with the hope of securing greater profits. This phenomenon may undermine the depth of the day-ahead market, especially in conditions of high price volatility due to deep renewable energy integration. In this paper we investigate the influence of risk aversion and price volatility on the decision of generators to self-commit units. We present a stochastic programming model for self-committing combined cycle units under price uncertainty with a conditional value at risk risk criterion. We use Bender’s decomposition to solve the problem and present results on a case study to draw conclusions.

Suggested Citation

  • PAPAVASILIOU, Anthony & HE, Yi & SVOBODA, Alva, 2013. "Self-commitment of combined cycle units under electricity price uncertainty," CORE Discussion Papers 2013051, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Handle: RePEc:cor:louvco:2013051
    as

    Download full text from publisher

    File URL: http://uclouvain.be/cps/ucl/doc/core/documents/coredp2013_51web.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Hindriks, Jean & Myles, Gareth D., 2013. "Intermediate Public Economics," MIT Press Books, The MIT Press, edition 2, volume 1, number 0262018691.
    2. Caulier, Jean-François & Mauleon, Ana & Vannetelbosch, Vincent, 2015. "Allocation rules for coalitional network games," Mathematical Social Sciences, Elsevier, vol. 78(C), pages 80-88.
    3. Förster, Manuel & Mauleon, Ana & Vannetelbosch, Vincent J., 2016. "Trust and manipulation in social networks," Network Science, Cambridge University Press, vol. 4(02), pages 216-243, June.
    4. Nigar Hashimzade & Jean Hindriks & Gareth D. Myles, 2006. "Solutions Manual to Accompany Intermediate Public Economics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262582694.
    Full references (including those not matched with items on IDEAS)

    More about this item

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cor:louvco:2013051. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Alain GILLIS). General contact details of provider: http://edirc.repec.org/data/coreebe.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.