Stochastic Optimal Bid To Electricity Markets With Environmental Risk Constraints
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Stochastic Optimal Bid To Electricity Markets With Environmental Risk Constraints
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Author : Julián Cifuentes Rubiano
language : en
Publisher:
Release Date : 2012
Stochastic Optimal Bid To Electricity Markets With Environmental Risk Constraints written by Julián Cifuentes Rubiano and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
There are many factors that influence the day-ahead market bidding strategies of a generation company (GenCo) in the current energy market framework. Environmental policy issues have become more and more important for fossil-fuelled power plants and they have to be considered in their management, giving rise to emission limitations. This work allows to investigate the influence of both the allowances and emission reduction plan, and the incorporation of the derivatives medium-term commitments in the optimal generation bidding strategy to the day-ahead electricity market. Two different technologies have been considered: the coal thermal units, high-emission technology, and the combined cycle gas turbine units, low-emission technology. The Iberian Electricity Market and the Spanish National Emissions and Allocation Plans are the framework to deal with the environmental issues in the day-ahead market bidding strategies. To address emission limitations, some of the standard risk management methodologies developed for financial markets, such as Value-at-Risk (VaR) and Conditional Value at Risk (CVaR), have been extended. This study offers to electricity generation utilities a mathematical model to determinate the individual optimal generation bid to the wholesale electricity market, for each one of their generation units that maximizes the long-run profits of the utility abiding by the Iberian Electricity Market rules, the environmental restrictions set by the EU Emission Trading Scheme, as well as the restrictions set by the Spanish National Emissions Reduction Plan. The economic implications for a GenCo of including the environmental restrictions of these National Plans are analyzed and the most remarkable results will be presented.. The problem to be solved in this project will provide generationutilities with a mathematical tool to find the individual optimal generation bid for each one of theirgeneration units that maximizes the long-run profits of the utility abiding by the Iberian ElectricityMarket rules, the environmental restrictions of the EU Emission Trading Scheme and also by theSpanish National Emissions Reduction Plan.
Stochastic Optimization
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Author : Ioannis Dritsas
language : en
Publisher: BoD – Books on Demand
Release Date : 2011-02-28
Stochastic Optimization written by Ioannis Dritsas and has been published by BoD – Books on Demand this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-02-28 with Computers categories.
Stochastic Optimization Algorithms have become essential tools in solving a wide range of difficult and critical optimization problems. Such methods are able to find the optimum solution of a problem with uncertain elements or to algorithmically incorporate uncertainty to solve a deterministic problem. They even succeed in fighting uncertainty with uncertainty. This book discusses theoretical aspects of many such algorithms and covers their application in various scientific fields.
Power Grid Operation In A Market Environment
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Author : Hong Chen
language : en
Publisher: John Wiley & Sons
Release Date : 2016-09-27
Power Grid Operation In A Market Environment written by Hong Chen and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-09-27 with Science categories.
Covers the latest practices, challenges and theoretical advancements in the domain of balancing economic efficiency and operation risk mitigation This book examines both system operation and market operation perspectives, focusing on the interaction between the two. It incorporates up-to-date field experiences, presents challenges, and summarizes the latest theoretic advancements to address those challenges. The book is divided into four parts. The first part deals with the fundamentals of integrated system and market operations, including market power mitigation, market efficiency evaluation, and the implications of operation practices in energy markets. The second part discusses developing technologies to strengthen the use of the grid in energy markets. System volatility and economic impact introduced by the intermittency of wind and solar generation are also addressed. The third part focuses on stochastic applications, exploring new approaches of handling uncertainty in Security Constrained Unit Commitment (SCUC) as well as the reserves needed for power system operation. The fourth part provides ongoing efforts of utilizing transmission facilities to improve market efficiency, via transmission topology control, transmission switching, transmission outage scheduling, and advanced transmission technologies. Besides the state-of-the-art review and discussion on the domain of balancing economic efficiency and operation risk mitigation, this book: Describes a new approach for mass market demand response management, and introduces new criteria to improve system performance with large scale variable generation additions Reviews mathematic models and solution methods of SCUC to help address challenges posed by increased operational uncertainties with high-penetration of renewable resources Presents a planning framework to account for the value of operational flexibility in transmission planning and to provide market mechanism for risk sharing Power Grid Operations in a Market Environment: Economic Efficiency and Risk Mitigation is a timely reference for power engineers and researchers, electricity market traders and analysts, and market designers.
Xiii Balkan Conference On Operational Research Proceedings
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Author : Dragana Makajić-Nikolić
language : en
Publisher: FON
Release Date : 2018-06-10
Xiii Balkan Conference On Operational Research Proceedings written by Dragana Makajić-Nikolić and has been published by FON this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-06-10 with categories.
Stochastic Optimization Methods In Finance And Energy
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Author : Marida Bertocchi
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-09-15
Stochastic Optimization Methods In Finance And Energy written by Marida Bertocchi and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-09-15 with Business & Economics categories.
