Open AccessCoordinated production planning of risk‐averse hydropower producer in sequential markets
Author(s) -
Vardanyan Yelena,
Hesamzadeh Mohammad Reza
Publication year - 2016
Publication title -
international transactions on electrical energy systems
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.428
H-Index - 42
ISSN - 2050-7038
DOI - 10.1002/etep.2131
Subject(s) - solver , hydropower , production (economics) , markov chain , production planning , mathematical optimization , purchasing , computer science , economics , quadratic programming , operations research , market clearing , quadratic equation , markov process , econometrics , microeconomics , operations management , engineering , mathematics , statistics , machine learning , geometry , electrical engineering
Summary This paper proposes a quadratic programming (QP) model for optimal coordinated production of a risk‐averse hydropower producer. The day‐ahead, intra‐day and real‐time markets are considered. A rolling planning approach is used to take advantage of sequential clearing of mentioned markets. The multi‐period risk of trading in different markets is modelled as quadratic terms in the objective function. To cope with uncertain prices, three price forecasting techniques are used. The best forecasting technique is selected based on a designed Markov switch. The discrete behaviour of intra‐day and real‐time market prices are modelled as different Markov states. The proposed QP model is coded in gams (GAMS Development Corporation, Washington, DC, USA) platform and solved using the mosek (Mosek ApS, Copenhagen, Denmark) solver. An example of a three‐reservoir system from a Swedish hydropower producer is used to examine the proposed QP model. The results show the economic gains from coordinated production planning in sequential markets. Copyright © 2015 John Wiley & Sons, Ltd.