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Self-commitment of combined cycle units under electricity price uncertainty



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

  • HE, Yi

    (Pacific Gas and Electric Co.)

  • SVOBODA, Alva

    (Pacific Gas and Electric, Co.)


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

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    References listed on IDEAS

    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.
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    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


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