This volume presents a collection of contributions dedicated to applied problems in the financial and energy sectors that have been formulated and solved in a stochastic optimization framework. The invited authors represent a group of scientists and practitioners, who cooperated in recent years to facilitate the growing penetration of stochastic programming techniques in real-world applications, inducing a significant advance over a large spectrum of complex decision problems. After the recent widespread liberalization of the energy sector in Europe and the unprecedented growth of energy prices in international commodity markets, we have witnessed a significant convergence of strategic decision problems in the energy and financial sectors. This has often resulted in common open issues and has induced a remarkable effort by the industrial and scientific communities to facilitate the adoption of advanced analytical and decision tools. The main concerns of the financial community over the last decade have suddenly penetrated the energy sector inducing a remarkable scientific and practical effort to address previously unforeseeable management problems. Stochastic Optimization Methods in Finance and Energy: New Financial Products and Energy Markets Strategies aims to include in a unified framework for the first time an extensive set of contributions related to real-world applied problems in finance and energy, leading to a common methodological approach and in many cases having similar underlying economic and financial implications. Part 1 of the book presents 6 chapters related to financial applications; Part 2 presents 7 chapters on energy applications; and Part 3 presents 5 chapters devoted to specific theoretical and computational issues.
Electricity Markets
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Author : Sayyad Nojavan
language : en
Publisher: Springer Nature
Release Date : 2020-03-10
Electricity Markets written by Sayyad Nojavan and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-03-10 with Business & Economics categories.
This book analyzes new electricity pricing models that consider uncertainties in the power market due to the changing behavior of market players and the implementation of renewable distributed generation and responsive loads. In-depth chapters examine the different types of market players including the generation, transmission, and distribution companies, virtual power plants, demand response aggregators, and energy hubs and microgrids. Expert authors propose optimal operational models for short-term performance and scheduling and present readers with solutions for pricing challenges in uncertain environments. This book is useful for engineers, researchers and students involved in integrating demand response programs into smart grids and for electricity market operation and planning. Proposes optimal operation models; Discusses the various players in today's electricity markets; Describes the effects of demand response programs in smart grids.
Stochastic Virtual Bidding In The Two Settlement Electricity Market
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Author : Dongliang Xiao
language : en
Publisher:
Release Date : 2019
Stochastic Virtual Bidding In The Two Settlement Electricity Market written by Dongliang Xiao and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with Electricity categories.
The short-term electricity markets in the United States have a two-settlement structure, which includes a day-ahead (DA) and a real-time (RT) markets. Virtual bidding is a financial tool available for the participants to earn profits by utilizing the price difference between the DA and RT markets. To better utilize this financial tool to help with the electricity market operation, it is necessary to develop decision-making models for virtual bidders to generate optimal virtual bidding strategies while considering the uncertainties related to the electricity prices and the participants' physical assets. In this dissertation, stochastic optimization-based decision-making models were developed for generating optimal virtual bidding strategies for different types of market participants, and a hybrid electricity price scenario generation method was proposed to improve the virtual bidders' profits.Firstly, bilevel stochastic optimization models were developed for generating the virtual bidding strategies used by two types of physical participants, i.e., a wind power producer and an electricity retailer, respectively. The proposed models considered the participants' risk preferences, the impacts of other participants' bidding strategies on the market clearing processes, and that the physical participants would use virtual bidding at multiple buses, which were not limited to the locations of their generating units or demands, to improve their market power. Case studies were carried out to validate the proposed models for a strategic wind power producer and a retailer, respectively, and the simulation results showed that virtual bidding improved their expected profits. Next, a hybrid electricity price scenario generation method using a seasonal autoregressive integrated moving average (SARIMA) model and historical data was proposed. In the proposed method, the spikes contained in the historical data of the electricity prices were firstly identified by using an outlier detection method; then, the historical data were decomposed into base and spike components; next, the base and spike component scenarios were generated by using the SARIMA- and historical data-based methods, respectively; finally, the electricity price scenarios were obtained by combining the base and spike component scenarios. Case studies were carried out for a virtual bidder in the Pennsylvanian-New Jersey-Maryland (PJM) electricity market to validate the proposed method.
Stochastic Modelling Of Big Data In Finance
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Author : Anatoliy Swishchuk
language : en
Publisher: CRC Press
Release Date : 2022-11-08
Stochastic Modelling Of Big Data In Finance written by Anatoliy Swishchuk and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-11-08 with Business & Economics categories.
Stochastic Modelling of Big Data in Finance provides a rigorous overview and exploration of stochastic modelling of big data in finance (BDF). The book describes various stochastic models, including multivariate models, to deal with big data in finance. This includes data in high-frequency and algorithmic trading, specifically in limit order books (LOB), and shows how those models can be applied to different datasets to describe the dynamics of LOB, and to figure out which model is the best with respect to a specific data set. The results of the book may be used to also solve acquisition, liquidation and market making problems, and other optimization problems in finance. Features Self-contained book suitable for graduate students and post-doctoral fellows in financial mathematics and data science, as well as for practitioners working in the financial industry who deal with big data All results are presented visually to aid in understanding of concepts Dr. Anatoliy Swishchuk is a Professor in Mathematical Finance at the Department of Mathematics and Statistics, University of Calgary, Calgary, AB, Canada. He got his B.Sc. and M.Sc. degrees from Kyiv State University, Kyiv, Ukraine. He earned two doctorate degrees in Mathematics and Physics (PhD and DSc) from the prestigious National Academy of Sciences of Ukraine (NASU), Kiev, Ukraine, and is a recipient of NASU award for young scientist with a gold medal for series of research publications in random evolutions and their applications. Dr. Swishchuk is a chair and organizer of finance and energy finance seminar ‘Lunch at the Lab’ at the Department of Mathematics and Statistics. Dr. Swishchuk is a Director of Mathematical and Computational Finance Laboratory at the University of Calgary. He was a steering committee member of the Professional Risk Managers International Association (PRMIA), Canada (2006-2015), and is a steering committee member of Global Association of Risk Professionals (GARP), Canada (since 2015). Dr. Swishchuk is a creator of mathematical finance program at the Department of Mathematics & Statistics. He is also a proponent for a new specialization “Financial and Energy Markets Data Modelling” in the Data Science and Analytics program. His research areas include financial mathematics, random evolutions and their applications, biomathematics, stochastic calculus, and he serves on editorial boards for four research journals. He is the author of more than 200 publications, including 15 books and more than 150 articles in peer-reviewed journals. In 2018 he received a Peak Scholar award.
Demand Response Application In Smart Grids
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Author : Sayyad Nojavan
language : en
Publisher: Springer Nature
Release Date : 2019-12-05
Demand Response Application In Smart Grids written by Sayyad Nojavan and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-12-05 with Business & Economics categories.
This book analyzes issues surrounding the efficient integration of demand response programs (DRPs) on operation problems in smart grids. The benefits offered by demand response programs (DRPs) for load-serving entities, grid operators, and electricity consumers are explained, including decreased electricity prices and risk management. In-depth chapters discuss the flexibility of market operations, market power mitigation, and environmental benefits—making this a must-have reference for engineers and related practicing professionals working for organizations in the electricity market, including reliability organizations, distribution companies, transmission companies, and electric end-users.
Network And Temporal Effects On Strategic Bidding In Electricity Markets
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Author : Youfei Liu
language : en
Publisher: Open Dissertation Press
Release Date : 2017-01-27
Network And Temporal Effects On Strategic Bidding In Electricity Markets written by Youfei Liu and has been published by Open Dissertation Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-01-27 with categories.
This dissertation, "Network and Temporal Effects on Strategic Bidding in Electricity Markets" by Youfei, Liu, 劉有飛, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: of thesis entitled "Network And Temporal Effects On Strategic Bidding In Electricity Markets" Submitted by Youfei Liu for the Degree of Doctor of Philosophy at the University of Hong Kong in February 2006 The global deregulation of power industries has given rise to many fascinating research topics. This thesis addresses issues of strategic bidding by power generators. The problem of strategic bidding is to optimize an individual power generation bid by maximizing profits, based on production cost, expectation of rival behavior and system demand. Electrical power flow over different links is governed by the physical law (Kirchhoff law). As a result, electrical power flow cannot be independently determined and the electricity transmission system has global network effects. One major contribution of this study is to investigate the network effects of electricity transmission on strategic bidding and analyze the network-constrained electricity market equilibria. A three-node electricity system is used for investigation. The decision space of generators is divided into the congestion-on region and congestion-off region, and the optimal response curves of generators in each region are then derived. The market equilibrium is located as the intersection of these optimal response curves. It is analytically shown that this may consist either of a unique unconstrained market equilibrium, a unique constrained market equilibrium, multiple-equilibria, or no pure Nash equilibrium. Subsequently, the interaction between transmission rights holding and market power exercising is addressed. It is shown that in the situation with a positive PTDF, holding transmission rights mitigate market power, and produce an improvement in market efficiency, while in other situations, the reverse is true. Furthermore it is demonstrated that a possible allocation of transmission rights to generators can be found to achieve maximum efficiency. Another unique characteristic of electricity markets is their notable temporal ii effects. In other words, electricity prices have significant volatilities because of the non-storability of power energy and the large variations of system demand. The second part of this study investigates the temporal effects of the electricity market on strategic bidding. A periodic dynamic feedback system is proposed to model the generation competition process. With the developed system dynamics, an optimal control problem is formulated to study the multi-period optimization behavior (called the 'advanced' strategy) of a generator, and the state-feedback control rule is then derived via a sweeping method. It is demonstrated that the generator with optimal control can obtain more profits, and a sensitivity analysis is provided to locate the market factors that affect the performance of optimal control. Next, system uncertainties are included, and a stochastic optimal control problem for generation decision is formulated and solved. Two interesting problems are investigated, namely the effect of the generator's 'advanced' strategic behavior on market efficiency, and the way in which an individual's payoff evolves with other generators' 'advanced' strategic behavior. It is shown that the 'advanced' strategic behavior of generators will improve market efficiency, while an individual's payoff evolution resembles a 'Prisoner Dilemma'. An analysis of risk management of generation decisi...